LEADER 05294nam 22006373u 450 001 9910141661503321 005 20230803194324.0 010 $a1-118-77888-X 010 $a1-118-77894-4 035 $a(CKB)2560000000251001 035 $a(EBL)1711618 035 $a(CaSebORM)9781118778883 035 $a(MiAaPQ)EBC4038615 035 $a(MiAaPQ)EBC1711618 035 $a(EXLCZ)992560000000251001 100 $a20140623d2014|||| u|| | 101 0 $aeng 135 $aurunu||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aBuilding Winning Algorithmic Trading Systems$b[electronic resource] $eA Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading 205 $a1st edition 210 $aHoboken $cWiley$d2014 215 $a1 online resource (284 p.) 225 1 $aWiley Trading 300 $aDescription based upon print version of record. 311 $a1-118-77898-7 327 $aBUILDING WINNING ALGORITHMIC TRADING SYSTEMS; CONTENTS; ACKNOWLEDGMENTS; ABOUT THE AUTHOR; INTRODUCTION; Who Can Benefit from This Book?; PART I A Trader's Journey; CHAPTER 1 The Birth of a Trader; My Moving Average Debacle; CHAPTER 2 Enough Is Enough; Research; You Can't Lose-Or Can You?; Averaging Down-Adding to Losers; The Wild Man Emerges; Time to Evaluate; CHAPTER 3 World Cup Championship of Futures Trading® Triumph; 2005; 2006; 2007; Reflections on the Contest; CHAPTER 4 Making the Leap-Transitioning to Full Time; Confidence; What I Did Right; What I Did Wrong; Capital; What I Did Right 327 $aWhat I Did Wrong Living Expenses; What I Did Right; What I Did Wrong; Family Support; What I Did Right; What I Did Wrong; Home Office Setup; What I Did Right; What I Did Wrong; Trading Strategies; What I Did Right; What I Did Wrong; Brokers; What I Did Right; What I Did Wrong; Free Time; What I Did Right; What I Did Wrong; Taking the Plunge; PART II Your Trading System; CHAPTER 5 Testing and Evaluating a Trading System; Historical Back Testing; Out-of-Sample Testing; Walk-Forward Analysis; Real-Time Analysis; CHAPTER 6 Preliminary Analysis; CHAPTER 7 Detailed Analysis 327 $aWhat Is Monte Carlo Analysis? Inputs to Monte Carlo Simulator; Limitations of the Simulator; Simulator Output; Starting Equity; Risk of Ruin; Median Drawdown; Median Profit, Median Return; Return/Drawdown; Prob > 0; Summary; CHAPTER 8 Designing and Developing Systems; Isn't It All Just Optimizing?; PART III Developing a Strategy; CHAPTER 9 Strategy Development-Goals and Objectives; CHAPTER 10 Trading Idea; How Will You Enter a Market?; How Will You Exit a Market?; What Markets Will You Trade?; What Type of System Do You Want?; What Time Frame/Bar Size Will You Trade? 327 $aHow Will You Program the Strategy? CHAPTER 11 Let's Talk about Data; How Much?; Pit or Electronic Data?; Continuous Contracts; The Impact of Electronic Markets; Testing with Forex Data; Summary; CHAPTER 12 Limited Testing; Entry Testing; Fixed-Stop and Target Exit; Fixed-Bar Exit; Random Exit; Entry Evaluation Criteria; Exit Testing; Similar-Approach Entry; Random Entry; Exit Evaluation Criteria; Core System Testing; Monkey See, Monkey Do; Test 1: "Monkey Entry"; Test 2: "Monkey Exit"; Test 3: "Monkey Entry, Monkey Exit"; Time Frames; Monkey Testing-Example 327 $aCHAPTER 13 In-Depth Testing/Walk-Forward Analysis No Parameters; A Walk-Forward Primer; Walk-Forward Inputs; In Period; Out Period; Fitness Function; Net Profit; Linearity of Equity Curve; Return on Account; Anchored/Unanchored; Running the Analysis; Put the Walk-Forward Strategy Together; CHAPTER 14 Monte Carlo Analysis and Incubation; Incubation; Evaluating Incubation; CHAPTER 15 Diversification; Designing with Diversification in Mind; Measuring Diversification; Daily Return Correlation; Linearity of Equity Curve; Maximum Drawdown; Monte Carlo, Return/Drawdown 327 $aCHAPTER 16 Position Sizing and Money Management 330 $aDevelop your own trading system with practical guidance and expert advice In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing 410 0$aWiley Trading 606 $aElectronic trading of securities 606 $aFutures 606 $aInvestment analysis 606 $aMonte Carlo method 606 $aPortfolio management 615 4$aElectronic trading of securities. 615 4$aFutures. 615 4$aInvestment analysis. 615 4$aMonte Carlo method. 615 4$aPortfolio management. 676 $a332.64 676 $a332.642028567 700 $aDavey$b Kevin$0891453 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910141661503321 996 $aBuilding Winning Algorithmic Trading Systems$91991101 997 $aUNINA