Testing and Tuning Market Trading Systems (PDF)
--David R. Aronson, Hood River Research Inc.
Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and...
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"The algorithms in this book are essential tools for any serious trading system developer."
--David R. Aronson, Hood River Research Inc.
Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You've had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here? Well, this book discusses and dissects this case study approach.
You will:
- See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimately
- Detect overfitting early in development
- Estimate the probability that your system's backtest results could have been due to just good luck
- Regularize a predictive model so it automatically selects an optimal subset of indicator candidates
- Rapidly find the global optimum for any type of parameterized trading system
- Assess the ruggedness of your trading system against market changes
- Enhance the stationarity and information content of your proprietary indicators
- Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems
- Compute a lower bound on your system's mean future performance
- Bound expected periodic returns to detect on-going system deterioration before it becomes severe
- Estimate the probability of catastrophic drawdown
- Autor: Timothy Masters
- 2018, 1st ed, 321 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 1484241738
- ISBN-13: 9781484241738
- Erscheinungsdatum: 26.10.2018
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Größe: 3.89 MB
- Ohne Kopierschutz
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