Building winning algorithmic trading systems : a trader's journey from data mining to Monte Carlo simulation to live trading /
"Award-winning trader Kevin Davey explains how he evolved from a discretionary to a systems trader and began generating triple-digit annual returns. An inveterate systems developer, Davey explains the process of generating a trading idea, validating the idea through statistical analysis, settin...
| Κύριος συγγραφέας: | |
|---|---|
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken, New Jersey,
Wiley,
[2014]
|
| Σειρά: | Wiley trading series.
|
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Series; Titlepage; Copyright; Dedication; Acknowledgments; About the Author; Introduction; Who Can Benefit from This Book?; PART I A TRADER'S JOURNEY; CHAPTER 1 The Birth of a Trader; My Moving Average Debacle; CHAPTER 2 Enough Is Enough; Research; You Can't Lose-Or Can You?; Averaging Down-Adding to Losers; The Wild Man Emerges; Time to Evaluate; CHAPTER 3 World Cup Championship of Futures Trading® Triumph; 2005; 2006; 2007; Reflections on the Contest; CHAPTER 4 Making the Leap-Transitioning to Full Time; Confidence; Capital; Living Expenses; Family Support; Home Office Setup
- Trading StrategiesBrokers; Free Time; Taking the Plunge; PART II YOUR TRADING SYSTEM; CHAPTER 5 Testing and Evaluating a Trading System; Historical Back Testing; Out-of-Sample Testing; Walk-Forward Analysis; Real-Time Analysis; CHAPTER 6 Preliminary Analysis; CHAPTER 7 Detailed Analysis; What Is Monte Carlo Analysis?; Inputs to Monte Carlo Simulator; Limitations of the Simulator; Simulator Output; Summary; CHAPTER 8 Designing and Developing Systems; Isn't It All Just Optimizing?; PART III DEVELOPING A STRATEGY; CHAPTER 9 Strategy Development-Goals and Objectives; CHAPTER 10 Trading Idea
- How Will You Enter a Market?How Will You Exit a Market?; What Markets Will You Trade?; What Type of System Do You Want?; What Time Frame/Bar Size Will You Trade?; How Will You Program the Strategy?; CHAPTER 11 Let's Talk about Data; How Much?; Pit or Electronic Data?; Continuous Contracts; The Impact of Electronic Markets; Testing with Forex Data; Summary; CHAPTER 12 Limited Testing; Entry Testing; Exit Testing; Exit Evaluation Criteria; Core System Testing; Monkey See, Monkey Do; CHAPTER 13 In-Depth Testing/Walk-Forward Analysis; No Parameters; A Walk-Forward Primer; Walk-Forward Inputs
- Fitness FunctionAnchored/Unanchored; Running the Analysis; Put the Walk-Forward Strategy Together; CHAPTER 14 Monte Carlo Analysis and Incubation; Incubation; Evaluating Incubation; CHAPTER 15 Diversification; Designing with Diversification in Mind; Measuring Diversification; CHAPTER 16 Position Sizing and Money Management; No Optimum Position Sizing; Risk and Reward Are a Team; Position Sizing Can Be Optimized; Losing Systems Cannot Become Winners; Winning Systems Can Become Losers; The Fantasy of Size; Short Term-Go for Broke; No Position Sizing = No Good!
- Strategy, Then Position Size, or Strategy and Position Size Together?Positioning Size-Single System; Positioning Size-Multiple Systems; CHAPTER 17 Documenting the Process; Trading Goals; Trading Idea; Limited Testing; Walk-Forward Testing; Monte Carlo Testing; Incubation Testing; Diversification Check; Position-Sizing Check; Final Notes; One Final List; PART IV CREATING A SYSTEM; CHAPTER 18 Goals, Initial and Walk-Forward Testing; Developing a New Strategy; Limited Testing; Walk-Forward Testing; CHAPTER 19 Monte Carlo Testing and Incubation; Euro Day Strategy; Euro Night Strategy
