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
