A Comparison of Popular Trading Systems – Lars Kestner

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Description

This book was originally written to determine which ideas and strategies of published authors were profitable. The systems found in popular books usually were not rigorously tested for performance. This manual is a vehicle to test that performance. In its second edition, the analysis has been updated and expanded to include more ideas and new techniques. Lars thoroughly tests some classic systems such as the 40/20 Channel Breakout, 10/40 moving average crossover, RSI, Stochastics, and 20 day momentum. He then tears apart and even improves the performance of 34 systems designed by gurus Jake Bernstein, Welles Wilder, Tom DeMark, Ulf Jensen, Tushar Chande and Stanley Kroll, Robert Barnes, and Joe Krutsinger. It’s then wrapped up with summary tables showing clearly which systems work and don’t work. He even includes the Easy Language code for the systems!

The first edition was originally written to determine which ideas and strategies of published authors were profitable. The systems found in popular books usually were not rigorously tested for performance. With an analysis that has been updated and expanded to include more ideas and new techniques, this manual is a vehicle to test that performance.

Table of Contents:

Table of Contents

1. Introduction 7
a. Why am I doing this?
b. Testing guidelines
c. The markets
d. Performance statistics
2. Systems 19
a. Control Systems
1. 40/20 Channel Breakout 21
2. 10/40 Dual Moving Average Crossover 26
3. 20 day Momentum 31
4. 14 day RSI Oscillator 36
5. 14 day %K Slow Stochastic. 41
b. Robert Barnes – Trading in Choppy Markets
1. Box Size Breakout Contra-Method
(10 days) 46
2. Box Size Breakout Contra-Method
(40 days) 51
3. DRV Profit Taker 56
4. Oscillator Method 61
5. Oscillator Method with ADX Filter 66
c. Jake Bernstein – Short Term Futures Trading
1. Stochastic Pop 71
2. Stochastic Pop (Revised by Lars
Kestner) 76
3. Critical Time of Day (Week) (Revised by
Lars Kestner) 81
4. Dual Exponential Moving Average 86
d. Tushar Chande Stanley Kroll – The New
Technical Trader
1. 5 day %F with 3 day Moving Average
Crossover 91
2. 20 day %F with 10 day Moving Average
Crossover 96
3. 0.20 and 0. 10 VIDYA Crossover 101
4. 8 day QStick with 8 day Moving Average
Crossover 106
5. 20 day QStick with 20 day Moving Average
Crossover 111
6. Chande Momentum Oscillator with Moving
Average Crossover 116
e. Thomas DeMark – The New Science of
technical analysis
1. TD Line Penetration of Strength 1 121
2. TD Line Penetration of Strength 3 126
3. RS1 Mild Overbought/Oversold 131
4. RE] Mild Overbought/Oversold with Moving
Average Filter 136
5. DeMarker Mild Overbought/Oversold with
Moving Average Filter 141
6. Overbought/Oversold Moving Average
System 146
f. Ulf Jensen – How I Tripled My Money in the
Futures Market
1. Kurtosis with Alpha=0.03 151
2. Kurtosis with Alpha=0.10 156
3. FSRS 161
4. 1-2-3 Reversal System 166
g. Joe Krutsinger – The Trading Systems Toolkit
1. One Night Stand 171
2. Joe’s Texas Two Step (3 day Moving
Average) 176
3. Joe’s Texas Two Step (10 day Moving
Average) 181
4. Joe’s Quarter Pounder 186
5. Joe’s Gap 191
6. Fib Catcher 196
7. Joe’s Jesse Livermore 201
h. Welles Wilder – New Concepts in Technical
Trading Systems
1. Volatility System 206
2. Directional Movement 211
3. Evaluation 217
a. Summary of system statistics 218
b. Rankings based on Net Profit 219
c. Rankings based on K-ratio 221
d. Rankings based on Sharpe Ratio 223
4. Conclusion 225
a. Comments on the overall performance of the
systems tested
b. Where do we go from here
5. Appendix Easy Language Code 227