Trading system analysis : using trading simulations and generated data to test, evaluate, and predict trading system performance
著者
書誌事項
Trading system analysis : using trading simulations and generated data to test, evaluate, and predict trading system performance
McGraw-Hill, c1997
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注記
Includes index
内容説明・目次
内容説明
Noted Wall Street program developer Robert M. Barnes has written Trading System Analysis, which comprehensively discusses for the first time all the important factors in developing and analyzing a trading system. Included in Barnes's comprehensive book are a breakdown of the components of a trading system, including measuring and controlling risk, trading candidate selection, timing of buying and selling and portfolio management; convincing proofs of the overwhelming necessity for a valid simulation system, and the value of simulation methodology as compared to real-time trading; how new price scenarios are generated, with particular focus on three price models: random walk, sequential walk and price vector models; how new price scenarios can be more useful than historical price testing alone or even real track records; and main components of a complete trading system, from risk and initial capital considerations to real-time trading and portfolio administration.
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