Evaluation and Optimization of Trading Strategies - by Robert Pardo
2010, 373 pages, by Robert Pardo.
It is a very well written book. If you are in the way of creating Automated Strategies you MUST read this book. It has everything you need to succeed in this area: From the concept and creation of your automated strategy, preparing the testing, analyzing the testing result and the applying the final step called Walk Forward Analysis.
I don’t agree with everything he says, for instance, in order to a strategy to be robust and successful it should pass the testing of multi-timeframes and multi-assets, which isn’t true nowadays, you can simply build a strategy to exploit a specific behavior of a specific asset.
Other aspect that as of today, this book in its Kindle Edition is more expensive than its hard cover version, and also expensive (USD 55,00).
Anyway, loved the book!
#TotallyRecommended!
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