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Permutation and Randomization Tests for Trading System Development
Timothy Masters
Permutation and Randomization Tests for Trading System Development
Timothy Masters
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?
Media | Książki Paperback Book (Książka z miękką okładką i klejonym grzbietem) |
Wydane | 12 lutego 2020 |
ISBN13 | 9798607808105 |
Wydawcy | Independently Published |
Strony | 174 |
Wymiary | 189 × 246 × 9 mm · 322 g |
Język | English |