Design, Testing, and Optimization of Trading Systems

by Robert Pardo

Overview

A practical, hands-on guide to setting up, adjusting, and trading mechanical systems that requires no computer or programming skills! Here’s everything you’ll need to develop and verify each stage of a profitable trading strategy, from formulation through testing to real-time trading. Armed with the author’s battery of easily accomplished testing and optimization techniques — many never before published — you’ll design a workable trading strategy, reliably measure its profit potential and risk, and then test it to see if it works in real-time trading. No matter what your level of trading expertise, now you can swiftly isolate and eliminate the causes of trading failure and make the decisions essential to profitable computerized trading. You’ll discover:

• The seven major components of mechanical trading strategies and their uses
• When and how to use fast, accurate, and realistic computer simulations to evaluate a strategy’s trading performance without risking precious capital
• The best ways to tailor a trading strategy to fit the unique personalities of widely different markets
• What to expect from a trading model in real-time trading
• How to judge trading performance with respect to historical testing performance

Design, Testing, and Optimization of Trading Systems helps you develop, evaluate, and apply a winning computer trading system that suits your specific needs.

Product Details

ISBN-13:	9780471554462
Publisher:	Wiley
Publication date:	08/28/1992
Series:	Wiley Trader's Exchange Series , #2
Pages:	176
Product dimensions:	6.32(w) x 9.41(h) x 0.79(d)

About the Author

About the author ROBERT PARDO is the founder and President of The Pardo Corporation, one of the world’s leading developers of trading and technical analysis microcomputer software. Beginning with its release of Chartist, in 1983, his firm has continuously updated its software line with such programs as Lightning, Blast, Advanced Chartist, Advanced Trader, and Expert Trader. Mr. Pardo is also a frequent contributor of articles to such magazines as Futures, Technical Analysis of Stocks and Commodities, and Wall Street Micro Investor. About the Series Editor PERRY J. KAUFMAN has over 20 years experience in systems design for trading strategies, hedging, and arbitrage in derivative products. He is the author of five books, including The New Commodity Trading Systems and Methods (Wiley) and numerous articles. A resident of Bermuda, Mr. Kaufman is the Managing Director of Comrand Limited, a research and development firm.

Table of Contents

On Optimization.

Trading System Development.

Trading System Structure.

The Rules of Simulation.

Search and Judgment.

Exercises in Testing.

Optimizing the Trading System.

The Evaluation of Performance.

The Many Faces of Overfitting.

The Evaluation of Real-Time Trading.

Index.