Permutation and Randomization Tests for Trading System Development: Algorithms in C++ - Tapa blanda

Masters, Timothy

 
9798607808105: Permutation and Randomization Tests for Trading System Development: Algorithms in C++
Tapa blanda
ISBN 13: 9798607808105
Editorial: Independently published, 2020

Sinopsis

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?

"Sinopsis" puede pertenecer a otra edición de este libro.

Editorial
Independently published
Año de publicación
2020
Idioma
Inglés
ISBN 13 
9798607808105
Encuadernación
Tapa blanda
Número de páginas
173
Contacto del fabricante
Manufactured by Amazon on behalf of the author
https://www.amazon.es/hz/contact-us

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Luxemburgo