Stocks & Commodities V. 25:8 (66-71): Interview: Risky Positions With Keith Fitschen Of TradeSystem, Inc. by Jayanthi Gopalakrishnan

Interview: Risky Positions With Keith Fitschen Of TradeSystem, Inc. by Jayanthi Gopalakrishnan

Keith Fitschen has been developing technical trading systems for the futures markets for 20 years, actively trading his systems. His initial research was on the quantification of curve-fitting in system development and resulted in a methodology that relates the degree of overfitting to the number of trades in the development sample. With this method he developed the mechanical system Aberration. Developed in 1986, it was commercially released in 1993 and has been feted as one of the top 10 trading systems by Futures Truth. Fitschen also developed the Start- Trade Drawdown criteria, which is a better measure of risk to a small-account trader than traditional drawdown metrics.

Fitschen, who has a master’s degree in electrical engineering (with an emphasis on stochastic estimation), has developed guidance systems for tactical airlaunched weapons and acoustic tracking systems. This expertise in noisy time series data has led to his success in developing trading systems for noisy market data. He is the president of TradeSystem and provides trading system information on his website, www.keithstrading.com.

STOCKS & COMMODITIES Editor Jayanthi Gopalakrishnan spoke to Keith Fitschen on June 5, 2007, via telephone.

Keith, how did you get interested in trading?

I was in the Air Force and I had a degree in electrical engineering. The Air Force decided to send me to graduate school. When I showed up, my advisors said, “You are going to take something called stochastic estimation.” I didn’t know what that was, so I suggested I should perhaps do something digital. They said, “No. This is what you are going to do.” So I got the degree.