05510nam 2200697 a 450 991014574430332120170814190137.01-119-19696-51-281-21753-097866112175320-470-26285-0(CKB)1000000000412642(EBL)331634(OCoLC)476131201(SSID)ssj0000150787(PQKBManifestationID)11910591(PQKBTitleCode)TC0000150787(PQKBWorkID)10281444(PQKB)10402962(MiAaPQ)EBC331634(EXLCZ)99100000000041264220070917d2008 uy 0engur|n|---|||||txtccrThe evaluation and optimization of trading strategies[electronic resource] /Robert Pardo2nd ed.Hoboken, N.J. John Wileyc20081 online resource (366 p.)Wiley tradingRev. ed. of: Design, testing, and optimization of trading systems. c1992.0-470-12801-1 Includes bibliographical references (p. 319-321) and index.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 REWARDTHE 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 PROCESSChapter 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 LIMITATIONSREALISTIC 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 TestingVERIFICATION 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 STRATEGYTHE STATISTICALLY SIGNIFICANT OPTIMIZATION PROFILEA 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 tradingWiley trading.InvestmentsData processingFuturesData processingOptions (Finance)Data processingElectronic books.InvestmentsData processing.FuturesData processing.Options (Finance)Data processing.332.6332.64/5Pardo Robert1951-990680Pardo Robert1951-990680MiAaPQMiAaPQMiAaPQBOOK9910145744303321The evaluation and optimization of trading strategies2266801UNINA