Monthly Catalogue, United States Public Documents PDF Download
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Author:
Publisher:
ISBN:
Category : Government publications
Languages : en
Pages : 1038
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Book Description
Author:
Publisher:
ISBN:
Category : Government publications
Languages : en
Pages : 1038
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Book Description
Author:
Publisher:
ISBN:
Category : Government publications
Languages : en
Pages : 1112
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Book Description
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 1102
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Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 456
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Book Description
Author: Timothy Masters
Publisher: Apress
ISBN: 1484241738
Category : Computers
Languages : en
Pages : 325
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Book Description
Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You’ve 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 real-life 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 sure-fire, guaranteed-riches 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 on-going 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 Learn See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimatelyDetect overfitting early in developmentEstimate the probability that your system's backtest results could have been due to just good luckRegularize a predictive model so it automatically selects an optimal subset of indicator candidatesRapidly find the global optimum for any type of parameterized trading systemAssess the ruggedness of your trading system against market changesEnhance the stationarity and information content of your proprietary indicatorsNest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systemsCompute a lower bound on your system's mean future performanceBound expected periodic returns to detect on-going system deterioration before it becomes severeEstimate the probability of catastrophic drawdown Who This Book Is For Experienced C++ programmers, developers, and software engineers. Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 176
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Book Description
Author:
Publisher:
ISBN:
Category : Science
Languages : en
Pages : 442
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Book Description
Author: J. Robert Cromack
Publisher:
ISBN:
Category :
Languages : en
Pages : 290
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Book Description
Author: United States. General Accounting Office
Publisher:
ISBN:
Category : Highway law
Languages : en
Pages : 40
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Book Description
Author: Bernd A. Berg
Publisher: World Scientific
ISBN: 9812389350
Category : Science
Languages : en
Pages : 380
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Book Description
This book teaches modern Markov chain Monte Carlo (MC) simulation techniques step by step. The material should be accessible to advanced undergraduate students and is suitable for a course. It ranges from elementary statistics concepts (the theory behind MC simulations), through conventional Metropolis and heat bath algorithms, autocorrelations and the analysis of the performance of MC algorithms, to advanced topics including the multicanonical approach, cluster algorithms and parallel computing. Therefore, it is also of interest to researchers in the field. The book relates the theory directly to Web-based computer code. This allows readers to get quickly started with their own simulations and to verify many numerical examples easily. The present code is in Fortran 77, for which compilers are freely available. The principles taught are important for users of other programming languages, like C or C++.
