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Permutation and Randomization Tests for Trading System Development: Algorithms
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Permutation and Randomization Tests for Trading System Development: Algorithms in C++ Paperback - 2020

by Timothy Masters

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

From the publisher

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?

Details

  • Title Permutation and Randomization Tests for Trading System Development: Algorithms in C++
  • Author Timothy Masters
  • Binding Paperback
  • Pages 174
  • Volumes 1
  • Language ENG
  • Publisher Independently Published
  • Publication date 2020-02-12
  • ISBN 9798607808105
  • Weight 0.71 lbs (0.32 kg)
  • Dimensions 9.69 x 7.44 x 0.37 in (24.61 x 18.90 x 0.94 cm)
  • Category Computers - General Information

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

by Masters, Timothy

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

by Timothy Masters

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

by Timothy Masters

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by Timothy Masters

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by Timothy Masters

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