Mean Reversion Trading System: Practical Methods for Swing Trading

I have each book published by Howard Bandy. This book, the Mean Reversion one, is the first that I've read in detail. I've worked through various aspects of each of the others. This is easily the best book I have read on mean reversion, and I have an extensive electronic and physical collection of most of the landmark/important authors. Howard Bandy is one of the real centers of knowledge on this topic and the topic of system development. The books are gems. Prior to reading this book, I noted that one other reviewer's comments consisted of how this book is a "major contribution" to technical analysis. Having now read it, that reviewer's comments were no overstatement: It is most certainly a major and important contribution. When used against the backdrop of Bandy's other publications, this is also a major contribution to the thinking dealing with system development. If you are a system developer, or if you are dealing with a statistics-based framework for trading/investing, you should own and will likely dog-ear this book. You can and will learn an enormous amount from this author. Thanks to the author for putting together a very valuable collection of books.

The Good: The material is explained in a clear and direct way. I tested some of the systems in the book, with some modifications, they look good enough to trade also today. The emphasis placed on simplicity of systems is I think quite unique in this field of systems design. Adding more and more filters, indicators, conditions, rules and parameters significantly increases the chance to over-fit the data. The author does an excellent job explaining it. I read some criticism about the fact the code is in Python. Well, it has to be in one language or another. I never saw a code in python before reading this book, but I could still easily read and understand it. I think anyone with some programming experience will have a similar experience. And since the rules are clear enough it should not be a problem to code it in a language one prefers anyway. If you have no experience in programming and just want to copy and paste a code somewhere, well, hoping things are going to be that easy means you are in the wrong business. The Bad: Some content is trivial or repetitive while in other cases there is not enough elaboration in my opinion. I would have liked to see more numbers, more results of the described systems. I don't recall Volume ever seriously discussed (or perhaps even mentioned?) in the book, how come? The issue of correlation between several systems running simultaneously can also have more depth, I certainly expected more from that section. The Ugly: the fonts on the text and figures that appears on most of the charts and tables are so tiny, they are almost undecipherable. I had to use my phone to zoom in so I could read it. This is something that can be easily corrected. A few hours of work that will make the book much more friendly to the reader. Overall, a lot of value in this book, I am yet to see another book on mean reversion that is as relevant to actual systems development as this one.

Masterfully written. Dr. Bandy carefully takes the reader through elements to consider to come up with trading systems which have low single digit levels of drawdown. This is incredible. Not only does he explain the systems thoroughly, he gives the Amibroker code, which enables one to use the system in one's own trading. The only qualm I have with the book is that I wish the author would have added an equal amount of short systems. There are some of us who trade options, and it's just as easy to short as it is to go long.UPDATE: See Dr. Bandy's comment, below, as to why longs were the concentration of discussion. Regards, Marc

All the indicator information was written in AMIBroker language and so not readable for other traders.

Its not a good book for traders (maybe its a good book for mathemathicians). It shows very basic systems and test some features. The equity growth shown is about 10% in 10 years... Waste of my money

author talks about some rudimentary systems and how to evaluate them. Not a field guide for mean reversion systems

I would like to start confessing that my review is biased: I am a big fan of Dr Bandy, who, in my point of view, is one of the biggest authors in ATS development. If you understand that system development is an engeneering endeavor, this book (as his others) is one that you can't put aside. You can learn with his books probably the best way to develop a system, how to test a system in order to get confidence about it and for new Amibroker users you can algo learn a lot about AFL language.

I have read many 5 star rated trading and investment books, this one is clearly not a 5 star. I am not sure why all the reviews prior to mine all rated it 5 star. All the books that are rated 4.5 stars or higher usually are written in a very engaging way. This book clearly doesn't belong to that group. It is written in a dry, sometimes incoherent way. I was thinking I could find some inspirational ideas about meaning reversion trading, but aside from a couple of ideas borrowed from other books (with permission), there isn't that much that is new to me. The book is a bit more theoretical then the typical trading books for practitioners that you find, with some mathematical transformations, but there are few examples as to how to use these transformations in practice. I have to admit that I am not interested in Amibroker codes. So I can not judge the merit of the Amibroker codes shown in this book, and there are tons of Amibroker codes here. But I am giving it the benefit of doubt and assuming the Amibroker codes are of good value to some other readers, otherwise, I would have rated it lower than 4 star.