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

Index 295

trading/investment strategy
documentation 36
ideas 36–7
modeling software 37
performance 37–8
quantitative methods 37
trading/investment system maturity model 26
trading/investment systems
defining 26
overview 29–44
systematic approach 10
types 61–5
trading/money management
firms 45–6
quality 4
trading the prototype, performance checking
120–1
trigger systems 61–2
example 63–4

universal principles/adapting design
processes 12
user documentation, performance checking 218

validating
benchmarking 166–7
cleaning algorithms 166–7
valuation data 142–3
Value at Risk (VaR)
benchmarking 248–9
methodology 242–3
Monte Carlo simulation 248–9
risk 231, 234
SPC 261
variation 269
value stream 27

value-stream mapping 27

VaR see Value at Risk

variables charts, SPC 255–8

variation

see also continuous improvement ( kaizen )

ANOVA 266–7

assignable causes 27, 267–8

attribution 268–9

best practices, causes determination 270

causes 43, 263–70, 271

common cause 27

DoE 266

failure mode and effects analysis 264

fishbone diagrams 264–5

Five Whys technique 264

Pareto analysis 265–6

single performance 268

Six Sigma 266–7

special 27

types 27

VaR 269

vendor, defining 27

walkthroughs, performance checking 115–16

waterfall methodology 30–1, 33–6

white box testing, performance checking

118–19

Wideband Delphi method 19

winsorizing data outliers 152

working culture 5–6

writing

see also documenting/documentation

advantages of 89–90

effective 90–1

X bar charts, SPC 255–8