Quality Money Management : Process Engineering and Best Practices for Systematic Trading and Investment

121 the risk of the system and the market. As before, checking the performance of the sys- tem will prevent additional time and ...

122 CHAPTER ◆ 1 1 Check Performance position management, and risk management logic compared against known results gener- ated du ...

123 Gate 1 As with most services, trading/investment systems are candidates for external review to evaluate the prospects of the ...

124 CHAPTER ◆ 1 2 Gate 1 should be able to make a well-informed decision as to whether the concept, the well- defined trading/in ...

125 immediately, that system ’ s time-to-market will be reduced. If management stops develop- ment of a trading/investment syste ...

126 CHAPTER ◆ 1 2 Gate 1 As a prelude to a successful gate meeting, management should provide an overview of the economic enviro ...

127 feasibility issues, performance issues, or any other factor that could result in a less-than- satisfactory final product. If ...

STAGE ◆ II Backtest ...

131 STAGE 2: Overview The spiral stage structure of K| V begs two perspectives—one, that of the loops; and two, that of the step ...

132 CHAPTER ◆ 1 3 STAGE 2: Overview Because backtests have multiple objective functions, the process leaves the field of pure ma ...

133 strategy and will ensure that tool changes and additions do not alter the algorithms. Furthermore, regression testing will c ...

134 CHAPTER ◆ 1 3 STAGE 2: Overview (c) Type (e.g., XML, object, relational, network, hierarchical, flat file) (d) Vendor (e.g., ...

135 for the full-scale experiment. The goal is to create a stable test environment, defined as a system where all assignable cau ...

136 CHAPTER ◆ 1 3 STAGE 2: Overview run pack should be a copy of the prototype software and data used to generate the run, and a ...

137 the system will be a straightforward process since only the interfaces and algorithm con- trol (SPC and risk management) sys ...

139 Gather Historical Data Once the initial prototype has shown a system worthy of further investment of time and resources, the ...

140 CHAPTER ◆ 1 4 Gather Historical Data 14.1. Purchasing Data from Vendors Quality data for backtesting results from a comparis ...

141 violation. The data and results may have to remain with the vendor and cannot be moved to a local server.) ● Which data vend ...

142 CHAPTER ◆ 1 4 Gather Historical Data space, and then converted to dollars, the primary question is the following: what is th ...

143 is not a firm bid or offer that any market maker is obliged to honor. As one can imagine, then, during market meltdowns, val ...