Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation
Quantitative Trading Systems focuses on three topics: Quantitative analysis techniques as applied to stocks, mutual funds, exchange traded funds, futures contracts, and currencies, An introduction to the AmiBroker program, Design, testing, validation, and implementation of trading systems.
Introduction:
EMPHASIS is given to:
- Techniques that have mathematical grounding – for example, equations rather than chart patterns.
- Techniques that are mechanical and testable rather than discretionary.
- Selection of issues to be traded, optimal holding periods, and expected drawdowns.
- Analysis of entry methods, exit methods, stop placement, money management, and position sizing.
- Analysis of intermarket variables.
- Methods for broad market timing.
- Methods for validation of trading systems, including whether a trading system is sufficiently reliable to trade.
WHAT YOU WILL FIND IN THIS BOOK:
- An introduction to many aspects of technical analysis and quantitative analysis. Emphasis is on removing the mystery from things that work that you should know about, and debunking things that do not work so you do not need to spend time finding them out for yourself.
- A thorough explanation of methods used to measure the goodness of a trading system, and useful metrics to incorporate into the objective function.
- Identification of the key aspects of trading system development, and techniques to incorporate them into your own trading systems.
- Detailed explanation of data splitting into in-sample and out-ofsample periods, and the proper use of each.
- Enough mathematical rigor to (hopefully) be convincing without being overwhelming.
Contents:
- Quantitative Analysis
- Trading System Overview
- Measuring Success
- Issue Selection
- Entries and Exits
- Functions and Indicators
- Trending Systems
- Mean Reversion Systems
- Seasonality Systems
- Pattern Systems
- Anticipating Signals
- Sector Analysis
- Rotation
- Portfolios
- Filters and Timing
- In-Sample Out-of-Sample
- Statistical Tests
