I love the blog lots of excellent articles. I am looking forward to the book coming out October 27th.

I have finally settled on a prototyping environment for my trading strategies. I have tested many different options but I keep coming back to MATLAB. I have tried python with both iPython and sciLab. I used Octave for a bit and I even tried Excel. None of these solutions have even com close to MATLAB. Given the widespread use in industry and the speed and flexibility I can test trading ideas MATLAB is clearly the superior option.

“MATLAB is a high-level language and interactive environment that enables you to perform computationally intensive tasks faster than with traditional programming languages such as C, C++, and Fortran.”

-MathWorks.com

Back in 2010 I first read Ernest Chan’s Book How to Build Your Own Algorithmic Trading Business.  I found the book interesting however I didn’t implement any of the ideas from the book. I have got the book of the shelf and I am going to work through it.

MATLAB on Mac & Solarized Colour Scheme

MTALAB 2011b is much more Mac friendly then previous versions. The menu items are now all at the top of the screen on the Mac menu bar. Below is a basic screenshot showing the setup I use. For all my programming work I use a solarized colour theme with Monaco as the font face. When you spend at least 8 hours a day looking at a computer screen I have found these colour schemes to be easier on the eyes.

Clean up MATLAB Environment

I am always looking to save time so I wrote a quick cleanup script that removes all variables, clears history and clears the command window. It is trivial but I have posted it below as it might be helpful to someone.

% simple script to clean up workspace

% remove vars
clear;

% clear command window
clc;

% remove command history
com.mathworks.mlservices.MLCommandHistoryServices.removeAll;

Implementation

I will probably use C++ or a DSL for the actual implemntation of the strategies. I will post some screen casts as I think information is more easily digestible in that format. I am just waiting for my podcasting mic to arrive. I think it is on a slow boat from china.

Design Decisions

I have looked around at the various off the shelf trading system and execution solutions like NinjaTrader and eTrade and none of them meet my needs completely. So I have decided to write my own software solution.  I know the saying about trying to re-invent the wheel. Depending on the quality of the final product I will decide if the code is of a high enough quality for release or not.

Requirements

Whenever I write software I first write down a list of core requirements and then I decide what tools or language to use. For this project the quick back of the envelope requirements are:

• Fast Execution.
• Code portability.
• Separation between data acquisition / warehousing, trade execution and strategy testing.

Data Acquisition Requirements

• Run on custom compiled GUI less Free BSD or Linux system.
• Hardware requirements: Large physical storage, large RAM,  average dual core CPU and gigabit ethernet (remember PCI bus speed may slow down transfer).
• Code written in C/C++, allow strategy testing module remote connection, configuration controlled by text file and separate IPC monitoring/reporting thread.

Strategy Testing Requirements

• GUI written in C/C++or Java, connect to data store, node based editor, run on UNIX/Linux based OS and nodes contain standard API functionality.
• Report generation.

Execution Engine Requirements

• Speed, Written in C/C++, GUI less, co-location ability, load compiled strategies,  error recovery and separate IPC monitoring/reporting thread.
• Report generation.

These requirements are all fairly vague and will be refined much further during the initial design phase. This quick brainstorming exercise helps get a bigger picture of what I am looking to achieve with this development project.

Data Acquisition Engine

This is the first component that I will be working on. The best way for me to develop the engine will be via the use of a virtual machine. Virtual machine technology with current CPU hardware support means I can develop  at near native speed. Anyone who has done any database design or worked with financial data sets will understand the tedious nature of this component. Time to evaluate different data warehousing and schema design that will allow for speed and scalability.

Quantitative Trading How to Build Your Own Algorithmic Trading Business by Ernest Chan

Table of Contents 

Chapter 1 – The Whats, Whos, and Whys of Quantitative Trading

Who Can Become a Quantitative Trader?

The Business Case for Quantitative Trading

• Scalability
• Demand on Time
• The Nonnecessity of Marketing

The Way Forward

Chapter 2 – Fishing for Ideas

How to Identify a Strategy That Suits You

• Your Working Hours
• Your Programming Skills
• Your Trading Capital
• Your Goal

A Taste for Plausible Strategies and Their Pitfalls

• How Does It Compare with a Benchmark and How Consistent Are Its Returns?
• How Deep and Long Is the Drawdown?
• How Will Transaction Costs Affect the Strategy?
• Does the Data Suffer from Survivorship Bias?
• How Did the Performance of the Strategy Change over the Years?
• Does the Strategy Suffer from Data-Snooping Bias?
• Does the Strategy “Fly under the Radar" of Institutional Money Managers?

Chapter 3 – Back Testing

Common Back testing Platforms

• Excel
• MATLAB
• TradeStation
• High-End Back testing Platforms

Finding and Using Historical Databases

• Are the Data Split and Dividend Adjusted?
• Are the Data Survivorship Bias Free?
• Does Your Strategy Use High and Low Data?

Performance Measurement-Common Back testing Pitfalls to Avoid

• Look-Ahead Bias
• Data-Snooping Bias

Transaction Costs

Strategy Refinement

Chapter 4 – Setting Up Your Business

Business Structure: Retail or Proprietary?

Choosing a Brokerage or Proprietary Trading Firm

Physical Infrastructure

Chapter 5 – Execution Systems

What an Automated Trading System Can Do for You

• Building a Semi automated Trading System
• Building a Fully Automated Trading System

Minimizing Transaction Costs

Testing Your System by Paper Trading

Why Does Actual Performance Diverge from Expectations?

Chapter 6 – Money and Risk Management

Optimal Capital Allocation and Leverage

Risk Management

Psychological Preparedness

Appendix: A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian

Chapter 7 – Special Topics in Quantitative Trading

Mean-Reverting versus Momentum Strategies

Regime Switching

Stationarity and Cointegration

Factor Models

What Is Your Exit Strategy?

Seasonal Trading Strategies

High-Frequency Trading Strategies

Is It Better to Have a High-Leverage versus a High-Beta Portfolio?

Chapter 8 – Next Steps Conclusion: Can Independent Traders Succeed?

Appendix A Quick Survey of MATLAB

As you can see from the table of contents the book does a good job of covering a broad range of topics. Chan has an excellent ability to break down some high level concepts into very easy to understand concise definitions.From the preface it is clear that this book is written with the beginner in mind.

Do I need Matlab before I read this book?

After reading the book and going through the sample code I have come to the conclusion that Matlab is not required, however I think it is definitely an advantage if you have access to a copy of Matlab. Most of the code in the book is written with Matlab in mind however it is a trivial task to port it to Octave or implement it in python. Most of the concepts presented can also be implemented in Excel, however you may run into to some scale problems with large datasets.  

Will this book give me a license to print money?

Quantitative Trading:How to Build Your Own Algorithmic Trading Business book forms a solid foundation to build upon for the aspiring Quant trader. You will need to do more then just read this book, you will have to download the sample code and go through the examples. You will also need to know how to code or be willing to learn.

Bottom Line

This book is an excellent easy to read concise introduction to Quantitative Algorithmic trading. The concepts are presented in such a way that any high school graduate would be able to pick up the book and not get lost. If you have a higher level of mathematical understanding you will still derive benefit from reading this book. This book should be compulsory reading for anyone wanting to start algorithmic trading. It would have been nice if some areas could have been looked at in more detail however Chan’s blog goes into more detail.

Contents

Prologue

Part One – Umberto Eco’s Antilibrary, or how we seek validation

• Chapter One: The Apprenticeship of an Empirical Skeptic
• Chapter Two: Yevgenia’s Black Swan
• Chapter Three: The Speculator and the Prostitute
• Chapter Four: One Thousand and One Days, or How Not to Be a Sucker
• Chapter Five: Confirmation Shmonfirmation!
• Chapter Six: The Narrative Fallacy
• Chapter Seven: Living in the Antechamber of Hope
• Chapter Eight: Giacomo Casanova’s Unfailing Luck: The Problem of Silent Evidence
• Chapter Nine: The Ludic Fallacy, or The Uncertainty of the Nerd

Part Two: We Just Can’t Predict

• Chapter Ten: The Scandal of Prediction
• Chapter Eleven: How to Look for Bird Poop
• Chapter Twelve: Epistemocracy, a Dream
• Chapter Thirteen: Appelles the Painter, or What Do You Do if You Cannot Predict?

Part Three: Those Gray Swans Extremistan

• Chapter Fourteen: From Mediocristan to Extremistan, and Back
• Chapter Fifteen: The Bell Curve, That Great Intellectual Fraud
• Chapter Sixteen: The Aesthetics of Randomness
• Chapter Seventeen: Locke’s Madmen, or Bell Curves in the Wrong Places
• Chapter Eighteen: The Uncertainty of The Phony
• Chapter Nineteen: Half and Half, or How to Get Even with the Black Swan
• Epilogue: Yevgenia’s White Swan
• Acknowledgements
• Glossary
• Notes
• Bibliography
• Index

The 4-Hour Workweek: Escape 9-5, Live Anywhere, and Join the New Rich: Timothy Ferriss: Books ISBN: 0307353133 ISBN-13: 9780307353139

How would you like to work only four hours a week whilst maintaining or even increasing your income? I have to say I would and that is what lead me to purchasing this book. I had heard about this book but wasn’t convinced. So when I saw the book on special at my local supermarket I thought I would give it a read.

The book is written by Timothy Ferriss and he certainly practices what he preaches. He is another individual that is impossible to label. According to his biography he has been a cage fighter in Japan, holds a Guinness world record in tango, national Chinese kickboxing champion and actor in a TV series in China to name but a few of his achievements. Did I mention he is only 29 years old? You can see some of his media appearances and interviews on his website The Four Hour Work Week. The book is around 300 pages in length and is a straightforward read. From a trading perspective chapter six The Low-Information diet: Cultivating Selective Ignorance is a must read.

Contents of the Book

First and Foremost

• FAQ – Doubters Read This
• My Story and Why You Need This Book
• Chronology of Pathology

Step One: D is for Definition

• Cautions and Comparisons: How to Burn $1,000,000 a Night.
• Rules that Change the Rules: Everything Popular is Wrong.
• Dodging Bullets: Fear – Setting and Escaping Paralysis.
• System Reset: Being Unreasonable and Unambiguous.

Step Two: E is for Elimination

• The End of Time Management: Illusions and Italians.
• The Low-Information diet: Cultivating Selective Ignorance.
• Interrupting Interruption and the Art of Refusal.

Step Three: A is for Automation

• Outsourcing Life: Off-loading the Rest and a Taste of Geoarbitrage.
• Income Autopilot I: Finding the Muse.
• Income Autopilot II: Testing the Muse.
• Income Autopilot III: MBA – Management by Absence.

Step Four: L is for Liberation

• Disappearing Act: How to Escape the Office.
• Beyond Repair: Killing your job.
• Mini-Retirements: Embracing the Mobile Lifestyle.
• Filling the void: Adding Life after Subtracting Work.
• The Top 13 New Rich Mistakes.

The Last Chapter: An E-mail you Need to Read.

The early chapters of the book introduce us to some of Timothy’s experiences and give clear and concise definitions that are relayed upon in later chapters of the book. It is very challenging accepting some of the concepts that are being presented as they go against everything that is ingrained in you from childhood. The use of real world examples in the form of case studies help the reader see that thinking unconventionally can actually yield a better outcome than conventional thinking.

” If You Always Do What You Have Always Done….
You’ll Always Get What You Always Got!”

As with most books just reading is not enough, you need to take action. At the end of most chapters there are questions and actions, these questions and actions help reinforce the content presented in each chapter. Some of the actions steps will require very little effort while others are a much more complicated. The pace of the book slows towards the end and the action steps become much more in depth.

Bottom Line

The Four Hour Work week is a book that will definitely challenge your thinking about the concept of a JOB aka Just Over Broke. The final chapters present a cookie cutter type recipe for creating and setting up your own automated business. This book does not only just talk about The Four Hour Work Week as an abstract concept it gives you the tools and knowledge to implement it. It really comes down to your commitment to implementing these concepts and changing the way you view things. That being said in order to carry out some of the required tasks you will need to have a firm grasp of Internet and software based technologies.  The concept of Mini Retirements is also very appealing, why wait till your sixty five to retire?

Overall this is a very solid book and I will be implementing a vast number of concepts presented. It really is aimed at the under thirty’s and people who are fairly tech savvy. Some of the methods and shortcuts that are used in the book are things that I wouldn’t personally feel comfortable doing however it comes down to personal preference ethics etc. I think it is a little hypocritical to advocate for a four hour work week and then outsource tasks needed to achieve this to someone else. I found this to be an enjoyable read and it has really opened my mind and challenged my beliefs about work and to a certain extent life.

No doubt you have heard about or probably even read Nassim Taleb’s Fooled by Randomness. It definitely is a classic and a must read for any trader. Taleb is an experienced derivatives trader, holds a MBA from Wharton and a PhD from the University Paris-Dauphine and is the founder of Empirica Capital LLC. Given the authors extensive technical knowledge it refreshing to read a book that is accessible to readers of any level.
The book is separated into three key parts and the contents are outlined below:

Preface and Acknowledgments
Chapter summaries
Prolouge
Mosques in the Clouds

Part One: Solon’s Warning – Skewness, Asymmetry, Induction

Chapter One: If you’re So Rich Why Aren’t You So Smart?
Chapter Two: A Bizarre Accounting Method
Chapter Three: A Mathematical Meditation
Chapter Four: Randomness, Nonsense, and the Scientific Intellectual
Chapter Five: Survival of the Least Fit – Can Evolution Be Fooled by Randomness?
Chapter Six: Skewness and Asymmetry
Chapter Seven: The Problem of Induction

Part Two: Monkeys on Typewriters – Survivorship and Other Biases

Chapter Eight: Too Many Millionaires Next Door
Chapter Nine: It is Easier to Buy and Sell Than Fry an Egg
Chapter Ten: Loser Takes All – On the Nonlinearities of Life
Chapter Eleven: Randomness and Our Brain: We Are Probability Blind

Part Three: Wax in My Ears – Living With Randomness

Chapter Twelve: Gamblers’ Ticks and Pigeons in a Box
Chapter Thirteen: Carneades Comes to Rome: On Probability and Skepticisim
Chapter Fourteen: Bacchus Abandons Antony

Epilogue: Solon Told You So

The first part of the book focuses on peoples misunderstanding of “the rare event” either the possibility of occurrence or the magnitude of its consequences. We are introduced to the 6th century Greek statesman, lawmaker and poet Solon.

“Solon gave the Lydian king some very wise advice, which however Croesus failed to appreciate until it was too late. Croesus had considered himself to be the happiest man alive and Solon had advised him, “Count no man happy until he be dead,” because at any minute, fortune might turn on even the happiest man and make his life miserable.”

Source http://en.wikipedia.org/wiki/Solon

In this first part we are also introduced to two polar opposite characters Nero and John who happen to be neighbors with very different trading strategies. These characters form a basis for reference throughout the book.

The second part looks at our bias towards randomness in particular survivorship bias. In short survivorship bias occurs, as we only tend to see the winners, this in turn leads to a distorted view of the odds. This is brilliantly exemplified with the creation of fictional investment advisors in a Monte Carlo simulation. Cognitive processing and the famous Kahneman and Tversky are also investigated.

Part three is far shorter then the other two parts but no less important. In the final three chapters Taleb highlights with specific examples how we wrongly associate noise and meaning. Path dependence is briefly discussed and the LTCM collapse is briefly discussed.

Conclusion
This is an extremely easy to read yet complete book. I personally found it very thought provoking, in particular it greatly increased my knowledge on the concept of survivorship bias. It also provides a basis for further reading. It definitely highlighted the fact that a basic understanding of probability is not enough to be a truly successful trader. It is a bit depressing to think that ones success in life is for the most part random and luck is most frequently the reason for “extreme success”. The epilogue truly rounds out the concepts of the book. This book is a must read for everyone not just traders.

Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets

An American Hedge Fund: How I Made $2 Million as a Stock Operator & Created a Hedge Fund: Books: Timothy Sykes

Timothy Sykes is nearly impossible to slap a conventional label on. He has managed to achieve what some people take a lifetime to achieve in just 26 years. He has been trader, hedge fund manager, reality TV star, publisher and author. Sykes most notable achievement was his great trading gains made from 1999-2002, where he turned $12,415 to $1.65 million trading penny stocks.An American Hedge Fund is an autobiography on Timothy Sykes. His early years are detailed very briefly and the book moves quickly into the start of his trading career.

An American Hedge Fund Contents

• Acknowledgments
• Introduction
• Prologue: A View from the Top
• Chapter One: Start Me Up
• Chapter Two: Bitten by the Bug
• Chapter Three: Show Time
• Chapter Four: The Freshman 107,000
• Chapter Five: Happy New Year!
• Chapter Six: Once in a Lifetime
• Chapter Seven: When the Levees Broke
• Chapter Eight: Margin of Safety
• Chapter Nine: No Business like Hedge Business
• Chapter Ten: 2004: A Hedge Fund Odyssey
• Chapter Eleven: The Year that Cygnus Built
• Chapter Twelve: I Love New York
• Chapter Thirteen: Pink to Red Ink
• Chapter Fourteen: I am a Warrior
• Chapter Fifteen: Lessons Learned
• The Numbers

The early chapters of the book detail Sykes early entrepreneurial endeavours, starting at the age of nine collecting tennis balls that had been lost and then reselling them. He then moved on to baseball cards followed by the restringing of tennis rackets. What is clearly evident in these chapters are Sykes drive and determination and willingness to take shortcuts, often to his detriment.

His early stock trading experiences first whilst at high school and then later at college are then examined in detail. Sykes realised early on that he did not have the capital to trade NASDAQ listed stock so he moved on to trading OTCBB listed companies. This proved to be a very lucrative endeavour for him. In these chapters Sykes is brutality honest and highlights the trades he was gambling on. He also highlights his lack of discipline, inability to cut his losses quickly and enormous ego. I found these chapters to be slowly paced as individual trades were discussed in great detail rather than summarise a particular group of similar trades.One of Sykes strengths seems to have been his adaptability. He was able to adapt to changing market conditions. After success with his penny stock publicity plays and gap plays he moved on to short selling. This also proved to be a successful approach.

The final chapters of the book detail Sykes creation of a hedge fund his search for capital and his annoyances with SEC regulations. The stock that would ultimately become the downfall of his hedge fund was also examined closely. His reality TV show appearances on Wall Street Warriors is briefly discussed and his move into self publishing.

Bottom Line
This book really does not shed a lot of light on the hedge fund industry there is no real secrets or inside knowledge revealed about hedge funds. The title An American Hedge Fund is definitely a marketing ploy. That being said Sykes is brutally honest detailing not just his successes but also his failures. It really does detail the transitory process every trader does indeed undertake. One of the hardest tasks a trader will face is mastering his or her own psychology. Sykes outlines his lack of discipline, lack of patience and ego which ultimately led to a large drawdown. I found the book entertaining yet slow in places. This book is definitely not for everyone if you are a successful trader who has mastered their own psychology I cannot see much benefit being derived from this book. If however you are new to trading or have not been introduced to the trading world this is a great cautionary tale that I think you will enjoy reading.

Amazon.com: The Complete TurtleTrader: The Legend, the Lessons, the Results: Books: Michael W. Covel ISBN: 0061241709 ISBN-13: 9780061241703

The turtle trading experiment came about after a dispute between Richard Dennis and Bill Eckhardt on the issue of weather great traders were born or made. Dennis had the view that an individual could be taught to be great trader while Eckhardt thought great traders required genetics and aptitude. In order to settle the matter ads were taken out in the Wall Street Journal, New York Times and Barron’s. The ads were for the position of trading apprentices and after an initial training period the trainee would be given an account to trade. Out of a thousand applicants 13 were selected, these trainees were known as the Original Turtles.

In the Complete Turtle Trader Michael Covel investigates the story of the turtles. The book takes a pragmatic and extremely well researched look at not just the turtle experiment in isolation but explores the events that took place directly before and after the turtle experiment.

The Complete Turtle Trader Contents

• Preface
• Acknowledgments
• Chapter 1 – Nurture versus Nature
• Chapter 2 – Prince of the Pit
• Chapter 3 – The Turtles
• Chapter 4 – The Philosophy
• Chapter 5 – The Rules
• Chapter 6 – In the Womb
• Chapter 7 – Who Got What to Trade
• Chapter 8 – Game Over
• Chapter 9 – Out on Their Own
• Chapter 10 – Dennis Comes Back to the Game
• Chapter 11 – Seizing Opportunity
• Chapter 12 – Failure Is a Choice
• Chapter 13 – Second-Generation Turtles
• Chapter 14 – Model Greatness
• Appendix I: Where Are They Now?
• Appendix II: Related Websites
• Appendix III: Turtle Performance Data
• Appendix IV: Turtle Performance While Trading for Richard Dennis
• Endnotes
• Index
• About the Author

In the early chapters, the book investigates the origins of the turtle experiment and the mastermind or “Prince of the Pit” behind the turtle experiment. A look at Dennis’s early life gives a good perspective of his core beliefs and by the age of 24 Dennis had already made $100,000 1973 dollars and was getting attention from the Chicago papers.

The turtle’s selection and training process is discussed at length giving you an almost fly on the wall insight. Dennis’s hiring process seemed to be somewhat unorthodox however given the nature of the interview and questions asked it was clear certain characteristics were required of potential turtles. It is clear from the outset that this was not a serious scientific experiment as the sample size was too small and there was clear sampling bias:

Self-selection bias, which is possible whenever the group of people being studied has any form of control over whether to participate. Participants’ decision to participate may be correlated with traits that affect the study, making the participants a non-representative sample. For example, people who have strong opinions or substantial knowledge may be more willing to spend time answering a survey than those who don’t.

Source http://wikipedia.org/

The core or middle chapters of the book delve into the philosophy, the rules, the trading experience and the end of the experiment. Covel outlines the original trading rules in the most simple easy to understand presentation of the turtle rules I have seen to date. These rules are complemented with the eleven “Trade your own account tip[s]”.

The final chapters look at the turtle’s performance when the experiment finished and the second-generation turtles. It is very interesting to see the turtles that continued to trade successfully and those that did not. The addition of the profile of a second-generation turtle adds weight to the turtle story. The fact that someone who was never involved in the original experiment can apply the rules so successfully is a testament to the system.

The Bottom Line

Having read Curtis Faiths book I thought I knew the turtle story, however I could not have been more wrong. If you want to gain an objective well researched and thoroughly enjoyable insight into the turtle trading experiment Michael Covel’s The Complete Turtle Trader is the only book on the market to provide this. Throughout the book, Covel gives the reader a brief historical context of events that occurred in the period that is being discussed. Younger readers like me will find this to be helpful. Although the book is very detailed and well referenced at no time does the pace slow down, even when details of the system are discussed in chapter five. This is a must read trading book and is written so well that it can be read by someone with little trading experience yet it will not bore the seasoned professional. I should note a great source of resources is the authors blog Turtle Trader.

Amazon.com: Way of the Turtle: The Secret Methods that Turned Ordinary People into Legendary Traders: Books: Curtis Faith

Way of the turtle begins with an explanation of the initial Turtle Trading experiment. This experiment came about after a dispute between Richard Dennis and Bill Eckhardt on the issue of weather great traders were born or made. Dennis had the view that an individual could be taught to be great trader while Eckhardt thought great traders required genetics and aptitude. In order to settle the matter ads were taken out in the Wall Street Journal, New York Times and Barron’s. The ads were for the position of trading apprentices and after an initial training period the trainee would be given an account to trade. Out of a thousand applicants 13 were selected, these trainees were known as the Turtles.

Curtis M. Faith, the youngest member of the original Turtle group, wrote way of the Turtle. It contains 278 pages not including the index forward and preface. The well-respected trading coach Van K. Tharp authored the preface and stated, “[Way of the Turtle] is one of the five best trading books ever written, and I will recommend that all my clients become familiar with its contents”.

Way of the Turtle Contents

• Chapter One – Risk Junkies
• Chapter Two – Taming the Turtle Mind
• Issues of psychology and the traders mind are talked about
• Chapter Three – The First $2 Million is the Toughest
• Chapter Four – Think Like a Turtle
• Chapter Five – Trading with an Edge
• Chapter Six – Falling of the Edge
• Chapter Seven – By what Measure?
• Chapter Eight – Risk and Money Management
• Chapter Nine – Turtle-Style Building Blocks
• Chapter Ten – Turtle-Style Trading: Step-by-Step
• Chapter Eleven – Lies, Damn Lies, and Backtests
• Chapter Twelve – On Solid Ground
• Chapter Thirteen – Bullet-proof Systems
• Chapter Fourteen – Mastering Your Demons
• Bonus Chapter – Original Turtle Trading Rules

The book takes a non-technical approach to explain key trading issues, by that I mean concepts are presented descriptively rather than quantitatively. This will definitely appeal to readers who do not have a technical background and makes for much easier reading.

The first chapter delves into the different market participants by focussing on the different trading styles of the hedger, scalper and speculator. Curtis also talks about the trading pits of Chicago and their death. This is a very brief coverage and as is most of the book geared towards futures traders. Psychology of trading and different market states are briefly touched upon, before looking at some simple technical indicators. .

Later chapters go through the risk of ruin, expectation, money management and gaining an edge for your trading. Throughout these chapters, indicators and statistical measures are introduced that are helpful in evaluating system performance. The money management section was very limited in scope, however this was deliberate Curtis states “Others have devised complex formulas and written entire books about money management. It shouldn’t be that complicated”.

There are six trading systems compared and contrasted in the book they are:

1. ATR Channel Breakout
2. Bollinger Breakout
3. Donchian Trend
4. Donchian Trend with time exit
5. Dual Moving Average
6. Triple Moving Average

Lies, damn lies and backtests, was by far one of the books stand out chapters and is something anyone considering buying a trading system or a black box system should read before making a decision. The bonus chapter rounds out the book by detailing the original turtle trading rules; this material has been around on the internet for a while.

Way of the Turtle is a must read trading book for the new trader it is full of wisdom and insight. The intermediate trader will derive less value from this book as a fair portion of the book is devoted to some of the basic trading concepts. That being said the pragmatic and structured approach in which ideas are presented allows for even the most advanced trader reading this book to gain knowledge without being bored. This book covers a lot of key areas in the development and testing of a trading system and provides an insider’s view of the Turtle trading experiment. I enjoyed the candour and openness of Curtis’s epilogue and the fact that he can readily admit his failures and talks about the issue of learning requiring failure. I would highly recommend this book to anyone considering a career as a trader.

One of my favourite quotes on the subject of failure:

“I’ve missed more than 9000 shots in my career. I’ve lost almost 300 games. 26 times, I’ve been trusted to take the game winning shot and missed. I’ve failed over and over and over again in my life. And that is why I succeed.” Michael Jordan