Book description
A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems
Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using-stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.
Table of contents
- Praise
- Title Page
- Copyright Page
- Foreword
- Preface
- Acknowledgments
- Introduction
- CHAPTER 1 - On Trading Strategies
-
CHAPTER 2 - The Systematic Trading Edge
- DISCRETIONARY TRADING
- RAISING THE BAR
- VERIFICATION
- QUANTIFICATION
- RISK AND REWARD
- THE PERFORMANCE PROFILE
- OBJECTIVITY
- 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
- CHAPTER 4 - The Strategy Development Platform
- CHAPTER 5 - The Elements of Strategy Design
-
CHAPTER 6 - The Historical Simulation
- THE ESSENTIAL REPORTS
- THE IMPORTANCE OF ACCURACY
- SOFTWARE LIMITATIONS
- REALISTIC ASSUMPTIONS
- LIMIT 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
- CHAPTER 8 - Preliminary Testing
- CHAPTER 9 - Search and Judgment
-
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
- THE DISTRIBUTION OF THE OPTIMIZATION PROFILE
- THE SHAPE OF THE OPTIMIZATION PROFILE
- HOW DOES THE STRATEGY RESPOND TO OPTIMIZATION?
- DOES THE STRATEGY DESERVE FURTHER DEVELOPMENT?
-
CHAPTER 11 - Walk-Forward Analysis
- IS THE TRADING STRATEGY ROBUST?
- ROBUSTNESS AND WALK-FORWARD EFFICIENCY
- THE CURE FOR OVERFITTING
- A MORE RELIABLE MEASURE OF RISK AND RETURN
- ASSESSING THE IMPACT OF MARKET CHANGES
- THE BEST PARAMETER SET FOR TRADING
- THE THEORY OF RELEVANT DATA
- SHIFTING MARKETS
- THE VARIETIES OF MARKET CONDITIONS
- THE WALK-FORWARD
- THE ROLE OF THE WALK-FORWARD
- SETTING UP A WALK-FORWARD
- AN EXAMPLE OF A WALK-FORWARD TEST
- THE WALK-FORWARD ANALYSIS
- IS THE STRATEGY ROBUST?
- WHAT RATE OF PROFIT SHOULD WE EXPECT?
- WHAT IS THE RISK?
- WALK-FORWARD ANALYSIS AND THE PORTFOLIO
- CHAPTER 12 - The Evaluation of Performance
- CHAPTER 13 - The Many Faces of Overfitting
- CHAPTER 14 - Trading the Strategy
- Notes
- Index
Product information
- Title: The Evaluation and Optimization of Trading Strategies, 2nd Edition
- Author(s):
- Release date: February 2008
- Publisher(s): Wiley
- ISBN: 9780470128015
You might also like
book
The Successful Trader's Guide to Money Management
Discover how to maximize the effectiveness of your trading techniques by applying the right money management …
book
A Technical Approach To Trend Analysis: Practical Trade Timing for Enhanced Profits
This is the only modern, action-oriented and practical guide to trend analysis and prediction for the …
book
The Little Book of Trading: Trend Following Strategy for Big Winnings
How to get past the crisis and make the market work for you again The last …
book
Beyond Technical Analysis: How to Develop and Implement a Winning Trading System, 2nd Edition
A technical analysis classic, newly updated to help traders develop and forward-test a high-performance trading system …