The first chapter defines the trading model and the various components: the portfolio, trading systems, position sizing, filters, and trade management. Although the book focuses on automating technical analysis techniques, these systems all work within the same framework introduced in the first chapter.
Chapters 2 through 7 cover a variety of trading systems: pair trading, pattern recognition, float analysis, momentum / range, and volatility. In Chapter 8, we create a "system" system by combining all of the systems into one strategy (a bottoms-up approach) and then compare this approach with a top-down system (a variation of the pattern recognition system) derived from market breadth and sentiment indices such as the put/call ratio, VIX, advancers/decliners, etc.
In Chapter 9, we recount one of our trading days. This was a fun chapter for us because we had no idea how the trades would pan out later in the week. After reading this chapter and our assessment of each chart, judge whether or not you are a better chart reader or system trader (N.B. we are the latter).
Chapter 10 is the day trading chapter (recall Ben Hur on a Roman galley chained to his rowing bench). Yeah, we poke fun at day traders but apply some common-sense technical analysis techniques for intraday trading. Hint: Use the rectangle for intraday trading, especially afternoon breakouts.
Finally, Chapter 11 contains the source code implemented in TradeStation's EasyLanguage: 64 pages of trading systems, indicators, and functions.
Regarding the book itself, many people have asked why we would publish these trading systems. The answer is that the systems are diverse and have an almost infinite number of variations, across time frame and sector. Find your niche and exploit it. As to the rating, we probably could have included more intraday examples and code in Chapter 10. Yes, the book will draw the ire of those who believe that one cannot trade the markets mechanically; however, with the proper software platform, we feel that any market knowledge can be encoded and implemented within a system.
Most of the systems incorporate the concept of price contraction/expansion and trading performance is mainly dependent on price volatility. These types of systems are a natural consequence of the bubble trading environment where prices surpassed normal levels of historical volatility by leaps and bounds. The trading environment is quite different now, as the recent rise in the markets is marked by low price volatility. This environment tends to favor trend following systems, something that the book does not present.
Stock selection and stop placement is a bit confusing. First, the position modelling incorporates an ATR factor of 1. The entry/exit default models call for a 0.3ATR trigger above and below the high/low. From the get go, the max. loss potential is 2*0.3+body of the bar, which in most cases will be greater than 1ATR. The exception to the case will be in the narrow range models, where the body of the previous bar may be small enough to limit stop loss at 1ATR. The other dubious issue is stock scanning and selection. It is not clear whether the authors trade the system on a stock for an extended period of time, or whether they scan the markets for stocks that meet the filtering criteria and perform a quick test to determine performance. If the latter, then the trading system works as an automated discretionary system rather than "mechanical" on its true meaning. The latter approach does not take advantage of the statistical edge of a system when only traded a few times in a certain stock, and becomes a random event.
The filtering seems somewhat very restrictive and the ATR trigger rather than the high or low of the bar is not convincing. I have developed and traded narrow range systems where the high/low of the bar works as a better triggering mechanisms. This is because of the nature of the stocks that the authors tend to favor in their selection. The filtering on the narrow range system is restrictive, and when traded on a single stock for a considerable period of time on a daily timeframe, the user might be disappointed.
But overall, the book is an excellent addition to your trading library.