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

Masters, Timothy

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

Inhaltsangabe

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?

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Verlag
Independently published
Erscheinungsdatum
2020
Sprache
Englisch
ISBN 13 
9798607808105
Einband
Taschenbuch
Anzahl der Seiten
173
Kontakt zum Hersteller
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