Automated Stock Trading Systems: A Systematic Approach for Traders to Make Money in Bull, Bear and Sideways Markets

I have been trading using the quantitative models described in "Forecasting and Timing Markets: A Quantitative Approach," and achieved an ~40% return so far since early March. In the meantime, I have been looking for confirmation and inspiration for me to improve my performance further, and I found that this author's real experiences have been very helpful. A lot of things in this text are trustworthy, as it says in my title that "it's different to be in the ring!"To summarize all takeaways for myself and potential future readers, here are the 21 points that I feel worthwhile to keep reviewing over time:1 By trading multiple noncorrelated systems simultaneously, you statistically lower your risk and increase your return. I thought about it and feel the math behind it should be: P(A or B) = P(A) + P(B) - P(A and B), i.e., you get max return if strategies A and B are disjoint, namely, the last item becomes​ zero.2 There are months when the systems don’t make any money, but it’s important to continue to perform the usual business functions so you are positioned to make money when an opportunity presents itself.3 We have to use an automated trading system backed up by statistical results.4 If you want to trade according to the news, you’re already too late. You don’t need to follow the financial news. Rely on the statistical power and knowledge of the reliability of the system.5 When you make money, you make more than you lost, which is the edge in your system.6 Scan the universe of stocks, and maybe trade those of 20 % higher than half a year ago.7 The secret to winning: statistically better than average chance.8 We should trade as if we don’t know what will happen in the future - because we don’t.9 Over time, your results would smooth out and improve if you stuck with the system.10 Systems might move to cash when there were no opportunities or setups to trade.11 If you want a higher return, you must be able to handle a higher risk. Otherwise, just go to cash and get zero percent.12 Most of the time, the trend following systems don’t do well until there is a trend, and then they make big money.13 … that means you must have a high trading frequency to make big returns.14 Understand when your system is supposed to make or lose money.15 How to enter an order: market open for trend following systems and limit order for mean reversion systems.16 Mean-reversion systems make money because they have more wins than losses. It’s the win rate that matters.17 Reentry: be willing to reenter at a higher price.18 Position sizing: 2% risk and 10% max percentage size, with a max of 10 positions.19 Temporary nonperformance can and will happen to any system.20 With non-correlated systems, volatility will happen at different times and thus create a smoother equity curve.21 An asymmetric system: you can lose a small amount repeatedly, but every now and then, you get those big winners that make up for all losses.

Updating the review with 5 Stars, 08/10/2020,Very good concept of creating a system of systems and building in diversification of signals. After my original run I felt that there was some curve fitting going on but I reran the system to ignoring all the minimum volume recommendations from the author and instead used a fixed filter of dollar x Volume greater than 10 Million for all screens.Attached are the charts of system performance over past 13 years or so, it isn't as good in the book but pretty close and very impressive for a long term backtest.Older Review (leaving here for Posterity)The book has decent ideas on diversifying systems to build a system-of-systems, which is a good concept but not a magical elixir. Unfortunately the author went down the curve fitting and data mining path after ironically warning against that. Most of curve fitting is taking place in the universe selection instead of actual buy/sell setups, you only need to eliminate a hand-full of bad apples to smooth the curve.Another important thing that author left out is how do you manage when you get more signals than what your system is designed to trade (10 as an example in the book). Its suggested to use ranking to limit the number of trades at the entry but what happens when you are fully invested and get more signals? Do you use re-balance using the ranking and get out of positions?Otherwise a decent book, took less than 3-4 hours to finish and I have read a lot worse in just past few days.

If you want to start trading but are scared, or don't know how and where to start - then this book is for you. Laurens explains how to trade strategically and helps you beat the system.It is a concept similar to "don't put all your eggs in one basket" but instead of just having a basket of stocks level up and use several strategies to gain leverage and work the system.The book starts withBy trading multiple noncorrelated systems simultaneously, you statistically lower your risk and increase your return!and ends withBy trading multiple noncorrelated systems simultaneously, you statistically lower your risk and increase your return!Reading this book, you will gain many strategies that are great for trading and in negotiating in real life. Build a great foundation and enjoy life.

This book is the perfect follow up from Bensdorp’s first book, The 30 Minute Stock Trader.The author clearly has a lot of experience and knowledge and has been able to demonstrate how a complex problem can be turned into an easy to understand and well documented solution.Step by step it is explained why the combination of trend following systems with mean reversion systems, both long and short is the perfect way to increase the return while reducing the risk.Bensdorp puts emphasis on the fact that the future will be different than the past and shows 7 systems how to deal with this.He clearly warns for corporate events and market crashes and how to not only protect yourself from this, but potentially profit from it.

When reading the title and summary I wasn’t expecting to learn almost anything i learned from this book. It took me a few hours and i finished in one sitting as it exposes so many misbeliefs in the investing world. Shows even the huge flaws in BRK investing techniques. Has real world proven examples of how to optimize your ROI to DD ratio over 20 years! Very thoroughly researched and backed by evidence, the author also lists all the flaws of his own systems. Recommended.