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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 |
|
Pardo Robert <1951->
|
||
| Hoboken, N.J., : John Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
