Testing and Tuning Market Trading Systems: Algorithms in C++
Paperback
Investing & FinanceProgramming
Publisher Price: $59.99
ISBN13: 9781484241721
Publisher: Apress
Published: Oct 27 2018
Pages: 321
Weight: 1.27
Height: 0.69 Width: 7.00 Depth: 10.00
Language: English
Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You've had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here? Well, this book discusses and dissects this case study approach.
Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its real-life performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not liveup to expectations.What You Will Learn
- See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimately
- Detect overfitting early in development
- Estimate the probability that your system's backtest results could have been due to just good luck
- Regularize a predictive model so it automatically selects an optimal subset of indicator candidates
- Rapidly find the global optimum for any type of parameterized trading system
- Assess the ruggedness of your trading system against market changes
- Enhance the stationarity and information content of your proprietary indicators
- Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems
- Compute a lower bound on your system's mean future performance
- Bound expected periodic returns to detect on-going system deterioration before it becomes severe
- Estimate the probability of catastrophic drawdown
Who This Book Is For
Experienced C++ programmers, developers, and software engineers. Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.
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