Design, Testing, and Optimization of Trading Systems
The Wiley Trader’s Advantage is a new series of concise, highly focused books designed to keep savvy futures, options, stocks, bonds, and commodities traders abreast of the latest, successful strategies and techniques used by the keenest minds in the business. Each title delivers timely, cutting-edge guidance on a key aspect of trading, including trading systems, portfolio management methods, computerized forecasting, and systems optimization. Design, Testing, and Optimization of Trading Systems is designed to help savvy traders to formulate and test trading structures to amplify trading profit and avoid real-time trading issues. This is the first book to offer practical, hands-on guidance for setting up, adjusting, and trading mechanical systems without requiring computer language or programming skills. And its flexible, user-friendly approach can be easily followed regardless of which form of technical analysis you’re currently using — stochastics, moving averages, chart patterns, RSI, breakout methods, and others. Here, finally, is the systematic, empirical guidance you demand 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, then test it to see if it works in real-time trading. Moreover, you’ll learn how to optimize the strategy over a variety of different markets and time periods, and maintain its peak performance in the face of trends, volatility and liquidity changes, and new trading conditions. To insure testing accuracy, the author identifies the symptoms of overfitting and supplies proven guidelines for avoiding it. Design, Testing, and Optimization of Trading Systems recognizes that different traders have different levels of trading capital, time available, profit requirements, and risk tolerance. Whether you’re seeking to enhance your trading profit or make a start at strategy testing, you’ll find the perfect mix of practical instruction and advice to develop, evaluate, and apply a winning mechanical trading system that suits your exact needs.
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ALEX annualized profit average win bear markets bull markets calculate close consistent data sample Definition degrees of freedom distribution dollar equity curve equity drawdown evaluation type example exit Figure futures contract grid search long position losing run margin market conditions maximum drawdown measure merged contract mization moving average multimarket number of trades o.oo Open Equity opti optimization window peak perfect profit period price action price data price history produce profit and loss profit and risk profit spike PROM real-time performance relative strength index reoptimization required capital return on margin risk stop scan ranges selected simulation slippage standard deviation standard error statistical validity steps Swiss francs system stop-loss test profile test run test window tion top model trade sample trading capital trading model trading profit trading strategy trading system trading unit trailing stop trend variable volatility walk-forward analysis walk-forward efficiency walk-forward test winning run