Permutation and Randomization Tests for Trading System Development: Algorithms in C++

by Timothy Masters

This book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers.

All algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console.

Reprogramming them in other languages should be easy, given the detailed explanations of each algorithm.

The following topics are covered:

Testing for overfitting at the earliest possible stage

Evaluating the luckiness-versus-skill of a fully developed system before deploying it

Testing the effectiveness and reliability of a trading system factory

Removing selection bias when screening a large number of indicators

Probability bounds for future mean returns

Bounding typical and catastrophic future drawdowns

Is the best indicator or model in a competition truly the best, or just the luckiest?

Which markets provide truly superior profits for your trading system?

What holding time for your system provides the best risk/return performance?

Genres: Finance

159 pages, Paperback

First published February 12, 2020