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Архив Создание торговых систем [ENG]

Тема в разделе "Неактивные складчины (архив)", создана пользователем InfoNews, 27 сен 2014.

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  1. InfoNews

    InfoNews Модератор

    Коллекция книга по созданию торговых систем (на анг.)

    Спойлер: Описание + 1 книга бесплатно

    The second edition of "Introduction to AmiBroker" is free for personal use.
    You can download a pdf version from the book's website:


    Спойлер: Описание
    Quantitative Trading Systems.
    The book discusses the design, testing, and validation of trading systems based on rules.

    Topics include:
    Background of technical analysis and quantitative trading.
    Measuring success.
    Entries and exits.
    Styles of entries, including trend following, mean reverting, patterns, and seasonality.
    Sector rotation.
    In-sample and out-of-sample testing.
    Validation, including walk forward.
    There are over 80 programs and code segments to illustrate the ideas discussed. These can be downloaded and used as templates for the reader to verify results from the book and to jump start development of new ideas.

    Спойлер: Описание
    Modeling Trading System Performance
    The book discusses techniques for determining whether a trading system is working or is broken.

    Topics include:
    Background of Monte Carlo simulation
    Use of Monte Carlo simulation to estimate drawdown and profit potential
    Statistical testing of trading system results
    The book is platform-independent. The trades analyzed can be actual trades, estimates from testing from any trading system platform, or hypothetical.
    A free, fully functional, Excel add-in is provided for use with the Monte Carlo simulations.

    Спойлер: Описание
    Mean Reversion Trading Systems.
    The book discusses several methods for swing trading.

    Topics include:
    Identifying overbought and oversold conditions.
    Transformations to normalize, rescale, and handle out-of-range values.
    Fully disclosed systems for trading frequently and holding a few days.

    Спойлер: Описание
    The book is in preparation, with publication expected for about October, 2014.

    Quantitative Technical Analysis.
    The book discusses an integrated approach to trading system development and trading management, with an emphasis on risk.

    Topics include:
    Assessing your personal risk tolerance.
    Estimating the risk inherent in a data series.
    Estimating the risk in a trading system.
    Developing models using a traditional trading system development platform.
    Developing models using machine learning and pattern recognition.
    Dynamically managing position size to maximize account growth while holding drawdown to your personal risk tolerance.
    Determining the health of the system and deciding when it should be taken offline.
    The book includes original research and new techniques, including dynamic position sizing.
    Книга будет опубликована в октябре 2014, но собираться надо уже сейчас ...​

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