Home | Amazing | Today | Tags | Publishers | Years | Account | Search 
Testing and Tuning Market Trading Systems: Algorithms in C++

Buy

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.  

Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its real-life performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not live up to expectations.

This book does not contain any sure-fire, guaranteed-riches trading systems. Those are a dime a dozen... But if you have a trading system, this book will provide you with a set of tools that will help you evaluate the potential value of your system, tweak it to improve its profitability, and monitor its on-going performance to detect deterioration before it fails catastrophically. Any serious market trader would do well to employ the methods described in this book.

What You Will Learn

  • 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

 Who This Book Is For

Experienced C++ programmers, developers, and software engineers.  Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.  

(HTML tags aren't allowed.)

Beginning Modern Unix: Learn to Live Comfortably in a Modern Unix Environment
Beginning Modern Unix: Learn to Live Comfortably in a Modern Unix Environment

Discover how to leverage modern Unix even if you’ve never worked with Unix before. This book presents everything in conceptual terms that you can understand, rather than tips to be committed raw to memory.

You will learn everyday tasks ranging from basic system administration?partitioning and mounting filesystems,...

Practical Haskell: A Real World Guide to Programming
Practical Haskell: A Real World Guide to Programming

Get a practical, hands-on introduction to the Haskell language, its libraries and environment, and to the functional programming paradigm that is fast growing in importance in the software industry. This book contains excellent coverage of the Haskell ecosystem and supporting tools, include Cabal and Stack for managing projects,...

Complete Guide to Test Automation: Techniques, Practices, and Patterns for Building and Maintaining Effective Software Projects
Complete Guide to Test Automation: Techniques, Practices, and Patterns for Building and Maintaining Effective Software Projects
Rely on this robust and thorough guide to build and maintain successful test automation. As the software industry shifts from traditional waterfall paradigms into more agile ones, test automation becomes a highly important tool that allows your development teams to deliver software at an ever-increasing pace without compromising...

Practical Microservices Architectural Patterns: Event-Based Java Microservices with Spring Boot and Spring Cloud
Practical Microservices Architectural Patterns: Event-Based Java Microservices with Spring Boot and Spring Cloud
Take your distributed applications to the next level and see what the reference architectures associated with microservices can do for you. This book begins by showing you the distributed computing architecture landscape and provides an in-depth view of microservices architecture. Following this, you will work with CQRS, an essential...
Java APIs, Extensions and Libraries: With JavaFX, JDBC, jmod, jlink, Networking, and the Process API
Java APIs, Extensions and Libraries: With JavaFX, JDBC, jmod, jlink, Networking, and the Process API
This book completes the Apress Java learning journey and is a comprehensive approach to learning Java APIs, extensions, and modules such as Java EE integration, mobile Java modules, JavaFX, and JDBC. In this book, you'll learn how to build user interfaces with Swing and JavaFX as well as how to write network programs with the...
Essentials of Mathematical Methods in Science and Engineering
Essentials of Mathematical Methods in Science and Engineering

A comprehensive introduction to the multidisciplinary applications of mathematical methods, revised and updated

The second edition of Essentials of Mathematical Methods in Science and Engineering offers an introduction to the key mathematical concepts of advanced calculus, differential equations, complex...

©2019 LearnIT (support@pdfchm.net) - Privacy Policy