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Systematic and Automated Option Trading (Collection) by Sergey Izraylevich, Ph.D., Vadim Tsudikman

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chapter 3. Evaluation of Criteria Effectiveness

3.1 Introduction

Evaluation of criteria effectiveness requires addressing the following question: To what extent is the potential effect of their exploitation consistent with our expectations? In previous chapters we described the philosophy, methodology, and main approaches used to create criteria. While developing and constructing criteria we pursue quite concrete and definite goals. Hence, upon completion of this comprehensive creative process, it would be natural to check if the result is satisfactory and whether the goals have been achieved.

Before judging on the suitability of a particular criterion, it has to be tested thoroughly. To carry out such a test, we have to establish a set of numerical ...

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