Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation

Description

Improve your trading profitability

Too often, trading systems that looked good last year, in an advertisement, or during computer back-testing, lose money as soon as you start trading them. This book explains why that happens, and gives detailed techniques for developing systems that will be profitable.

You will learn: How trading and investing differ
Why almost all investors are traders
Comparison of trading system software
Introduction to AmiBroker trading software
How to evaluate trading systems
How to select a system that you will be comfortable with
What to trade
How often to trade
How to use technical data
How to use fundamental data
Where to get data and how to prepare it
Principles of system design and testing
Specific entry signals
Several exit techniques
Many trading system examples
How to analyze in-sample and out-of-sample results
Statistically sound validation techniques
Walk forward testing
How to tell when a trading system is broken
Broad market timing
Intermarket analysis and filters
Equity curve analysis
Sector analysis and rotation methods
Portfolio construction
Monte Carlo Analysis
Position sizing
This book will change the way you look at investing and trading, and will give you the tools you need to develop trading systems that work for you.