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Testing and Tuning Market Trading Systems: Algorithms in C++,Used
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Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. Youve had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here? Well, this book discusses and dissects this case study approach. Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its reallife performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not live up to expectations.This book does not contain any surefire, guaranteedriches trading systems. Those are a dime a dozen... But if you have a trading system, this book will provide you with a set of tools that will help you evaluate the potential value of your system, tweak it to improve its profitability, and monitor its ongoing performance to detect deterioration before it fails catastrophically. Any serious market trader would do well to employ the methods described in this book.What You Will LearnSee how the 'spaghettionthewall' approach to trading system development can be done legitimately Detect overfitting early in development Estimate the probability that your system's backtest results could have been due to just good luck Regularize a predictive model so it automatically selects an optimal subset of indicator candidates Rapidly find the global optimum for any type of parameterized trading system Assess the ruggedness of your trading system against market changes Enhance the stationarity and information content of your proprietary indicators Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems Compute a lower bound on your system's mean future performance Bound expected periodic returns to detect ongoing system deterioration before it becomes severe Estimate the probability of catastrophic drawdownWho This Book Is ForExperienced C++ programmers, developers, and software engineers. Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.
- Q: What is the page count of the book? A: The book contains three hundred thirty pages. It provides extensive insights into market trading systems using C++.
- Q: What is the binding type of this book? A: The book is available in paperback binding. This makes it portable and easy to handle.
- Q: What are the dimensions of the book? A: The dimensions are seven point zero one inches in length, zero point seven five inches in width, and ten inches in height.
- Q: Can a beginner understand this book? A: No, this book is intended for experienced C++ programmers. Prior knowledge of rigorous statistical procedures is recommended.
- Q: How can I apply the concepts from this book? A: You can apply the concepts by building, testing, and tuning your own market trading systems using C++ algorithms.
- Q: Is this book suitable for self-study? A: Yes, it is suitable for self-study for those with prior experience in C++. It offers a detailed approach to evaluating trading systems.
- Q: How should I store this book? A: Store the book in a cool, dry place away from direct sunlight. This will help maintain its condition over time.
- Q: Are there any safety concerns with this book? A: No, there are no safety concerns associated with this book. It is designed for educational purposes in financial engineering.
- Q: Can I return the book if I'm not satisfied? A: Yes, you can return the book if you are not satisfied, subject to the retailer's return policy.
- Q: What if the book arrives damaged? A: If the book arrives damaged, contact the seller for a replacement or refund according to their policy.
- Q: How does this book compare to others in its category? A: This book is more focused on the statistical evaluation of trading systems compared to other general trading books.
- Q: Is this book helpful for automated trading? A: Yes, it provides tools and methods that are beneficial for developing automated trading systems.
- Q: What skills will I gain from reading this book? A: You will gain skills in statistical testing, system tuning, and performance monitoring of trading systems.
- Q: Does this book include practical examples? A: Yes, it includes practical examples and case studies to illustrate the concepts discussed.
- Q: Will I learn about algorithm design from this book? A: Yes, you will learn about algorithm design specifically tailored for market trading systems using C++.
- Q: Is this book relevant for financial analysts? A: Yes, financial analysts will find the methodologies in this book highly relevant for evaluating trading strategies.