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I highly recommend this book and its upcoming revisions.

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The only weakness of the book is that it focusses almost exclusively on estimation under the assumption that error terms are identicallly and independently distributed (iid). However, all other undergraduate econometric textbooks (and a lot of graduate ones too!) display this preoccupation, so Griffiths et al are no worse than their rivals.
An update to this book would also be good, as it's nearly 10 years old now.
However, its good points far outweigh these weaknesses.







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Overall a useful contribution. I am sorry but the book does not live up to its title although it is good.

If I were to nename the book I would title it "A Good Little Book on Trading." The chapter on 2- and 3-day bar chart patterns has some new ideas and the chapters on evaluating and using mechanical trading systems are very worthwhile. I am impressed by the material on historical backtesting because it addresses the statistical problems and pitfalls that many traders make (too many systems are optimized to produce statistical false positives). The authors backtested a non-optimized system and compared it with dynamic optimization and found optimization underperformed the static version of the test!
In a nutshell, despite it not being "ultimate" this book is "quite good" and will give you fresh insights not seen anywhere else.






For the price of a few commissions, this writing has substance.
This is one of the few books that not only demonstrates varias trading systems, but provides one with a CD to download the material!
The systems alone could sell for thousands of dollars apiece.
When the professionals give you this much information, buy.
Robert Estill
Former NBC Sportscaster
Current Active Trader