"Development, testing and optimization of trading systems for stock traders" Robert Pardo
No matter how perfect a trading system you create, it still needs to be thoroughly tested. Books on forex trading explain the key stages of this process.
Testing is now incredibly simple, as it's done using a computer, making it not only efficient but also fast.
The process of creating a trading system itself is quite complex and requires knowledge of numerous nuances, which can be learned from this textbook.
"Developing, Testing, and Optimizing Trading Systems for the Stock Trader," written by Robert Pardo, a renowned developer of trading software, covers these nuances perfectly.
It's worth noting that anyone familiar with stock trading can easily read it; a beginner might find it a bit challenging.
1. About optimization – why strategy optimization is needed, and an overview of the contents of this book.
2. Development of a trading system – the principles on which it should be formed trading strategy, optimization, comparison of test results and real trading.
3. Trading system structure – a diagram of the trading system’s operation, entry points and signals for closing trades, risk management as the main component of successful trading.
4. Modeling rules – what data should be used and the main test requirements that need to be taken into account.
5. Search and evaluation – basic search methods, selection of evaluation criteria, test run and analysis of the obtained results.
6. Testing Exercises – How testing is conducted, from the pre-test to multi-market and multi-period tests.
7. Trading system optimization – the basics of optimization, what is a forward test and forward analysis.
8. Evaluation of effectiveness – how to correctly evaluate the effectiveness of the developed system and what indicators should be taken into account.
9. The many faces of tuning – what is tuning in our case, examples of tuned models.
10. Evaluation of real trading – return on investment, maximum losses, capital management and much more.
As you can see, the book is quite interesting, but applying the acquired knowledge in practice will require a lot of effort.
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