The Evaluation and Optimization of Trading Strategies (Wiley Trading) [Hardcover]

Robert Pardo (Author)

Book Description

Publication Date: February 8, 2008 | Series: Wiley Trading (Book 314)

A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems

Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.

Editorial Reviews

Review

"...an essential read."The Technical Analyst August 2008

From the Inside Flap

It would be an understatement to say that the world has changed dramatically in the sixteen years since the first edition of Design, Testing, and Optimization of Trading Systems was published in 1991. 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. Robert Pardo argues that a trading strategy can only be properly evaluated and successfully traded when profit and risk have been measured precisely and accurately—which can only be done through computerized testing. In this updated and revised edition of his classic work, Pardo, a professional money manager and renowned expert in the design and testing of trading strategies and computerized trading applications, provides a clear-cut and specific road map for traders who want to transform a trading idea into a tested, verified, properly capitalized, and profitable automated trading strategy.

Pardo shows that the benefits of correct testing and optimization vastly outweigh the effort required to learn and master their proper application, and sets forth in detail the correct way to formulate, test, and evaluate a trading strategy. He explains how to properly optimize a trading strategy, incorporate out-of-sample data in the testing of a strategy, perform Walk-Forward Analysis, develop a trading strategy profile, and judge real-time trading performance with respect to the trading strategy profile developed via historical testing. In addition, he identifies the symptoms of overfitting—optimization that has "gone bad" and resulting in false conclusions and offers guidelines to avoid it.

The trading game has never been as large or as lucrative as it is today. Nor have the markets ever been more efficient than they are today. Yet traders the world over continue to make profits. Why? They have found an edge. For anyone planning to employ algorithmic or mechanical strategies in their trading, this book presents, in a straightforward and accessible style, the edge that you can use to obtain and enjoy the fruits of profitable trading.

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Product Details

• Hardcover: 334 pages
• Publisher: Wiley; 2 edition (February 8, 2008)
• Language: English
• ISBN-10: 0470128011
• ISBN-13: 978-0470128015
• Product Dimensions: 9.1 x 6.3 x 1.2 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 3.6 out of 5 stars  See all reviews (7 customer reviews)
• Amazon Best Sellers Rank: #323,453 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

45 of 50 people found the following review helpful:

3.0 out of 5 stars If your new to optimization concepts..., February 13, 2008

By 

AK (Kentucky) - See all my reviews

Amazon Verified Purchase

This review is from: The Evaluation and Optimization of Trading Strategies (Wiley Trading) (Hardcover)

I use Tradestation for my day trading and thought I might learn something new from this book to help me better optimize my strategy ideas. Maybe my expectations were too high. The book is a basic concepts book about strategy optimization with nothing revolutionary (in my opinion). If you are new to Tradestation and are curious about Walk Forward Analysis or Optimization, just Google it... I really need to screen the books I am considering buying more at the bookstores before I buy them. grrrr

14 of 16 people found the following review helpful:

5.0 out of 5 stars Great educational material, January 23, 2009

By 

G. PRUITT (Horse Shoe, NC United States) - See all my reviews
(REAL NAME)   

This review is from: The Evaluation and Optimization of Trading Strategies (Wiley Trading) (Hardcover)

This book is precisely written and gives a great educational foundation on the concepts of trading system analysis and proper optimization. TradeStation, TradersStudio and the other testing platforms are tremendous tools and can be used to develop robust trading systems but at the same time they can be quite dangerous to the novice trader. With the computational power and data that it available today, a new system developer can easily get carried away and over curve fit their trading scheme. Bob tells how not to do this. The book also covers the most important performance metrics and how they should be used to determine the robustness of a trading plan. Also Bob has worked with Bill Dunn for many years and this is definitely an indicator that Bob knows what he is writing about. If you are interested in developing robust trading systems or analyzing one to purchase, you can't go wrong buying EOTS.

4 of 4 people found the following review helpful:

3.0 out of 5 stars A 50 page book on 334 pages, March 20, 2011

By 

jcl "jcl" (Frankfurt) - See all my reviews

Amazon Verified Purchase

This review is from: The Evaluation and Optimization of Trading Strategies (Wiley Trading) (Hardcover)

Pardo gives a comprehensive introduction in how to develop and test automated trade strategies, from the trade idea up to analysis and testing with different objective functions. The book is a good read for a beginner to strategy development. On the down side, the information density is quite thin. Pardo probably got from his publisher the requirement to write a 300+ pages book, which he only managed by repeating the same stories over and over.

Examples of real strategies are missing. Instead, about a third of the book is dedicated to what he calls "Walk Forward Analysis", which is the idea to test the strategy with price data that was not used for optimization. Certainly a good concept. But would you need 100 pages to describe it, or want to read 100 pages about the same simple idea formulated again and again in many different ways? This wasting of the reader's time reduces the rating of this otherwise useful book to 3 stars.