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Permutation and Randomization Tests for Trading System Development

Permutation and Randomization Tests for Trading System Development

          
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About the Book

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?


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Product Details
  • ISBN-13: 9798607808105
  • Publisher: Independently Published
  • Publisher Imprint: Independently Published
  • Height: 246 mm
  • No of Pages: 174
  • Spine Width: 9 mm
  • Width: 189 mm
  • ISBN-10: 8607808109
  • Publisher Date: 12 Feb 2020
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Weight: 322 gr


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