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Algorithmic Trading Systems and Strategies : Design, Build, and Maintain an Effective Strategy Search Mechanism
| Algorithmic Trading Systems and Strategies : Design, Build, and Maintain an Effective Strategy Search Mechanism |
| Autore | Dolzhenko Viktoria |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Berkeley, CA : , : Apress L. P., , 2024 |
| Descrizione fisica | 1 online resource (452 pages) |
| Disciplina | 332.6/04 |
| Soggetto topico |
Investments - Data processing
Application software - Development - Computer programs |
| ISBN |
9798868803574
9798868803567 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Table of Contents -- About the Author -- About the Technical Reviewers -- Introduction -- Chapter 1: Popular Approaches to Developing Trading Systems -- Manual Trading -- Ready-Made Signals and Algorithms -- Signals -- Third-Party Algorithms -- Specialized Services -- Independent Creation of a Trading Platform -- Testing a Single Strategy -- Various Developer Approaches -- Hiring Third-Party Developers -- My Approach -- Summary -- Chapter 2: Introduction to Developing Trading Systems -- General Theory -- Order Execution -- Margin and Leverage -- Composition of the Trading System -- Trading Theory -- Technical Analysis -- Graphical Analysis -- Indicators and Oscillators -- Trend Analysis -- Fibonacci Retracement and Extension -- Fundamental Analysis -- Mixed Approach -- Volatility -- Signals -- Capital Management -- Fixed Position Sizing -- Kelly Criterion -- Optimal f -- Martingale -- Anti-Martingale -- Fixed Proportional Position Sizing -- Risk Control -- Maximum Loss Amount -- Stop Loss Orders -- Take Profit Orders -- Trailing Stop Orders -- Portfolio Diversification -- Monitoring Market Volatility -- Testing -- Performance Indicators -- Optimization -- Summary -- Chapter 3: Architectural Solution Part 1: Identifying the Requirements -- Requirements Elicitation -- Signals -- First View of the Process -- Theory Generator -- Strategies Searching -- One-Step Approach -- Two-Step Approach -- Selection and Forward Testing -- Selection of Financial Instruments -- Setting Up a Search for a Profitable Strategy -- The Logic of Searching for Profitable Strategies -- Real Trading -- Important Questions -- Life Cycle of a Position -- Capital Management -- Risk Control -- Take Profit and Stop Loss -- Trailing System Order -- Scalability of Indicators -- Summary -- Chapter 4: Architectural Solution Part 2: Services and Subsystems.
Microservice Architecture -- Kubernetes -- Subsystems -- Strategy Search Subsystem -- Processing Generators -- Queue -- Finite State Machine -- Concept of Theory Processing Steps -- Calculation of Subtheories -- Process Review for Generators -- Optimization Algorithms -- Tasks -- Core -- Sandbox Exchange -- Real Trading Subsystem -- Integration with Exchanges -- Launch and Operation of Strategies -- Enabling and Disabling Strategies -- Checking the Type of Financial Instrument -- Master Data -- Summary -- Chapter 5: Technology Stack and Libraries -- Choosing a Framework -- Application Architecture -- Spaghetti Code -- Clean Architecture -- Domain-Driven Design vs. Anemic Model -- Object Relational Mapper -- How to Use Dapper -- Migrations -- Finite State Machine -- Principle -- Hosted Service -- Backworker -- Summary -- Chapter 6: Optimization Algorithms -- Formulation of the Problem -- Population Algorithms -- Genetic Algorithms -- Mutation Operators -- Random Operator -- Arithmetic Real Number Creep Operator -- Gauss Operator -- Crossover Operators -- Flat Crossover -- Blend Crossover -- Arithmetical Crossover -- Heuristic Crossover -- Linear Crossover -- Fuzzy Crossover -- Simulated Binary Crossover (SBX) -- Filtering Operators -- Roulette Method (Proportional Sampling) -- Proportional Sampling Method -- Stochastic Universal Method -- Tournament Method -- Rank-Based Method -- Elitism-Based Method -- Clipping Method -- Crowding Method -- Selection Operators -- Panmixia Method -- Selective Selection Method -- Inbreeding -- Outbreeding -- Restrictions -- Sliding Tolerance Method -- Penalty Method -- Death Penalty -- Static Penalties -- Dynamic Penalties -- Segregated Genetic Algorithm -- Reduction Method -- Behavioral Memory Method -- Local Unconstrained Optimization Algorithms -- One-Step Algorithms -- Selecting the Search Direction. Rules for Choosing Step Size -- Multistep Algorithms -- Multipoint Algorithms -- Simplex or Complex Algorithm -- Hypersphere Algorithm -- Random Search Algorithms -- Monte Carlo Algorithm -- Simulated Annealing Algorithm -- Random Restarts Algorithm -- Iterated Local Search -- Summary -- Chapter 7: Implementation of Optimization Algorithms -- General View -- Brute-Force Algorithm -- Getting Info -- Getting a Set of Values -- How to Use -- Genetic Algorithm -- Steps -- Getting Info -- Getting a Set of Values -- Initialization Step -- Mutation Step -- Filtering Step -- Roulette Operator -- Elitism Operator -- Breeding Step -- Selection Step -- Selection Operator -- Panmixia Operator -- Crossing Step -- Test Functions -- SubTheory Example -- Summary -- Chapter 8: Implementation of the Core Module -- Use Cases -- Context -- Update Candle Event -- Check Signals -- Strategy Model -- Calculate Signal -- Calculation of Indicators -- Average True Range (Atr) -- Process of Positions -- Process Bot (Lite Version) -- Process Steps -- Events -- Process Acts -- Summary -- Chapter 9: Approaches to Final Implementation -- Binance Adapter -- Implementation -- Docker -- History -- Why Is This Needed? -- Docker Components -- Launching the Application -- Kubernetes -- Components -- Pods -- Deployments -- Services -- Helm -- Summary -- Index. |
| Record Nr. | UNINA-9910872191603321 |
Dolzhenko Viktoria
|
||
| Berkeley, CA : , : Apress L. P., , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Building winning trading systems with TradeStation [[electronic resource] /] / George Pruitt and John R. Hill
| Building winning trading systems with TradeStation [[electronic resource] /] / George Pruitt and John R. Hill |
| Autore | Pruitt George <1967-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2012 |
| Descrizione fisica | 1 online resource (417 p.) |
| Disciplina | 332.64/2028553 |
| Altri autori (Persone) | HillJohn R. <1926-> |
| Collana | Wiley trading series |
| Soggetto topico |
Investments - Data processing
Stocks - Data processing |
| ISBN |
1-119-20495-X
1-283-52964-5 9786613842091 1-118-22643-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Building Winning Trading Systems with TradeStation; Contents; Foreword; Preface; Acknowledgments; CHAPTER 1 Fundamentals-What Is EasyLanguage?; VARIABLES AND DATA TYPES; OPERATORS AND EXPRESSIONS; Precedence of Operators; TRADESTATION 2000I VS TRADESTATION 9.0; TradeStation 2000i; TradeStation 9.0; CONCLUSIONS; CHAPTER 2 EasyLanguage Program Structure; STRUCTURED PROGRAMMING; PROGRAM HEADER; CALCULATION MODULE: MYRSISYSTEM; CONCLUSIONS; CHAPTER 3 Program Control Structures; CONDITIONAL BRANCHING WITH IF-THEN; CONDITIONAL BRANCHING WITH IF-THEN-ELSE; REPETITIVE CONTROL STRUCTURES; ForLoop
WhileLoopCONCLUSIONS; CHAPTER 4 TradeStation Analysis Techniques; INDICATORS; PAINTBAR AND SHOWME STUDIES; FUNCTIONS; STRATEGIES; CONCLUSIONS; CHAPTER 5 Measuring Trading System Performance and System Optimization; TRADESTATION'S SUMMARY REPORT; Total Net Profit; Maximum Intraday Draw Down; Account Size Required and Return on Account; Average Trade; Maximum Consecutive Winners and Losers; Number of Trades and Average Number of Bars per Trade; Average Winning and Losing Trade; Sharpe Ratio; Rina Index; Buy-and-Hold Return; Trades; TRADE ANALYSIS; 1 Std. Deviation of Avg. Trade Number of OutliersAvg. Efficiency; Total; Entry/Exit; Graphs; OPTIMIZATION OLD SCHOOL STYLE; Using Excel Versions Prior to 2010; Using Excel 2010; Genetic Optimization; Walk-Forward Testing and Optimizer; CONCLUSIONS; CHAPTER 6 Trading Strategies That Work (or the Big Damn Chapter on Trading Strategies); THE KING KELTNER TRADING STRATEGY; King Keltner Pseudocode; King Keltner Program; King Keltner Summary; THE BOLLINGER BANDIT TRADING STRATEGY; Bollinger Bandit Pseudocode; Bollinger Bandit Program; Bollinger Bandit Summary; THE THERMOSTAT TRADING STRATEGY; Thermostat Pseudocode Thermostat ProgramThermostat Summary; THE DYNAMIC BREAK OUT II STRATEGY; Dynamic Break Out II Pseudocode; Dynamic Break Out II Program; Dynamic Break Out II Summary; THE SUPER COMBO DAY TRADING STRATEGY; Super Combo Daily Data Bar Calculation Pseudocode; Super Combo Code; Super Combo Summary; THE GHOST TRADER TRADING STRATEGY; THE MONEY MANAGER TRADING STRATEGY; BONUS TRADING STRATEGIES; CONCLUSIONS; CHAPTER 7 Debugging and Output; LOGICAL VERSUS SYNTAX ERRORS; DEBUGGING WITH THE PRINT STATEMENT AND THE PRINT LOG; DEBUGGING WITH THE BUILT-IN DEBUGGER; TABLE CREATOR; CONCLUSIONS CHAPTER 8 TradeStation as a Research ToolCOMMITMENT OF TRADERS REPORT; Day of Week Analysis; Day of Week Volatility Analysis; Time of Day Analysis; Pattern Recognition; Intermarket Analysis; CONCLUSIONS; CHAPTER 9 Using TradeStation's Percent Change Charts to Track Relative Performance*; WORKING WITH PERCENT CHANGE CHARTS; CONCLUSIONS; CHAPTER 10 Options: Introduction and Strategies; PART A: GETTING STARTED WITH OPTIONS TRADING; Options Basics; Listed Options; Options Strategies; PART B: REAL-LIFE OPTIONS STRATEGIES AND TRADES; Putting Theory to the Test; Basic Options Strategies; CONCLUSIONS CHAPTER 11 Interviews with Developers |
| Record Nr. | UNINA-9910139092303321 |
|
Pruitt George <1967->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Building winning trading systems with TradeStation / / George Pruitt and John R. Hill
| Building winning trading systems with TradeStation / / George Pruitt and John R. Hill |
| Autore | Pruitt George <1967-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2012 |
| Descrizione fisica | 1 online resource (417 p.) |
| Disciplina | 332.64/2028553 |
| Altri autori (Persone) | HillJohn R. <1926-> |
| Collana | Wiley trading series |
| Soggetto topico |
Investments - Data processing
Stocks - Data processing |
| ISBN |
1-119-20495-X
1-283-52964-5 9786613842091 1-118-22643-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Building Winning Trading Systems with TradeStation; Contents; Foreword; Preface; Acknowledgments; CHAPTER 1 Fundamentals-What Is EasyLanguage?; VARIABLES AND DATA TYPES; OPERATORS AND EXPRESSIONS; Precedence of Operators; TRADESTATION 2000I VS TRADESTATION 9.0; TradeStation 2000i; TradeStation 9.0; CONCLUSIONS; CHAPTER 2 EasyLanguage Program Structure; STRUCTURED PROGRAMMING; PROGRAM HEADER; CALCULATION MODULE: MYRSISYSTEM; CONCLUSIONS; CHAPTER 3 Program Control Structures; CONDITIONAL BRANCHING WITH IF-THEN; CONDITIONAL BRANCHING WITH IF-THEN-ELSE; REPETITIVE CONTROL STRUCTURES; ForLoop
WhileLoopCONCLUSIONS; CHAPTER 4 TradeStation Analysis Techniques; INDICATORS; PAINTBAR AND SHOWME STUDIES; FUNCTIONS; STRATEGIES; CONCLUSIONS; CHAPTER 5 Measuring Trading System Performance and System Optimization; TRADESTATION'S SUMMARY REPORT; Total Net Profit; Maximum Intraday Draw Down; Account Size Required and Return on Account; Average Trade; Maximum Consecutive Winners and Losers; Number of Trades and Average Number of Bars per Trade; Average Winning and Losing Trade; Sharpe Ratio; Rina Index; Buy-and-Hold Return; Trades; TRADE ANALYSIS; 1 Std. Deviation of Avg. Trade Number of OutliersAvg. Efficiency; Total; Entry/Exit; Graphs; OPTIMIZATION OLD SCHOOL STYLE; Using Excel Versions Prior to 2010; Using Excel 2010; Genetic Optimization; Walk-Forward Testing and Optimizer; CONCLUSIONS; CHAPTER 6 Trading Strategies That Work (or the Big Damn Chapter on Trading Strategies); THE KING KELTNER TRADING STRATEGY; King Keltner Pseudocode; King Keltner Program; King Keltner Summary; THE BOLLINGER BANDIT TRADING STRATEGY; Bollinger Bandit Pseudocode; Bollinger Bandit Program; Bollinger Bandit Summary; THE THERMOSTAT TRADING STRATEGY; Thermostat Pseudocode Thermostat ProgramThermostat Summary; THE DYNAMIC BREAK OUT II STRATEGY; Dynamic Break Out II Pseudocode; Dynamic Break Out II Program; Dynamic Break Out II Summary; THE SUPER COMBO DAY TRADING STRATEGY; Super Combo Daily Data Bar Calculation Pseudocode; Super Combo Code; Super Combo Summary; THE GHOST TRADER TRADING STRATEGY; THE MONEY MANAGER TRADING STRATEGY; BONUS TRADING STRATEGIES; CONCLUSIONS; CHAPTER 7 Debugging and Output; LOGICAL VERSUS SYNTAX ERRORS; DEBUGGING WITH THE PRINT STATEMENT AND THE PRINT LOG; DEBUGGING WITH THE BUILT-IN DEBUGGER; TABLE CREATOR; CONCLUSIONS CHAPTER 8 TradeStation as a Research ToolCOMMITMENT OF TRADERS REPORT; Day of Week Analysis; Day of Week Volatility Analysis; Time of Day Analysis; Pattern Recognition; Intermarket Analysis; CONCLUSIONS; CHAPTER 9 Using TradeStation's Percent Change Charts to Track Relative Performance*; WORKING WITH PERCENT CHANGE CHARTS; CONCLUSIONS; CHAPTER 10 Options: Introduction and Strategies; PART A: GETTING STARTED WITH OPTIONS TRADING; Options Basics; Listed Options; Options Strategies; PART B: REAL-LIFE OPTIONS STRATEGIES AND TRADES; Putting Theory to the Test; Basic Options Strategies; CONCLUSIONS CHAPTER 11 Interviews with Developers |
| Record Nr. | UNINA-9910809150003321 |
|
Pruitt George <1967->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Data mining in finance [[electronic resource] ] : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev
| Data mining in finance [[electronic resource] ] : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev |
| Autore | Kovalerchuk Boris |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Boston, : Kluwer Academic Publishers |
| Descrizione fisica | 1 online resource (325 p.) |
| Disciplina | 332.1/0285/63 |
| Altri autori (Persone) | VityaevEvgenii |
| Collana | The Kluwer international series in engineering and computer science |
| Soggetto topico |
Investments - Data processing
Stock price forecasting - Data processing Data mining |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-20603-9
9786610206032 0-306-47018-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The scope and methods of the study -- Numerical Data Mining Models and Financial Applications -- Rule-Based and Hybrid Financial Data Mining -- Relational Data Mining (RDM) -- Financial Applications of Relational Data Mining -- Comparison of Performance of RDM and other methods in financial applications -- Fuzzy logic approach and its financial applications. |
| Record Nr. | UNINA-9910454841503321 |
|
Kovalerchuk Boris
|
||
| Boston, : Kluwer Academic Publishers | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Data mining in finance [[electronic resource] ] : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev
| Data mining in finance [[electronic resource] ] : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev |
| Autore | Kovalerchuk Boris |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Boston, : Kluwer Academic Publishers |
| Descrizione fisica | 1 online resource (325 p.) |
| Disciplina | 332.1/0285/63 |
| Altri autori (Persone) | VityaevEvgenii |
| Collana | The Kluwer international series in engineering and computer science |
| Soggetto topico |
Investments - Data processing
Stock price forecasting - Data processing Data mining |
| ISBN |
1-280-20603-9
9786610206032 0-306-47018-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The scope and methods of the study -- Numerical Data Mining Models and Financial Applications -- Rule-Based and Hybrid Financial Data Mining -- Relational Data Mining (RDM) -- Financial Applications of Relational Data Mining -- Comparison of Performance of RDM and other methods in financial applications -- Fuzzy logic approach and its financial applications. |
| Record Nr. | UNINA-9910780039903321 |
|
Kovalerchuk Boris
|
||
| Boston, : Kluwer Academic Publishers | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Data mining in finance : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev
| Data mining in finance : advances in relational and hybrid methods / / by Boris Kovalerchuk and Evgenii Vityaev |
| Autore | Kovalerchuk Boris |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Boston, : Kluwer Academic Publishers |
| Descrizione fisica | 1 online resource (325 p.) |
| Disciplina | 332.1/0285/63 |
| Altri autori (Persone) | VityaevEvgenii |
| Collana | The Kluwer international series in engineering and computer science |
| Soggetto topico |
Investments - Data processing
Stock price forecasting - Data processing Data mining |
| ISBN |
1-280-20603-9
9786610206032 0-306-47018-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The scope and methods of the study -- Numerical Data Mining Models and Financial Applications -- Rule-Based and Hybrid Financial Data Mining -- Relational Data Mining (RDM) -- Financial Applications of Relational Data Mining -- Comparison of Performance of RDM and other methods in financial applications -- Fuzzy logic approach and its financial applications. |
| Record Nr. | UNINA-9910817773203321 |
|
Kovalerchuk Boris
|
||
| Boston, : Kluwer Academic Publishers | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The evaluation and optimization of trading strategies [[electronic resource] /] / Robert Pardo
| The evaluation and optimization of trading strategies [[electronic resource] /] / Robert Pardo |
| Autore | Pardo Robert <1951-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2008 |
| Descrizione fisica | 1 online resource (366 p.) |
| Disciplina |
332.6
332.64/5 |
| Altri autori (Persone) | PardoRobert <1951-> |
| Collana | Wiley trading |
| Soggetto topico |
Investments - Data processing
Futures - Data processing Options (Finance) - Data processing |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-19696-5
1-281-21753-0 9786611217532 0-470-26285-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910145744303321 |
|
Pardo Robert <1951->
|
||
| Hoboken, N.J., : John Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The evaluation and optimization of trading strategies [[electronic resource] /] / Robert Pardo
| The evaluation and optimization of trading strategies [[electronic resource] /] / Robert Pardo |
| Autore | Pardo Robert <1951-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2008 |
| Descrizione fisica | 1 online resource (366 p.) |
| Disciplina |
332.6
332.64/5 |
| Altri autori (Persone) | PardoRobert <1951-> |
| Collana | Wiley trading |
| Soggetto topico |
Investments - Data processing
Futures - Data processing Options (Finance) - Data processing |
| ISBN |
1-119-19696-5
1-281-21753-0 9786611217532 0-470-26285-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910830250003321 |
|
Pardo Robert <1951->
|
||
| Hoboken, N.J., : John Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The evaluation and optimization of trading strategies / / Robert Pardo
| The evaluation and optimization of trading strategies / / Robert Pardo |
| Autore | Pardo Robert <1951-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2008 |
| Descrizione fisica | 1 online resource (366 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | PardoRobert <1951-> |
| Collana | Wiley trading |
| Soggetto topico |
Investments - Data processing
Futures - Data processing Options (Finance) - Data processing |
| ISBN |
1-119-19696-5
1-281-21753-0 9786611217532 0-470-26285-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910877498803321 |
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Pardo Robert <1951->
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| Hoboken, N.J., : John Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Financial NetNews
| Financial NetNews |
| Pubbl/distr/stampa | New York, N.Y., : Institutional Investor, Inc |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Electronic commerce
Internet Investments - Data processing Securities - Data processing |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996213552903316 |
| New York, N.Y., : Institutional Investor, Inc | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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