A Comparison of Popular Trading Systems by Lars Kestner (Sep 30, 1999)

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Lars Kestner has been involved in the field of systematic trading for over eight years, and his work has been seen throughout the industry in publications such as Futures magazine and Technical Analysis of Stocks and Commodities. Mr. Kestner has attempted to quantify as much of the trading process as possible, replacing subjectivity with rigorous mathematical analysis. Other interests include performance evaluation resulting in his performance measure, the K-ratio, which can be found in many analysis software packages today. Lars is also a derivatives trader at a major investment bank.

"A Comparison of Popular Trading Systems" 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.

 

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