Home | Amazing | Today | Tags | Publishers | Years | Account | Search 
Testing and Tuning Market Trading Systems: Algorithms in C++

Buy

Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You’ve had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here?  Well, this book discusses and dissects this case study approach.  

Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its real-life performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not live up to expectations.

This book does not contain any sure-fire, guaranteed-riches trading systems. Those are a dime a dozen... But if you have a trading system, this book will provide you with a set of tools that will help you evaluate the potential value of your system, tweak it to improve its profitability, and monitor its on-going performance to detect deterioration before it fails catastrophically. Any serious market trader would do well to employ the methods described in this book.

What You Will Learn

  • See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimately
  • Detect overfitting early in development
  • Estimate the probability that your system's backtest results could have been due to just good luck
  • Regularize a predictive model so it automatically selects an optimal subset of indicator candidates
  • Rapidly find the global optimum for any type of parameterized trading system
  • Assess the ruggedness of your trading system against market changes
  • Enhance the stationarity and information content of your proprietary indicators
  • Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems
  • Compute a lower bound on your system's mean future performance
  • Bound expected periodic returns to detect on-going system deterioration before it becomes severe
  • Estimate the probability of catastrophic drawdown

 Who This Book Is For

Experienced C++ programmers, developers, and software engineers.  Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.  

(HTML tags aren't allowed.)

Programming with POSIX® Threads
Programming with POSIX® Threads

This book is about "threads" and how to use them. Thread" is just a name for a basic software "thing" that can do work on a computer. A thread is smaller, faster, and more maneuverable than a traditional process. In fact, once threads have been added to an operating system, a "process" becomes just...

Microsoft SharePoint 2010 Business Intelligence Unleashed
Microsoft SharePoint 2010 Business Intelligence Unleashed

Business intelligence (BI) has been around for many more years than you might think. Decision support systems (DSS) and executive information systems (EIS) from the 1970s and 1980s, along with artificial intelligence (AI) systems from the 1990s, can now all be considered as part of what BI comprises today.

In brief, BI refers...

Advances in Digital Forensics VI: Sixth IFIP WG 11.9 International Conference on Digital Forensics, Hong Kong, China
Advances in Digital Forensics VI: Sixth IFIP WG 11.9 International Conference on Digital Forensics, Hong Kong, China

Digital forensics deals with the acquisition, preservation, examination, analysis and presentation of electronic evidence. Networked computing, wireless communications and portable electronic devices have expanded the role of digital forensics beyond traditional computer crime investigations. Practically every type of crime now involves some...


Excel 2007 Dashboards & Reports For Dummies (Computer/Tech)
Excel 2007 Dashboards & Reports For Dummies (Computer/Tech)
Create dashboards that communicate and get noticed

Use pivot tables and form controls to build reports that mean something

What's the use of putting out reports that no one bothers to read? Properly created dashboards are graphical representations that put data in a context for your audience,...

Using Social Media for Global Security
Using Social Media for Global Security

Essential reading for cybersecurity professionals, security analysts, policy experts, decision-makers, activists, and law enforcement!

During the Arab Spring movements, the world witnessed the power of social media to dramatically shape events. Now this timely book shows government decision-makers, security analysts, and...

Pro Spring
Pro Spring

Pro Spring updates the perennial bestseller with the latest that the Spring Framework 4 has to offer. Now in its fourth edition, this popular book is by far the most comprehensive and definitive treatment of Spring available.

With Pro Spring, you’ll learn Spring basics and core topics, and share the...

©2021 LearnIT (support@pdfchm.net) - Privacy Policy