The evaluation and optimization of trading strategies /

Aims to give traders a way to develop and verify their trading strategy of various forms they are using including stochastics, moving averages, chart patterns, RSI, or breakout methods. This book offers practical instruction and advice on the development, evaluation, and application of winning mecha...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Pardo, Robert, 1951-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : John Wiley, ©2008.
Edición:2nd ed.
Colección:Wiley trading.
Temas:
Investments > Data processing.
Futures > Data processing.
Options (Finance) > Data processing.
Investissements > Informatique.
Marchés à terme > Informatique.
Options (Finances) > Informatique.
BUSINESS & ECONOMICS > Investments & Securities > General.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Cover
  • Contents
  • Foreword
  • Preface
  • THERE AND BACK AGAIN
  • COMPUTING
  • THE INVESTMENT INDUSTRY
  • TRADING STRATEGY DEVELOPMENT TOOLS
  • THE RISE OF ADVANCED MATHEMATICAL CONCEPTS IN TRADING
  • TRADING MEETS HIGHER EDUCATION
  • Acknowledgments
  • Introduction: Why a Second Edition?
  • Chapter 1: On Trading Strategies
  • WHY THIS BOOK WAS WRITTEN
  • WHO WILL BENEFIT FROM THIS BOOK?
  • THE GOALS OF THIS BOOK
  • THE LAY OF THE LAND
  • Chapter 2: The Systematic Trading Edge
  • DISCRETIONARY TRADING
  • RAISING THE BAR
  • VERIFICATION
  • QUANTIFICATION
  • RISK AND REWARD
  • THE PERFORMANCE PROFILE
  • OBJECTIVITY
  • CONSISTENCY
  • EXTENSIBILITY
  • THE BENEFITS OF THE HISTORICAL SIMULATION
  • POSITIVE EXPECTANCY
  • THE LIKELIHOOD OF FUTURE PROFIT
  • THE PERFORMANCE PROFILE
  • PROPER CAPITALIZATION
  • A MEASURE OF REAL-TIME TRADING PERFORMANCE
  • THE BENEFITS OF OPTIMIZATION
  • THE BENEFITS OF THE WALK-FORWARD ANALYSIS
  • THE ADVANTAGES OF A THOROUGH UNDERSTANDING
  • CONFIDENCE
  • STRATEGY REFINEMENT
  • Chapter 3: The Trading Strategy Development Process
  • TWO PHILOSOPHICAL APPROACHES TO STRATEGY DEVELOPMENT
  • AN OVERVIEW OF THE TRADING STRATEGY DESIGN PROCESS
  • Chapter 4: The Strategy Development Platform
  • THE SCRIPTING LANGUAGE
  • DIAGNOSTICS
  • REPORTING
  • OPTIMIZATION
  • THE OBJECTIVE FUNCTION
  • SPEED
  • AUTOMATION
  • WALK-FORWARD ANALYSIS
  • PORTFOLIO ANALYSIS
  • IN CONCLUSION
  • Chapter 5: The Elements of Strategy Design
  • THE THREE PRINCIPAL COMPONENTS OF A STRATEGY
  • AN OVERVIEW OF A TYPICAL TRADING STRATEGY
  • A TRADE EQUALS AN ENTRY AND AN EXIT
  • THE MANAGEMENT OF RISK
  • THE MANAGEMENT OF PROFIT
  • POSITION SIZING
  • ADVANCED STRATEGIES
  • SUMMARY
  • Chapter 6: The Historical Simulation
  • THE ESSENTIAL REPORTS
  • THE IMPORTANCE OF ACCURACY
  • SOFTWARE LIMITATIONS
  • REALISTIC ASSUMPTIONS
  • LIMIT MOVES
  • MAJOR EVENTS AND DATES
  • HISTORICAL DATA
  • STOCK PRICES
  • CASH MARKETS
  • FUTURES MARKETS
  • THE CONTINUOUS CONTRACT
  • THE PERPETUAL CONTRACT
  • ADJUSTED CONTINUOUS CONTRACTS
  • THE SIZE OF THE TEST WINDOW
  • HOW MANY TRADES?
  • STABILITY
  • DEGREES OF FREEDOM
  • FREQUENCY OF TRADING
  • TYPES OF MARKETS
  • EFFICIENT MARKETS
  • THE LIFE CYCLE OF A TRADING STRATEGY
  • WINDOW SIZE AND MODEL LIFE
  • Chapter 7: Formulation and Specification
  • FORMULATE THE TRADING STRATEGY
  • SPECIFICATION-TRANSLATE THE IDEA INTO A TESTABLE STRATEGY
  • MAKE A VAGUE IDEA PRECISE
  • Chapter 8: Preliminary Testing
  • VERIFICATION OF CALCULATIONS AND TRADES
  • THEORETICAL EXPECTATIONS
  • PRELIMINARY PROFITABILITY
  • THE MULTIMARKET AND MULTIPERIOD TEST
  • Chapter 9: Search and Judgment
  • SEARCH METHODS
  • ADVANCED SEARCH METHODS
  • GENERAL PROBLEMS WITH SEARCH METHODS
  • THE OBJECTIVE FUNCTION
  • A REVIEW OF A VARIETY OF EVALUATION METHODS
  • MULTIPLE EVALUATION TYPES
  • Chapter 10: Optimization
  • OPTIMIZATION CONTRA OVERFITTING
  • A SIMPLE OPTIMIZATION
  • THE OPTIMIZATION FRAMEWORK
  • A MULTIMARKET AND MULTIPERIOD OPTIMIZATION
  • T$1.

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