An Introduction to Algorithmic Trading: Basic to Advanced Strategies (Wiley Trading) [Englisch] [Gebundene Ausgabe]

I found this book completely useless. Fortunately, it is largely fluff and thus did not waste much of my time.

The basic idea of this book is that individual traders can benefit from trading at higher frequencies (in the 10s of seconds). I agree with the premise, but their execution is horribly flawed.

I have two big complaints: First the book is not about algorithmic trading, it is about systems trading. Algorithmic trading is systems trading wherein the system is programmed into a computer and allowed to execute orders without human intervention. This book teaches you how build an excel spreadsheet to provide you with trading signals according to your system. They expect you to manually enter the orders. Doing this reliably with the number of trades their system generates is something I would not want to attempt.

Second, the book does not cover anything that could be categorized as "Advanced". Anyone with a modicum of exposure to trading systems design, technical analysis and a bit of Excel experience will find nothing new here.

The first 30 pages, are a description of how big banks use algorithmic trading to cut costs and reduce the impact of large orders. This information could be found on the internet. They then spend the next 40 pages providing very poor introductions to statistics, Excel, and high frequency (tick) data. Another 30 pages get spend rambling about how to pick stocks that are worth trading by using various well known metrics. Fifteen pages are then spent briefly describing the example systems included on the CD. These are extremely simple applications of standard technical analysis methods. The only "innovation" is one that should be obvious to anyone remotely familiar with high frequency data -- instead of calculating moving averages over a series of equal-time charted bars, they calculated a moving average over the last so many market crossing (ticks).

That brings us to about page 115. From there until 160 is a random collection of things that you could find on the internet by searching various topics, and a bit of information about data vendors and computer hardware that might be worth something to someone totally unfamiliar with systems trading at high-frequencies.

The book closes with some Appendices which were also non-helpful.

At best I can say that the included CD might help someone with little or no Excel experience by providing some half-decent examples. Still, for the price of this book, I think you could find much better Excel lessons.

Finally, although they don't provide the details on how to do it, there is no reason you couldn't tie in an Excel model like the examples they provide to a trading system (like TradingTechnologies X_Trader) and fully automate your trading. This would be the simplest and most painless way for an individual trader with little programing experience to automate his or her trading system. Of course, as even they point out, Excel eats up a massive amount of computer resources for what it does. Using Excel for rapid prototyping might be useful, but when it comes to actually running the system, I'd much rather a compiled piece of well tested software than an Excel spreadsheet.

The book should be titled " How to calculate moving averages crossover in Excel and punch keys for execution" Deserves an award for padding.

The book is completly poor.I bought the book based on the index that by the way is interesting but when I received the book at home and started to read oh my gosh.. each subject is composed by three or four pages explained badly.There's no pratical sample and nothing that really teaches effectively.