The evaluation and optimization of trading strategies
著者
書誌事項
The evaluation and optimization of trading strategies
(Wiley trading series)
John Wiley & Sons, c2008
2nd ed
大学図書館所蔵 全2件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Rev. ed. of: Design, testing, and optimization of trading systems. c1992
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
Foreword. Preface.
Acknowledgments.
Introduction.
Chapter 1. On Trading Strategies.
Why This Book Was Written.
Who Will Benefit from this Book?
The Goals of this Book.
The Lay of the Land.
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.
Two Philosophical Approaches to Strategy Development.
The Scientific Approach.
The Path of Empirical Development.
An Overview of the Trading Strategy Design Process.
Step 1: Formulate the Trading Strategy.
Step 2: Translate the Rules into a Definitive Form.
Step 3: Preliminary Testing.
Step 4: Optimize the Trading strategy.
Step 5: the Walk Forward Analysis (TM).
Step 6: Trade the System.
Step 7: Evaluate Real-Time Performance.
Step 8: Improving the System.
Chapter 4. The Strategy Development Platform.
The Scripting Language.
Diagnostics.
Reporting.
Optimization.
The Objective Function.
Speed.
Automation.
Walk Forward Analysis (TM).
Portfolio Analysis.
In Conclusion.
Chapter 5. The Elements of Strategy Design.
The Three Principle Components of a Strategy.
Entry and Exit.
Risk Management.
Position Sizing.
An Overview of a Typical Trading Strategy.
A Trade Equals an Entry and an Exit.
Entry Filters.
The Management of Risk.
Trade Risk.
Strategy Risk.
Portfolio Risk.
The Management of Profit.
The Trailing Stop.
Profit Targets.
Position Sizing.
Advanced Strategies.
Summary.
Chapter 6. The Historical Simulation.
The Essential Reports.
The Performance Summary.
The Trade List.
The Equity Curve.
Performance by Period.
The Importance of Accuracy.
Software Limitations.
Rounding Issues.
Phantom Trades.
Price Orders.
Realistic Assumptions.
Price and Trade Slippage.
Opening Gap Slippage.
Opening and Closing Range Slippage.
Slippage Due to Size.
The Significance of Slippage.
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.
Statistical Requirements.
Sample Size and Statistical Error.
How Many Trades?
Stability.
Degrees of Freedom.
Frequency of Trading.
Types of Markets.
The Bull Market.
The Bear Market.
The Cyclic Market.
The Congested Market.
Efficient Markets.
The Life Cycle of a Trading Strategy.
Window Size and Model Life.
Chapter 7. Formulation and Specification.
Formulate the Trading Strategy.
Specification - "Translate" The Idea Into A Testable Strategy.
Make a Vague Idea Precise.
Chapter 8. Preliminary Testing.
Verification of Calculations and Trades.
Calculations.
Trading Rules.
In Summary.
Theoretical Expectations.
Preliminary Profitability.
The Multi-Market and Multi-Period Test.
Selecting the Basket.
Determining the Length of the Test Period.
Segmenting the Data.
The Test.
The Results of the Test.
Chapter 9. Search and Judgment.
Search Methods.
The Grid Search.
The Prioritized Step Search.
Hill Climbing Search Algorithms.
Multi-Point Hill Climbing Search.
Advanced Search Methods.
Simulated Annealing.
Genetic Algorithms.
Particle Swarm Optimization.
General Problems with Search Methods.
The Objective Function.
A Review of a Variety of Evaluation Methods.
Multiple Evaluation Types.
Chapter 10. Optimization.
Optimization contra Overfitting.
A Simple Optimization.
The Optimization Framework.
The Parameters.
The Scan Range.
The Historical Sample.
The Objective Function.
The Optimization Evaluation.
A Multi-Market and Multi-Period Optimization.
The Evaluation of the Optimization.
The Robust Trading Strategy.
The Robust Optimization.
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.
Peak Performance.
Statistical Rigor.
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.
The Purpose of the Walk-Forward Analysis.
An Example of a 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.
The Trading Strategy as an Investment.
The Dimension of Risk.
Compare the Strategy to the Alternatives.
Maximum Drawdown and Trading Risk.
Maximum Drawdown in Context.
Maximum Drawdown and the Trader.
Maximum Run up and the Trader.
Trading Capital and Risk.
Risk Adjusted Return.
Reward to Risk Ratio.
Model Efficiency.
Consistency.
Patterns of Profit and Loss.
Chapter 13. The Many Faces of Overfitting.
What Is Overfitting?
The Abuse of Hindsight.
The Case of the Overfit Forecasting Model.
The Case of the Overfit Trading Model.
The Symptoms of an Overfit Trading Model.
The Causes of Overfitting.
Degrees of Freedom.
Measuring Degrees of Freedom.
Degrees of Freedom, Sample Size and Startup Overhead.
Trade Sample Size.
Optimization Error #1 - Over Parameterization.
Optimization Error #2 -Over Scanning.
The Big Fish in a Small Pond Syndrome.
The Walk-Forward Test.
Chapter 14. Trading the Strategy.
The Mental Aspects of Trading.
Return on Investment.
Poor Strategy.
Market Contraction.
Unseen Market Conditions.
In Conclusion.
Maximum Risk.
Real-time and Evaluation Performance.
Comparing the Evaluation and Trade Profile.
Understanding the Test Profile
Performance Quirks.
The Windfall Profit.
The Losing Run.
Flat Production.
In Conclusion.
Notes.
Index.
「Nielsen BookData」 より