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

(Michael S) #1

  • 1 Introduction Preface vii

  • 2 Key Concepts and Definitions of Terms

    • Development Methodology 3 Overview of the Trading/Investment System



  • 4 Managing Design and Development

  • 5 Types of Trading Systems

  • 6 STAGE 0: The Money Document

  • STAGE I Design and Document Trading/Investment Strategy

  • 7 STAGE 1: Overview

  • 8 Describe Trading/Investment Idea

  • 9 Research Quantitative Methods

  • 10 Prototype in Modeling Software

  • 11 Check Performance

  • 12 Gate

  • STAGE II Backtest

  • 13 STAGE 2: Overview

  • 14 Gather Historical Data

  • 15 Develop Cleaning Algorithms

  • 16 Perform In-Sample/Out-of-Sample Tests

  • 17 Check Performance and Shadow Trade vi

  • 18 Gate

  • STAGE III Implement

  • 19 STAGE 3: Overview

  • 20 Plan and Document Technology Specifications

  • 21 Design System Architecture

  • 22 Build and Document the System

  • 23 Check Performance and Probationary Trade

  • 24 Gate

  • STAGE IV Manage Portfolio and Risk

  • 25 STAGE 4: Overview

  • 26 Plan Performance and Risk Processes

  • 27 Define Performance Controls

  • 28 Perform SPC Analysis

  • 29 Determine Causes of Variation

  • 30 Kaizen: Continuous Improvement

  • Endnotes

  • Index

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