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Quantitative Trading Systems
by Dr Howard B Bandy
The book discusses topics related to the design, testing, and validation of trading systems. The main focus is to raise confidence that the trading system you develop will be profitable when traded with real money.
by Dr Howard B Bandy
The book discusses topics related to the design, testing, and validation of trading systems. The main focus is to raise confidence that the trading system you develop will be profitable when traded with real money.
Some of the key topics are:
- defining an objective function
- using in-sample data for system development
- using out-of-sample data for system testing
- using walk forward analysis to learn what to expect
- determining whether the system is broken