February 2008
Intermediate to advanced
334 pages
9h 26m
English
Content preview from The Evaluation and Optimization of Trading Strategies, 2nd Edition
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Index
Page numbers set in italic indicate figures and tables.
Adaptation to changing markets
Algorithms:
derived from gambling literature
genetic (GAs)
hill climbing search
position sizing
Annualized rate of return. See also Pessimistic return on margin (PROM)
Approach:
empirical development
philosophical, to trading strategies
scientific
Assumptions:
opening and closing range slippage
realistic
slippage due to size
slippage, price and trade
slippage, significance of
Asymmetrical trading strategy
Automation:
large-scale trading strategies
advantages of
Walk-Forward Analysis
Back-testing
Barclay Trading Group
Basket of markets:
multimarket and multiperiod test
optimization framework
testing
Bear market, the
Black swan events
Buffet, Warren
Bull market, the
Buy-and-sell conditions. See also Entry and exit strategies
Buy Market If Touched (MIT) orders
Buy (or long) rules
Buy price limit orders
Buy stop orders
Capital:
overcapitalization
performance profile
portfolio risk management
required (RC)
risk, amount of
stop-loss strategy
trading, calculation of
undercapitalization
Cash markets
C code
Collins, Art
Confidence:
overconfidence
portfolio risk management
robust strategy
value of, for traders
Congested market, the
Consistency
Contract:
continuous
futures market
limit moves
perpetual
Convergence of parameter sets
Correlation coefficient:
closing prices
formula for, perfect profit and equity curve (CECPP)
Countertrending systems
Crossover:
moving average system
parameter sets ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.