Testing and Tuning Market Trading Systems : algorithms in C++ [PDF]

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Testing and Tuning Market Trading Systems : algorithms in C++ – Book

In many or most development situations, we have an idea for a trading system, but our idea is not fully specified; there are one or more aspects of it, such as optimizable parameters, that are left unspecified.

As a simplistic example, we may have a moving average crossover system that has two optimizable parameters, the long-term and short-term lookbacks. The system definition, along with a rigorously defined method for optimizing its parameters, and verified by OOS testing of the system, make up what we might call a model factory.

In other words, prior to optimization, we do not have an actual trading model; it’s just an idea along with a way of converting the idea into something concrete. The actual trading system we end up with will depend on the market data on which it is trained. Our goal now is to assess the quality of our model factory, as opposed to assessing the quality of a completely defined trading system.