Permutation and Randomization Tests for Trading System Development: Algorithms in C++

This book provides the trading system developer with a powerful set of statistical tools for measuring vital...
$75.35 SGD
$75.35 SGD
SKU: 9798607808105
Product Type: Books
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Author: Timothy Masters
Format: Paperback
Language: English
Subtotal: $75.35
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Permutation and Randomization Tests for Trading System Development: Algorithms in C++ by Masters, Timothy

Permutation and Randomization Tests for Trading System Development: Algorithms in C++

$75.35

Permutation and Randomization Tests for Trading System Development: Algorithms in C++

$75.35
Author: Timothy Masters
Format: Paperback
Language: English

This book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers.

All algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console.

Reprogramming them in other languages should be easy, given the detailed explanations of each algorithm.

The following topics are covered:

Testing for overfitting at the earliest possible stage

Evaluating the luckiness-versus-skill of a fully developed system before deploying it

Testing the effectiveness and reliability of a trading system factory

Removing selection bias when screening a large number of indicators

Probability bounds for future mean returns

Bounding typical and catastrophic future drawdowns

Is the best indicator or model in a competition truly the best, or just the luckiest?

Which markets provide truly superior profits for your trading system?

What holding time for your system provides the best risk/return performance?



Author: Timothy Masters
Publisher: Independently Published
Published: 02/12/2020
Pages: 174
Binding Type: Paperback
Weight: 0.71lbs
Size: 9.69h x 7.44w x 0.37d
ISBN: 9798607808105

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