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

287

Index

8 Disciplines (8D) process, continuous

improvement ( kaizen ) 273

adapting design processes/universal principles

12

Agile development 33

algorithms see cleaning algorithms; trading/

investment algorithms

analysis/design stage

competitor analysis 84

consolidation 85

new strategies 84–5

outputs/deliverables 85

overview 81–6

analysis of variance (ANOVA),

variation 266–7

architecture see system architecture

assignable causes, variation 27, 267–8

assumptions

Money Document 76–7

rounding data 143

SPC 252, 255

attribute charts, SPC 255–8

attribution, performance see performance

attribution

backtesting

see also performance checking; testing

converting prototypes to coded

models 132–3

database design 133–4

information management 133–4

optimize signals 135

outputs/deliverables 136

overview 131–7

QA 134–5

track record simulation 135–6

trading/investment systems 38

bad data 151–2

benchmarking 15–16

alternative benchmark construction 241–2

attribution calculations 246–8

buy vs build 8–9

defining benchmarks 239–42

design process 198–9

effective 240–1

Gate 3; 222–4

gate meetings 222–4

index benchmarking 15–16, 240–1

Monte Carlo benchmarking 241–2

peer group 15–16

performance attribution 246–8

performance controls 245–50

process 16

quantitative methods 98–9

research 98–9

sector 15–16

single performance calculations 246

validating 166–7

VaR calculations 248–9

best practices 17

building the system 212

cleaning algorithms 156

data 147

ideas 95

performance checking 122, 168, 219