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 ...
Get The Evaluation and Optimization of Trading Strategies, 2nd Edition now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
