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The Evaluation and Optimization of Trading Strategies, 2nd Edition by Robert Pardo

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CHAPTER 4
The Strategy Development Platform
As we outlined in the previous chapter, the strategy development process is a long procedure when done correctly. If one does this with the exhaustiveness that professional trading demands, it is an even longer process. The development platforms that are used during this development cycle can, like all tools, either be a great help or perhaps a great hindrance. Worse, given the utmost necessity of proper optimization, evaluation, and robustness testing, the wrong development application can doom the strategist to failure right from the outset despite her best efforts.
This chapter is a brief overview of the different attributes that are required of a trading strategy development application to effectively complete the entire testing cycle from idea to portfolio.
A full survey of the many trading development platforms is beyond the scope of this book. I also do not want to recommend one over another so as to appear to have compromised my objectivity. The focus then here is upon the various aspects that compose the analytic capabilities needed to perform a full evaluation and development of a trading strategy.
First and foremost then is to pick a development tool that has the feature set with which you are most comfortable. All of the various development tools that are commercially available feature the ability to create custom indicators and trading strategies and to perform what is commonly referred to as back-testing. In other words, ...

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