The evaluation and optimization of trading strategies [[electronic resource] /] / Robert Pardo

• Record Nr.: UNINA9910145744303321
• Autore: Pardo Robert <1951->
• Pubbl/distr/stampa: Hoboken, N.J., : John Wiley, c2008
• ISBN: 1-119-19696-5; 1-281-21753-0; 9786611217532; 0-470-26285-0
• Edizione: [2nd ed.]
• Descrizione fisica: 1 online resource (366 p.)
• Collana: Wiley trading
• Altri autori (Persone): PardoRobert <1951->
• Disciplina: 332.6; 332.64/5
• Soggetti: Investments - Data processing; Futures - Data processing; Options (Finance) - Data processing; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Rev. ed. of: Design, testing, and optimization of trading systems. c1992.
• Nota di bibliografia: Includes bibliographical references (p. 319-321) and index.
• Nota di contenuto: The Evaluation and Optimization of Trading Strategies; 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 PROFILEOBJECTIVITY; 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 PlatformTHE 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 ASSUMPTIONSLIMIT 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 TRADESTHEORETICAL 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; THE EVALUATION OF THE OPTIMIZATION; THE ROBUST TRADING STRATEGY; THE STATISTICALLY SIGNIFICANT OPTIMIZATION PROFILE
• Sommario/riassunto: A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading