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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Notes
PREFACE
1 Thanks to Karen Harris and her masterful command of the Barclay Hedge Database for this information.
2 From the Prediction Company web site, predict.com/html/company.html
CHAPTER 1 ON TRADING STRATEGIES
1 Walk-Forward Analysis add-ins for TradeStation, MetaStock, and TradersStudio perform the methods described in this book and are available from Pardo Group Limited.
CHAPTER 2 THE SYSTEMATIC TRADING EDGE
1 The corrosive effect of negative and undisciplined emotion is explored in Robert Pardo, The Trading Game (Hoboken, NJ: John Wiley & Sons, 2009).
CHAPTER 4 THE STRATEGY DEVELOPMENT PLATFORM
1 The Walk-Forward Analysis add-in for TradeStation and TradersStudio is available from Pardo Group Limited.
CHAPTER 6 THE HISTORICAL SIMULATION
1 Perry Kaufman, Smarter Trading (New York: McGraw-Hill, 1995), 22.
2 Sam Kash Kachigan, Statistical Analysis: An Interdisciplinary Introduction to Univariate & Multivariate Methods (New York: Radius Press, 1986), 145.
3 Conveyed to me by Art Collins in private conversation and received by Collins from Dennis during an interview.
4 William Poundstone, Fortunes Formula (New York: Hill and Wang, 2005) last plate, before page 149.
5 Both the rise and fall—arguably caused by an unwillingness to admit error, extraordinary arrogance, over-leverage and underdiversification—of Long-Term Capital Management are brilliantly documented in the classic and very-well titled book by Roger Lowenstein: When Genius Failed (New York: Random House, ...
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