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Design, Testing, and Optimization of Trading Systems
ISBN: 0471554464     Date Published: 1992-08-12     Author(s): Robert Pardo
  Average Customer Rating:Stars Rating  

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176 Pages
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06/20/2013 01:28:47
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Editorial Review - Book Description:
A practical, hands-on guide to setting up, adjusting, and trading mechanical systems that requires no computer or programming skills! Here’s everything you’ll need to develop and verify each stage of a profitable trading strategy, from formulation through testing to real-time trading. Armed with the author’s battery of easily accomplished testing and optimization techniques — many never before published — you’ll design a workable trading strategy, reliably measure its profit potential and risk, and then test it to see if it works in real-time trading. No matter what your level of trading expertise, now you can swiftly isolate and eliminate the causes of trading failure and make the decisions essential to profitable computerized trading. You’ll discover:
  • The seven major components of mechanical trading strategies and their uses
  • When and how to use fast, accurate, and realistic computer simulations to evaluate a strategy’s trading performance without risking precious capital
  • The best ways to tailor a trading strategy to fit the unique personalities of widely different markets
  • What to expect from a trading model in real-time trading
  • How to judge trading performance with respect to historical testing performance
Design, Testing, and Optimization of Trading Systems helps you develop, evaluate, and apply a winning computer trading system that suits your specific needs.
Customer Review:
Total Reviews: (12)
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47 of 52 People found the following review helpful.

Best Introductory Technical Analysis Book, August 19, 2001 By"empire-builder" (Minneapolis, MN) - See all my reviews This review is from: Design, Testing, and Optimization of Trading Systems (Hardcover) This book contains everything you need to know to understand the theory of computerized trading systems. It goes through the process of choosing a strategy, implementing it in algorithm form, perfecting variables, and optimization. The most important parts, in my opinion, are those regarding tests of statistical significance of the test results. The author is also careful to caution against any "over-optimization," which is the bane of any trading system.Incedentally, I manage the technical analysis arm of a newsletter that attempts to forecast the best performing Fidelity Select mutual fund. This book was an asset during the implementation of my trading system. I would choose it before "The Mathematics of Technical Analysis," by Clifford Sherry, for example. The trading system paradigm detailed in this book is based on technical analysis; the use of mathematical tools to estimate the future performance of a security. Technical analysis is, of course, at odds with the strict...
19 of 19 People found the following review helpful.

Excellent how-to on applying simple statistical analysis, December 17, 2003 ByDennis Chang (Seal Beach, CA United States) - See all my reviews This review is from: Design, Testing, and Optimization of Trading Systems (Hardcover) A great instructional book on the application of statistical analysis to trading systems. It's excellent for novice trading system developers who don't yet understand the importance of rigorous testing or discretionary traders who aren't yet aware of their need for a carefully and thoroughly tested trading system--a real eye-opener. While the text is somewhat repetitive and the references to software are extremely dated, the techniques within are timeless and are boiled down so that non-mathematicians can easy understand and apply them. This book helps you bypass the slow process of learning system development by trial-and-error and gives you a clear step-by-step breakdown of how to ensure that your trading system is sound and "robust." However, for those of you looking for trading system recipes/indicators/source code, you won't find it here. Coming up with ideas for a trading system and setting them up is entirely up to you--this book only describes the process of...
11 of 14 People found the following review helpful.

One of the few really good books on the subject, December 29, 2004 ByDr. Jeffrey O. Katz - See all my reviews This review is from: Design, Testing, and Optimization of Trading Systems (Hardcover) If you are trying to develop a profitable trading system, this is a book you really should read. It is one of the very few good books out there on the subject of developing an automated trading engine that will withstand the test of time and hold up when the bets are placed. It covers all the critical issues involved in successful trading system development: data, backtesting, optimization (and over-optimization), issues of robustness, and more. I would not hesitate to recommend it. Jeffrey Owen Katz, Ph.D. Author (with Donna McCormick): "The Encyclopedia of Trading Strategies" (McGraw Hill, 2000).
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