The Evaluation and Optimization of Trading Strategies
by Robert Pardo · first published 2008
4mentions
2recommended by
2HN commenters
2014–2017first – last mentioned
100% recommend
With all of the changes in communications, technology, and trading styles, a thorough and comprehensive working knowledge of how to properly design and test strategies has never been more important than it has become in today's extremely competitive markets. That's why Robert Pardo has created The Evaluation and Optimization of Trading Strategies, Second Edition. For anyone planning to employ algorithmic or mechanical strategies in their trading, this book offers the information you need to properly understand and execute them.
Affiliate links. As an Amazon Associate I earn from qualifying purchases.
Your algorithm will likely not stand up to Walk Forward Analysis/Optimization/Testing: https://en.wikipedia.org/wiki/Walk_forward_optimization I recommend reading "The Evaluation and Optimization of Trading Strategies" by Robert Pardo.
on “Wealthfront: Silicon Valley Tech at Wall Street Prices” ↗…backtesting, but it does not mention one of the best tools at your disposal in backtesting: Walk Forward Optimization/Analysis https://en.wikipedia.org/wiki/Walk_forward_optimization See also: "The Evaluation and Optimization of Trading Strategies" by Robert Pardo
on “Python For Finance: Algorithmic Trading” ↗If anyone is interested in getting into algo trading, other books not mentioned but are highly regarded are: - "The Evaluation and Optimization of Trading Strategies" by Pardo - "The Elements of Statistical Learning" by Hastie et al
on “How to Get a Job in Algorithmic Trading” ↗"The Evaluation and Optimization of Trading Strategies" by Robert Pardo
on “Ask HN: Algorithmic trading for hackers” ↗