Building Winning Algorithmic Trading Systems [[electronic resource] ] : A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading

• Autore: Davey Kevin
• Pubblicazione: Hoboken, : Wiley, 2014
• Edizione: 1st edition
• Descrizione fisica: 1 online resource (284 p.)
• Disciplina: 332.64; 332.642028567
• Soggetto topico: Electronic trading of securities; Futures; Investment analysis; Monte Carlo method; Portfolio management
• Note generali: Description based upon print version of record.
• Nota di contenuto: BUILDING 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 ; What 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 ; What 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? ; How 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 ; CHAPTER 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 ; CHAPTER 16 Position Sizing and Money Management
• Sommario/riassunto: Develop 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
• Titolo autorizzato: Building Winning Algorithmic Trading Systems
• ISBN: 1-118-77888-X; 1-118-77894-4
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910141661503321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley Trading