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

by Timothy Masters
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Current price ₹2,603.00
Original price ₹2,936.00
Original price ₹2,936.00
Original price ₹2,936.00
(-11%)
₹2,603.00
Current price ₹2,603.00

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Book cover type: Paperback
  • ISBN13: 9798607808105
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Independently Published
  • Publisher Imprint: Independently Published
  • Publication Date:
  • Pages: 174
  • Original Price: USD 29.95
  • Language: English
  • Edition: N/A
  • Item Weight: 323 grams
  • BISAC Subject(s): Data Science / General

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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