Technical Trading Systems
- Categorize the trade‐related metrics into return and risk metrics.
- Is back testing for the largest return an effective strategy?
- What is meant by curve fitting?
- Explain how we can reduce the effects of curve fitting.
- What is the difference between in‐sample and out‐of‐sample data? Explain
how you would use such data to test a trading system.
reFerenCeS
Kaufman, Perry. 2005. New Trading Systems and Methods. Hoboken, NJ: John Wiley &
Sons.
Kirkpatrick, Charles, and Julie Dahlquist. 2007. Technical Analysis: The Complete Re-
source for Financial Market Technicians. Upper Saddle River, NJ: Pearson Education.
Stridsman, Thomas. 2003. Trading Systems and Money Management. New York: McGraw‐
Hill.
Gehm, Fred. 1995. Quantitative Trading and Money Management. Scarborough, Canada:
Irwin Professional.