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Permutation And Randomization Tests For Trading System Development
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Book Synopsis Permutation and Randomization Tests for Trading System Development by : Timothy Masters
Download or read book Permutation and Randomization Tests for Trading System Development written by Timothy Masters and published by . This book was released on 2020-02-12 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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?
Book Synopsis Testing and Tuning Market Trading Systems by : Timothy Masters
Download or read book Testing and Tuning Market Trading Systems written by Timothy Masters and published by Apress. This book was released on 2018-10-26 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modern Data Mining Algorithms in C++ and CUDA C by : Timothy Masters
Download or read book Modern Data Mining Algorithms in C++ and CUDA C written by Timothy Masters and published by Apress. This book was released on 2020-06-05 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover a variety of data-mining algorithms that are useful for selecting small sets of important features from among unwieldy masses of candidates, or extracting useful features from measured variables. As a serious data miner you will often be faced with thousands of candidate features for your prediction or classification application, with most of the features being of little or no value. You’ll know that many of these features may be useful only in combination with certain other features while being practically worthless alone or in combination with most others. Some features may have enormous predictive power, but only within a small, specialized area of the feature space. The problems that plague modern data miners are endless. This book helps you solve this problem by presenting modern feature selection techniques and the code to implement them. Some of these techniques are: Forward selection component analysis Local feature selection Linking features and a target with a hidden Markov modelImprovements on traditional stepwise selectionNominal-to-ordinal conversion All algorithms are intuitively justified and supported by the relevant equations and explanatory material. The author also presents and explains complete, highly commented source code. The example code is in C++ and CUDA C but Python or other code can be substituted; the algorithm is important, not the code that's used to write it. What You Will Learn Combine principal component analysis with forward and backward stepwise selection to identify a compact subset of a large collection of variables that captures the maximum possible variation within the entire set. Identify features that may have predictive power over only a small subset of the feature domain. Such features can be profitably used by modern predictive models but may be missed by other feature selection methods. Find an underlying hidden Markov model that controls the distributions of feature variables and the target simultaneously. The memory inherent in this method is especially valuable in high-noise applications such as prediction of financial markets.Improve traditional stepwise selection in three ways: examine a collection of 'best-so-far' feature sets; test candidate features for inclusion with cross validation to automatically and effectively limit model complexity; and at each step estimate the probability that our results so far could be just the product of random good luck. We also estimate the probability that the improvement obtained by adding a new variable could have been just good luck. Take a potentially valuable nominal variable (a category or class membership) that is unsuitable for input to a prediction model, and assign to each category a sensible numeric value that can be used as a model input. Who This Book Is For Intermediate to advanced data science programmers and analysts.
Book Synopsis Cybernetic Trading Strategies by : Murray A. Ruggiero
Download or read book Cybernetic Trading Strategies written by Murray A. Ruggiero and published by John Wiley & Sons. This book was released on 1997-07-01 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ein Überblick über die aktuellsten Technologien zum Aufbau einer Handelsstrategie: neuronale Netzwerke, genetische Algorithmen, Expertensysteme, Fuzzy logic und statistische Mustererkennung. Gezeigt wird, wie diese neuen Methoden in klassische Analysenverfahren integriert werden können. Auch Erläuterungen zur Prüfung und Bewertung existierender Systeme kommen nicht zu kurz.
Book Synopsis Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments by : David Aronson
Download or read book Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments written by David Aronson and published by Createspace Independent Publishing Platform. This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves two purposes. First, it teaches the importance of using sophisticated yet accessible statistical methods to evaluate a trading system before it is put to real-world use. In order to accommodate readers having limited mathematical background, these techniques are illustrated with step-by-step examples using actual market data, and all examples are explained in plain language. Second, this book shows how the free program TSSB (Trading System Synthesis & Boosting) can be used to develop and test trading systems. The machine learning and statistical algorithms available in TSSB go far beyond those available in other off-the-shelf development software. Intelligent use of these state-of-the-art techniques greatly improves the likelihood of obtaining a trading system whose impressive backtest results continue when the system is put to use in a trading account. Among other things, this book will teach the reader how to: Estimate future performance with rigorous algorithms Evaluate the influence of good luck in backtests Detect overfitting before deploying your system Estimate performance bias due to model fitting and selection of seemingly superior systems Use state-of-the-art ensembles of models to form consensus trade decisions Build optimal portfolios of trading systems and rigorously test their expected performance Search thousands of markets to find subsets that are especially predictable Create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility More information on the TSSB program can be found at TSSBsoftware dot com.
Book Synopsis Expert Trading Systems by : John R. Wolberg
Download or read book Expert Trading Systems written by John R. Wolberg and published by John Wiley & Sons. This book was released on 2000 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the proliferation of computer programs to predict market direction, professional traders and sophisticated individual investors have increasingly turned to mathematical modeling to develop predictive systems. Kernel regression is a popular data modeling technique that can yield useful results fast. Provides data modeling methodology used to develop trading systems. * Shows how to design, test, and measure the significance of results John R. Wolberg (Haifa, Israel) is professor of mechanical engineering at the Haifa Institute in Israel. He does research and consulting in data modeling in the financial services area.
Book Synopsis Adobe Illustrator CS2 How-Tos by : David Karlins
Download or read book Adobe Illustrator CS2 How-Tos written by David Karlins and published by Adobe Press. This book was released on 2005 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Easy-to-scan guide makes quick work of the most useful features of Adobe Illustrator CS2!
Book Synopsis OpenVMS Alpha Internals and Data Structures by : Ruth Goldenberg
Download or read book OpenVMS Alpha Internals and Data Structures written by Ruth Goldenberg and published by Elsevier. This book was released on 2002-12-10 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: OpenVMS Alpha Internals and Data Structures: Memory Management is an update to selected parts of the book OpenVMS AXP Internals and Data Structures Version 1.5 (Digital Press, 1994). This book covers the extensions to the memory management subsystem of OpenVMS Alpha to allow the operating system and applications to access 64 bits of address space. It emphasizes system data structures and their manipulation by paging and swapping routines and related system services. It also describes management of dynamic memory, such as nonpaged pool, and support for nonuniform memory access (NUMA) platforms. This book is intended for systems programmers, technical consultants, application designers, and other computer progressions interested in learning the details of the OpenVMS executive. Teachers and students of graduate and advanced undergraduate courses in operating systems will find this book a valuable study in how theory and practice are resolved in a complex commercial operating system. THE definitive reference describing how the OpenVMS kernel works Written by a top authority on OpenVMS systems Covers the latest version of OpenVMS
Book Synopsis A Platform-Centric Approach to System-on-Chip (SOC) Design by : Vijay Madisetti
Download or read book A Platform-Centric Approach to System-on-Chip (SOC) Design written by Vijay Madisetti and published by Springer Science & Business Media. This book was released on 2006-06-28 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increasing system complexity has created a pressing need for better design tools and associated methodologies and languages for meeting the stringent time to market and cost constraints. Platform-centric and platfo- based system-on-chip (SoC) design methodologies, based on reuse of software and hardware functionality, has also gained increasing exposure and usage within the Electronic System-Level (ESL) design communities. The book proposes a new methodology for realizing platform-centric design of complex systems, and presents a detailed plan for its implementation. The proposed plan allows component vendors, system integrators and product developers to collaborate effectively and efficiently to create complex products within budget and schedule constraints. This book focuses more on the use of platforms in the design of products, and not on the design of platforms themselves. Platform-centric design is not for everyone, as some may feel that it does not allow them to differentiate their offering from competitors to a significant degree. However, its proponents may claim that the time-- market and cost advantages of platform-centric design more than compensate for any drawbacks.
Book Synopsis Adobe Fireworks CS4 How-Tos by : Jim Babbage
Download or read book Adobe Fireworks CS4 How-Tos written by Jim Babbage and published by Pearson Education. This book was released on 2010-04-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adobe Fireworks CS4 is back and better than ever. Completely revamped for inclusion in the Adobe Creative Suite, Fireworks is now positioned to be an integral part of Adobe's Web workflow. Designed for manipulating images destined for the Web and developing rapid Web prototypes, Fireworks lets Web designers go from scribbled concept to online framework. Fireworks CS4 has been given new life, so new in fact that a whole new generation of Web designers needs to become acquainted with it. Adobe Fireworks CS4 How-Tos: 100 Essential Techniques gives users quick access to the key features and fundamental techniques to help them come up to speed in Adobe Fireworks CS4. Each technique is presented in a self-contained unit of one or two pages so users can dive in and start working right away, unencumbered by lengthy descriptions or technical detail. Adobe Fireworks CS4 How-Tos: 100 Essential Techniques will be one of the first books available on this software.
Book Synopsis Fraud Analysis Techniques Using ACL by : David Coderre
Download or read book Fraud Analysis Techniques Using ACL written by David Coderre and published by John Wiley & Sons. This book was released on 2009-07-23 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: "When people ask me what they can do to better utilize ACL, I tell them, 'Take an instructor lead course, participate in the ACL Forum, and study (not read, study) David Coderre's Fraud Analysis Techniques Using ACL.' I studied this book, and would not be where I am today without it. Even without the anti-fraud material, the book is worth the investment as a tool to learning ACL!" —Porter Broyles, President and founder of the Texas ACL User Group, Keynote Speaker at ACL's 2009 San Francisco Conference, Official ACL Super User "For individuals interested in learning about fraud analysis techniques or the art of ACL scripting, this book is a must-read. For those individuals interested in learning both, this book is a treasure." —Jim Hess, Principal, Hess Group, LLC Your very own ACL Fraud Toolkit—at your fingertips Fraud Analysis Techniques Using ACL offers auditors and investigators: Authoritative guidance from David Coderre, renowned expert on the use of computer-assisted audit tools and techniques in fraud detection A website containing an educational version of ACL from the world leader in fraud detection software An accompanying website containing a thorough Fraud Toolkit with two sets of customizable scripts to serve your specific audit needs Case studies and sample data files that you can use to try out the tests Step-by-step instructions on how to run the tests A self-study course on ACL script development with exercises, data files, and suggested answers The toolkit also contains 12 'utility scripts' and a self-study course on ACL scripting which includes exercises, data files, and proposed answers. Filled with screen shots, flow charts, example data files, and descriptive commentary highlighting and explaining each step, as well as case studies offering real-world examples of how the scripts can be used to search for fraud, Fraud Analysis Techniques Using ACL is the only toolkit you will need to harness the power of ACL to spot fraud.
Book Synopsis Statistical Graphics Procedures by Example by : Sanjay Matange
Download or read book Statistical Graphics Procedures by Example written by Sanjay Matange and published by SAS Institute. This book was released on 2014-11-29 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sanjay Matange and Dan Heath's Statistical Graphics Procedures by Example: Effective Graphs Using SAS shows the innumerable capabilities of SAS Statistical Graphics (SG) procedures. The authors begin with a general discussion of the principles of effective graphics, ODS Graphics, and the SG procedures. They then move on to show examples of the procedures' many features. The book is designed so that you can easily flip through it, find the graph you need, and view the code right next to the example. Among the topics included are how to combine plot statements to create custom graphs; customizing graph axes, legends, and insets; advanced features, such as annotation and attribute maps; tips and tricks for creating the optimal graph for the intended usage; real-world examples from the health and life sciences domain; and ODS styles. The procedures in Statistical Graphics Procedures by Example are specifically designed for the creation of analytical graphs. That makes this book a must-read for analysts and statisticians in the health care, clinical trials, financial, and insurance industries. However, you will find that the examples here apply to all fields. This book is part of the SAS Press program.
Book Synopsis Microsoft XNA 4.0 Game Development Cookbook by : Luke Drumm
Download or read book Microsoft XNA 4.0 Game Development Cookbook written by Luke Drumm and published by Packt Publishing Ltd. This book was released on 2012-06-25 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over 40 intermediateto advanced recipes for taking your XNA development arsenal further in this book and e-book.
Book Synopsis Competing Through Innovation by : David J. Teece
Download or read book Competing Through Innovation written by David J. Teece and published by Edward Elgar Publishing. This book was released on 2013 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This cohesive collection brings together David J. Teece's most important work on the nexus of innovation and competition policy. He was one of the first to flag the importance of innovation issues to competition policy 25 years ago. He has also pioneered the application of economic and organizational principles to issues in the management of innovation. Throughout these essays, Professor Teece shows how technological advances, the advent of the Internet and other recent shifts in the global business landscape have placed businesses in a radically altered situation from even just a few decades ago. He clearly elucidates the need for both businesses and policymakers to adapt to this rapidly evolving landscape by embracing and fostering next-generation competition policies. Topics discussed include antitrust policy, technology strategies, competition policy, market power and intellectual property issues. Students and professors of business and management, innovation studies, intellectual property and competition lawyers will find this volume a critical asset to their work. Policymakers and regulators will also benefit immensely from this lucid and comprehensive collection.
Book Synopsis Introduction to Property Testing by : Oded Goldreich
Download or read book Introduction to Property Testing written by Oded Goldreich and published by Cambridge University Press. This book was released on 2017-11-23 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: An extensive and authoritative introduction to property testing, the study of super-fast algorithms for the structural analysis of large quantities of data in order to determine global properties. This book can be used both as a reference book and a textbook, and includes numerous exercises.
Book Synopsis Unity 5 Game Optimization by : Chris Dickinson
Download or read book Unity 5 Game Optimization written by Chris Dickinson and published by Packt Publishing Ltd. This book was released on 2015-11-06 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master performance optimization for Unity3D applications with tips and techniques that cover every aspect of the Unity3D Engine About This Book Optimize CPU cycles, memory usage, and GPU throughput for any Unity3D application Master optimization techniques across all Unity Engine features including Scripting, Asset Management, Physics, Graphics Features, and Shaders A practical guide to exploring Unity Engine's many performance-enhancing methods Who This Book Is For This book is intended for intermediate and advanced Unity developers who have experience with most of Unity's feature-set, and who want to maximize the performance of their game. Familiarity with the C# language will be needed. What You Will Learn Use the Unity Profiler to find bottlenecks anywhere in our application, and discover how to resolve them Implement best-practices for C# scripting to avoid common pitfalls Develop a solid understanding of the rendering pipeline, and maximize its performance through reducing draw calls and avoiding fill rate bottlenecks Enhance shaders in a way that is accessible to most developers, optimizing them through subtle yet effective performance tweaks Keep our scenes as dynamic as possible by making the most of the Physics engine Organize, filter, and compress our art assets to maximize performance while maintaining high quality Pull back the veil on the Mono Framework and the C# Language to implement low-level enhancements that maximize memory usage and avoid garbage collection Get to know the best practices for project organization to save time through an improved workflow In Detail Competition within the gaming industry has become significantly fiercer in recent years with the adoption of game development frameworks such as Unity3D. Through its massive feature-set and ease-of-use, Unity helps put some of the best processing and rendering technology in the hands of hobbyists and professionals alike. This has led to an enormous explosion of talent, which has made it critical to ensure our games stand out from the crowd through a high level of quality. A good user experience is essential to create a solid product that our users will enjoy for many years to come. Nothing turns gamers away from a game faster than a poor user-experience. Input latency, slow rendering, broken physics, stutters, freezes, and crashes are among a gamer's worst nightmares and it's up to us as game developers to ensure this never happens. High performance does not need to be limited to games with the biggest teams and budgets. Initially, you will explore the major features of the Unity3D Engine from top to bottom, investigating a multitude of ways we can improve application performance starting with the detection and analysis of bottlenecks. You'll then gain an understanding of possible solutions and how to implement them. You will then learn everything you need to know about where performance bottlenecks can be found, why they happen, and how to work around them. This book gathers a massive wealth of knowledge together in one place, saving many hours of research and can be used as a quick reference to solve specific issues that arise during product development. Style and approach This book is organized based on the major features of Unity engine and should be treated as a reference guide. It is written as a series of investigations into both common and unusual performance pitfalls, each including a study on why the bottleneck is causing us problems, and a list of enhancements or features that can be used to work around them. Differences in effectiveness, behaviors, or feature-sets between Unity 4.x and Unity 5.x will be highlighted.
