Testing and Tuning Market Trading Systems: Algorithms in C++

Timothy Masters

  • 出版商: Apress
  • 出版日期: 2018-10-27
  • 售價: $1,820
  • 貴賓價: 9.5$1,729
  • 語言: 英文
  • 頁數: 332
  • 裝訂: Paperback
  • ISBN: 148424172X
  • ISBN-13: 9781484241721
  • 相關分類: C++ 程式語言Algorithms-data-structures
  • 海外代購書籍(需單獨結帳)

商品描述

Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You’ve had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here?  Well, this book discusses and dissects this case study approach.  

Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its real-life performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not live up to expectations.

This book does not contain any sure-fire, guaranteed-riches trading systems. Those are a dime a dozen... But if you have a trading system, this book will provide you with a set of tools that will help you evaluate the potential value of your system, tweak it to improve its profitability, and monitor its on-going performance to detect deterioration before it fails catastrophically. Any serious market trader would do well to employ the methods described in this book.

What You Will Learn

  • See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimately
  • Detect overfitting early in development
  • Estimate the probability that your system's backtest results could have been due to just good luck
  • Regularize a predictive model so it automatically selects an optimal subset of indicator candidates
  • Rapidly find the global optimum for any type of parameterized trading system
  • Assess the ruggedness of your trading system against market changes
  • Enhance the stationarity and information content of your proprietary indicators
  • Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems
  • Compute a lower bound on your system's mean future performance
  • Bound expected periodic returns to detect on-going system deterioration before it becomes severe
  • Estimate the probability of catastrophic drawdown

 Who This Book Is For

Experienced C++ programmers, developers, and software engineers.  Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.  


商品描述(中文翻譯)

使用C++算法和统计学构建、测试和调优金融、保险或其他市场交易系统。你有一个想法,并进行了一些初步实验,看起来很有前途。接下来该怎么办呢?这本书讨论和剖析了这种案例研究方法。

仅仅看起来好的回测表现并不足以证明交易真金白银。你需要对系统的有效性进行严格的统计测试。然后,如果基本测试确认了你的想法的质量,你需要调整你的系统,不仅要追求最佳表现,还要在面对不可避免的市场变化时保持稳健的行为。接下来,你需要量化其预期的未来行为,评估其实际表现可能有多糟糕,并确定你是否能接受这种情况。最后,你需要找到其理论性能极限,以便知道其实际交易是否符合这个理论期望,从而在系统无法达到预期时放弃它。

这本书不包含任何百发百中、保证致富的交易系统。这样的系统随处可见...但是如果你有一个交易系统,这本书将为你提供一套工具,帮助你评估系统的潜在价值,调整以提高其盈利能力,并监测其持续表现,以在它彻底失败之前检测到恶化。任何认真的市场交易者都应该采用本书中描述的方法。

你将学到什么:
- 看到如何合法地使用“乱七八糟”的方法来开发交易系统
- 在开发早期检测过拟合
- 估计系统回测结果可能仅仅是好运气的概率
- 使预测模型规范化,以自动选择最佳的指标候选集
- 快速找到任何类型参数化交易系统的全局最优解
- 评估你的交易系统对市场变化的稳健性
- 提升专有指标的平稳性和信息内容
- 在复杂交易系统中嵌套一层前向分析以解决选择偏差问题
- 计算系统未来平均性能的下限
- 通过界定预期周期回报来检测系统恶化之前的情况
- 估计灾难性回撤的概率

这本书适合对象:
有经验的C++程序员、开发人员和软件工程师。同时,建议具备使用严格的统计程序评估和最大化系统质量的经验。