Permutation and Randomization Tests for Trading System Development: Algorithms in C++ - Couverture souple

Masters, Timothy

 
9798607808105: Permutation and Randomization Tests for Trading System Development: Algorithms in C++
Couverture souple
ISBN 13 : 9798607808105
Editeur : Independently published, 2020

Synopsis

This book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers.

All algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console.

Reprogramming them in other languages should be easy, given the detailed explanations of each algorithm.

The following topics are covered:

Testing for overfitting at the earliest possible stage

Evaluating the luckiness-versus-skill of a fully developed system before deploying it

Testing the effectiveness and reliability of a trading system factory

Removing selection bias when screening a large number of indicators

Probability bounds for future mean returns

Bounding typical and catastrophic future drawdowns

Is the best indicator or model in a competition truly the best, or just the luckiest?

Which markets provide truly superior profits for your trading system?

What holding time for your system provides the best risk/return performance?

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Independently published
Date d'édition
2020
Langue
anglais
ISBN 13 
9798607808105
Reliure
Broché
Nombre de pages
173
Coordonnées du fabricant
Manufactured by Amazon on behalf of the author
https://www.amazon.fr/hz/contact-us

c/o Amazon Media EU S.à.r.l., 38 Avenue John F. Kennedy
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Luxembourg