Building reliable trading systems : tradable strategies that perform as they backtest and meet your risk-reward goals /

• Κύριος συγγραφέας: Fitschen, Keith (Συγγραφέας)
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, N.J. : Wiley, [2013]
• Σειρά: Wiley trading series.
• Θέματα: Commodity exchanges.; BUSINESS & ECONOMICS > Investments & Securities > General.; Electronic books.

Award winning system developer explains how to create, test, and implement a profitable trading system/b Traders have long been drawn to the idea of translating their strategies and ideas into trading systems. While successful trading systems have been developed, in most cases, they work very well f...

Πίνακας περιεχομένων:

• Building Reliable Trading Systems; Contents; Preface; Chapter 1 What Is a Tradeable Strategy?; Realistic Return/Risk Expectations; Metrics to Use in Gauging Tradeable System Performance; Know Yourself; Conclusion; Chapter 2 Developing a Strategy So It Trades Like It Back-Tests; Curve-Fitting; Curve-Fitting Using Good Development Practices on a Small Amount of Data; Curve-Fitting Is proportional to the Number of trades in the Development Sample; Testing the Hypothesis that Curve-Fitting Is Proportional to the Number of Trades in the Sample Using Real Trade Data; Testing for Curve-Fitting.
• BRAC ExampleBRAC versus Out-of-Sample Testing; Last Word on Curve-Fitting; Other Impediments to a Valid Back-Test; Assuming Every Point in a Bar Was a Trade Point; Dual Orders within a Bar; Realistically Accounting for Transaction Costs; Limit Order Mania; Conclusion; Chapter 3 Find the Path of Least Resistance in the Market You Want to Trade; Markets Are Different: Daily Bars; Results of the Three-Step Process for Stocks; Results of the Three-Step Process for Commodities; Results of the Three-Step Process for FX Pairs; FX Pairs Are Generally Considered Great Trenders.
• Counter-Trend-Following Stock Entry ObservationsConclusion; Chapter 5 Trading System Elements: Exits; Reversal Exit Signals (Stock Example); Exit Stops (Stock Example); Time-Based Exits (Stock Example); Profit Stops (Stock Example); Reversal Exit Signals (Commodity Example); Exit Stops (Commodity Example); Catastrophic Stops; Trailing Stops; Time-Based Exits (Commodity Example); Profit Stops (Commodity Example); Conclusion; Chapter 6 Trading System Elements: Filters; Trading-day-of-the-week Filter (Stocks); Longer-Term Trend Filter (Stocks); Volatility-Based Filters (Stocks).