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Quantitative Investing: Strategies to exploit stock market anomalies for all investors by Fred Piard

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Chapter 7: Designing A Strategy

This book contains strategies that can be implemented as they are described. It can also be considered by advanced readers as a starting point to design their own rules and portfolios. The key point of the process is backtesting, which is known to be a dangerous endeavour. It would be irresponsible to show the way to the jungle without giving some basic advice and a list of pitfalls to avoid. This is the aim of this last chapter.

The Framework

Choosing a trading style

The most important factor when designing strategies is to know the trading style you want to work with. It depends on your psychology, your available time, your lifestyle. Depending on your situation, you may want to trade only once a month, ...

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