The authors did an excellent job defining the correct way of optimizing system parameters. The part on exit techniques is also impressive. It contains a methodology on the development of exit strategies and presents many exit techniques.
Overall, the book is packed with a wealth of information. Every time I re-read a chapter I find a new gem. I strongly recommend this book to all mechanical system traders, especially those trading diversified commodity portfolios.
If you have a reasonably numerate background, perhaps with some software development experience, and have found yourself drawn to the concept of constructing your own mechanical trading system, you owe it to yourself to read this text. Quite simply, it is superb. The authors begin by describing the core components of a sound system, including the application of statistical inference and the selection of appropriate sample sets for back-testing. They then go on to provide a set of normalised comparisons of various trading 'rules' for entry and exit (e.g., breakouts, MAVs, oscillators, neural net predictors, etc.) together with discussion of optimisation systems (such as simulated annealing and genetic refinement). The actual results of some 'respectable' rulesets you may find rather shocking! And if you are only dimly aware of what genetic algorithms can offer the modern trader, you should buy this book for that reason alone.
The style of the text is clear and unstuffy, with chapters of readable length and well-structured content. The reader who wants to learn more will find this book an ideal jumping off point, since many references to the literature are provided, but an excessive technical background is not assumed, and the work is for the most part self-contained.
The only minor issues are 1) the title is a somewhat misleading; you will not find an A-Z list of trading strategies here, but rather a more select discussion of the techniques (and the validity of certain *classes* of strategy) involved in building viable automated trading systems; and 2) there is some ugleeee typesetting of mathematical formulae in Fortran (!). However, neither points really count for more than nitpicking in contrast to the value of the text overall.
In summary, there is real content here - described and justified, if you are an engineer like me, through the sort of scientific analysis and rigour that creates more excitement than a million words of hype. Fed up with TradeStation? Writing your own system in C++? In need of a bit of inspiration and guidance? If this sounds familiar, you want this book, believe me.
IMHO, it's a classic. Buy it.