Permutation and Randomization Tests for Trading System Development: Algorithms in C++ - Timothy Masters

nThis book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers.n nAll algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console.n nReprogramming them in other languages should be easy, given the detailed explanations of each algorithm.n nThe following topics are covered: n nTesting for overfitting at the earliest possible stagen nEvaluating the luckiness-versus-skill of a fully developed system before deploying itn nTesting the effectiveness and reliability of a trading system factoryn nRemoving selection bias when screening a large number of indicatorsn nProbability bounds for future mean returnsn nBounding typical and catastrophic future drawdownsn nIs the best indicator or model in a competition truly the best, or just the luckiest?n nWhich markets provide truly superior profits for your trading system?n nWhat holding time for your system provides the best risk/return performance?n