Table of Contents of the Book: 8170948088

Contents

Acknowledgments
Preface

Part 1: A Practical Guide to Trading System Development and Evaluation

Chapter 1: What is a trading system?
1.1 An easy example of a trading system
1.2 Why you need a trading system
1.3 The science of trading systems

Chapter 2: Design, test, optimisation and evaluation of a trading system
2.1 Design
2.2 Test
2.3 The forecasting power of a trading system
2.4 Evaluation of a Trading System
2.5 Conclusion


PART 2: Trading System Development and Evaluation of a Real Case

Chapter 3: How to develop a trading system step by step - using the example of the British Pound /US dollar pair
3.1 The birth of a trading system
3.2 First evaluation of the trading system
3.3 Variation of the input parameters: optimisation and stability diagrams
3.4 Inserting an intraday time filter
3.5 Determination of appropriate exits - risk management
3.6 Summary: Step-by-step development of a trading system

Chapter 4: Two methods for evaluating the system's predictive power
4.1 Timescale analysis
4.2 Monte Carlo Analysis

Chapter 5: The factors around your system
5.1 The market's long/short bias
5.2 Out-of-sample deterioration
5.3 The market data bias
5.4 Optimization and over-fitting
5.5 Rule complexity explained with polynomial curve fitting

Chapter 6: Periodic re-optimisation and walk forward analysis
6.1 Short repetition: "normal", static optimisation
6.2 Anchored vs. rolling walk forward analysis (WFA)
6.3 Rolling WFA on the LUXOR system
6.4 The meaning of sample size and market structure

Chapter 7: Position sizing on the example of the LUXOR system
7.1 Definitions: money management vs. risk management
7.2 Application of different MM schemes
7.3 Monte Carlo analysis of the position sized system
7.4 Conclusion


Part 3: Systematic Portfolio Trading

Chapter 8: Dynamic Portfolio Construction
8.1 Introduction to Portfolio Construction
8.2 Correlation among equity lines
8.3 A dynamic approach: equity line crossover
8.4 Dynamic portfolio composition: the walk forward analysis activator
8.5 Largest losing trade/largest losing streak/largest drawdown

Conclusion

Appendices


Appendix 1: Bollinger Band system
Appendix 2: The Triangle system
Appendix 3: Portfolios with the LUXOR trading system

Bibliography
Index