The Evaluation and Optimization of Trading Strategies
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| Author(s) | |
|---|---|
| Pages |
366 |
| Format |
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| Published Date |
2008 |
Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk.
Author’s Introduction:
The trading game never changes in two significant areas. The markets are always the markets. They continuously adjust and adapt to the demands placed upon it by traders and investors to continue to function as efficient pricing mechanisms. It is their nature to remain the same through continuous adaptation and change.
Trading is always about making a profit and remaining the last person standing, which means that you leave trading on your terms, ahead of the game and because you no longer wish to trade. To do that, one needs to find what the old-time floor traders called an edge. I personally believe that anyone who succeeds at trading does so because he has discovered an edge. I also believe that there are probably as many different edges as there are traders.
The trading game has never been as profitable as it is today. Nor have the markets ever been more efficient than they are today. Yet, traders the world over continue to make profits. Why? They have found an edge. And, and this is a very big and, they stick to the rules of their edge; they follow their well-tested trading strategy religiously. Let us explore together how these edges are found, polished, optimized, and then employed to produce vast wealth.
Contents:
- On Trading Strategies
- The Systematic Trading Edge
- The Trading Strategy Development Process
- The Strategy Development Platform
- The Elements of Strategy Design
- The Historical Simulation
- Formulation and Specification
- Preliminary Testing
- Search and Judgment
- Optimization
- Walk-Forward Analysis
- The Evaluation of Performance
- The Many Faces of Overfitting
- Trading the Strategy
The Evaluation and Optimization of Trading Strategies By Robert Pardo pdf
12 reviews for The Evaluation and Optimization of Trading Strategies
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Trevor Ball (verified owner) –
Worth every cent. Explained clearly and easy to understand. Ideal mechanical trading book.
Brinley Zuniga (verified owner) –
the book is very intersting, maybe sometimes it appears too long regarding the content but it is OK
Ronin Hale (verified owner) –
… Robert could have told us the content of this book on 2 pages. I am not sure if his formular to calcullate the standard error is the best, even in the great book of Perry J. Kaufman a better formular is taken.
Anyhow, there are not much books about evaluation and optimization on the market and this book might be the best book available.
Johan Jenkins (verified owner) –
A great starting text for system developers. All concepts are clear. The fact that book avoids introduction to specific trading strategies makes it timeless.
Gavin Moyer (verified owner) –
I use Tradestation for my day trading and thought I might learn something new from this book to help me better optimize my strategy ideas. Maybe my expectations were too high. The book is a basic concepts book about strategy optimization with nothing revolutionary (in my opinion). If you are new to Tradestation and are curious about Walk Forward Analysis or Optimization, just Google it… I really need to screen the books I am considering buying more at the bookstores before I buy them.
Rylee Woodard (verified owner) –
You would be better off watching the free trading videos on Trade Station to learn about creating trading systems and optimization. This book seems to be one long commercial for Pardos Group forward testing software which is no longer available. The book is basically useless since the premise is that in order to test a trading strategy you must first test it in out of sample data. This makes perfect sense but you need software and a data feed to do this otherwise time consuming testing.
The software recommended of coerce is Pardos group which they no longer sell.
Diana Shah (verified owner) –
Excellent detailed book. Really lays out the process in an understandable way yet is loaded with the techno-speak to see how it all works. Used it a lot in designing a strategy. The importance of avoiding curve-fitting and over-optimizing was made very clear. Happened to have consulted with one of the people on the back jacket that praised the book before we even discovered this book. THAT really gave us confidence that the book would help and it did. Our system is through the moon!
Elisabeth Harrison (verified owner) –
This book is precisely written and gives a great educational foundation on the concepts of trading system analysis and proper optimization. TradeStation, TradersStudio and the other testing platforms are tremendous tools and can be used to develop robust trading systems but at the same time they can be quite dangerous to the novice trader. With the computational power and data that it available today, a new system developer can easily get carried away and over curve fit their trading scheme. Bob tells how not to do this. The book also covers the most important performance metrics and how they should be used to determine the robustness of a trading plan. Also Bob has worked with Bill Dunn for many years and this is definitely an indicator that Bob knows what he is writing about. If you are interested in developing robust trading systems or analyzing one to purchase, you can’t go wrong buying EOTS.
Abby Yoder (verified owner) –
Pardo gives a comprehensive introduction in how to develop and test automated trade strategies, from the trade idea up to analysis and testing with different objective functions. The book is a good read for a beginner to strategy development. On the down side, the information density is quite thin. Pardo probably got from his publisher the requirement to write a 300+ pages book, which he managed by repeating the same content in different wording.
Examples of real strategies are missing. Instead, about a third of the book is dedicated to what he calls “Walk Forward Analysis”, which is the idea to test the strategy with price data that was not used for optimization. Certainly a good concept. Pardo didn’t invent it, but coined the term. But would you need 100 pages to describe a relatively simple concept, or want to read 100 pages about the same idea formulated in many different ways? This wasting of the reader’s time reduces the rating of this otherwise useful book to 3 stars.
Sincere Valdez (verified owner) –
I am enjoying the book so far. Author repeats self a lot though and seems to avoid concrete what to do tips. Hopefully those will come later–I am only half way through the book.
Zain Jarvis (verified owner) –
Must read for anyone interested in systematic trading
Zola Bowen (verified owner) –
Over time I have read many books on trading. I am not quite complete with my first read of this book, but it is the most helpful book I have read to date. There is so much in depth knowledge in this book. It is not only greatly helping in my pursuit of system trading, but the rest of my trading as well. I am on my second highliter pen. Worth more than every penny. Thanks