- 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
michael s
(Michael S)
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