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.)

HTML5 and JavaScript Projects: Build on your Basic Knowledge of HTML5 and JavaScript to Create Substantial HTML5 Applications
HTML5 and JavaScript Projects: Build on your Basic Knowledge of HTML5 and JavaScript to Create Substantial HTML5 Applications
Build on your basic knowledge of HTML5 and JavaScript to create substantial HTML5 applications. Through the many interesting projects you can create in this book, you'll develop HTML5 skills for future projects, and extend the core skills you may have learned with its companion book, The Essential Guide to HTML5.

...

Practical Data Science: A Guide to Building the Technology Stack for Turning Data Lakes into Business Assets
Practical Data Science: A Guide to Building the Technology Stack for Turning Data Lakes into Business Assets
Learn how to build a data science technology stack and perform good data science with repeatable methods. You will learn how to turn data lakes into business assets.

The data science technology stack demonstrated in Practical Data Science is built from components in general use in the industry. Data...
Introduction to Deep Learning Business Applications for Developers: From Conversational Bots in Customer Service to Medical Image Processing
Introduction to Deep Learning Business Applications for Developers: From Conversational Bots in Customer Service to Medical Image Processing
Discover the potential applications, challenges, and opportunities of deep learning from a business perspective with technical examples. These applications include image recognition, segmentation and annotation, video processing and annotation, voice recognition, intelligent personal assistants, automated translation, and...

Effective Team Management with VSTS and TFS: A Guide for Scrum Masters
Effective Team Management with VSTS and TFS: A Guide for Scrum Masters
Gain the essential knowledge to use VSTS/TFS effectively to empower your Agile teams. This book provides a deep analysis into issues Agile teams may face and how to overcome them by adopting and implementing the proper tools.

Rather than just review VSTS/TFS features, this book provides proven solutions
...
Java Deep Learning Projects: Implement 10 real-world deep learning applications using Deeplearning4j and open source APIs
Java Deep Learning Projects: Implement 10 real-world deep learning applications using Deeplearning4j and open source APIs

Build and deploy powerful neural network models using the latest Java deep learning libraries

Key Features

  • Understand DL with Java by implementing real-world projects
  • Master implementations of various ANN models and build your own DL systems
  • Develop...
Beginning Functional JavaScript: Uncover the Concepts of Functional Programming with EcmaScript 8
Beginning Functional JavaScript: Uncover the Concepts of Functional Programming with EcmaScript 8

Understand functional programming concepts and the functional nature of the JavaScript language. Starting with an introduction to functional programming concepts, you will learn the key differences between imperative and functional programming. Diving straight into JavaScript functions, you will learn to write them with ES8. Followed...

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