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 stage\n \nEvaluating the luckiness-versus-skill of a fully developed system before deploying it\n \nTesting the effectiveness and reliability of a trading system factory\n \nRemoving selection bias when screening a large number of indicators\n \nProbability bounds for future mean returns\n \nBounding typical and catastrophic future drawdowns\n \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