Description
Book SynopsisProvides guidelines for designing and building a profitable trading system. This book provides: techniques for researching and building a mechanical trading strategy; techniques to evaluate the performance of various systems; and methods to measure drawdown, both within individual trades and for entire strategies.
Table of ContentsEvaluating Performance. Performance Measures. Better Measures. Futures Contract Data. System Concepts. Picking Tops and Bottoms. Data Mining. Trade or Not to Trade. Following the Trend. Getting Out. Efficient Trades. Sweeney's MAE/MFE. Adding Long-term Exits. Working with Random Entries. High Probability Filters. Filtering. Long-term Volatility Filters. What Makes a Trend. Money Management and Portfolio Composition. Money Management. Portfolio Composition. Increasing Your Confidence.
