[Wiley] Building Reliable Trading Systems - Keith Fitschen(2013)

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Building Reliable Trading Systems:Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals      Hardcover – April 22, 2013
by Keith Fitschen (Author)

Keith Fitschen 在86年开发的"Aberration"系统,至今仍在运行,并经常入选《Futures Truth Magazine》年度榜单.
书中提到,他所开发的系统十分稳定,30年来系统的最佳参数一直没有变化,这是十分难得,目前很多交易系统的参数都需要每隔一个时段重新优化以便适应市场.

另外,更重要的一点,针对当前系统开发者局限于In Sample/Out of Sample,在书中提出了另外一种全新的避免Curve-fitting的方法--"BRAC",Build,Rebuild,and Compare.

"There are many “how to develop” ways; this book only shows mine, but there is only one way to make sure your developed strategy trades in real time like it backtests. That one way involves minimizing curve‐fitting in your development and making trading assumptions in your development that work as realistically as possible."
http://www.amazon.com/dp/1118528743/ref=wl_mb_recs_2_title

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关键词：Building Reliable Systems Trading rading 交易系统 开发者

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thanks for sharing this book

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