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Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment (Financial Market Technology) by Andrew Kumiega, Benjamin Van Vliet
Contents
Preface vii
1 Introduction 1
2 Key Concepts and Definitions of Terms 15
3 Overview of the Trading/Investment System
Development Methodology 29
4 Managing Design and Development 45
5 Types of Trading Systems 61
6 STAGE 0: The Money Document 67
STAGE I Design and Document Trading/Investment Strategy 79
7 STAGE 1: Overview 81
8 Describe Trading/Investment Idea 87
9 Research Quantitative Methods 97
10 Prototype in Modeling Software 105
11 Check Performance 115
12 Gate 1 123
STAGE II Backtest 129
13 STAGE 2: Overview 131
14 Gather Historical Data 139
15 Develop Cleaning Algorithms 149
16 Perform In-Sample/Out-of-Sample Tests 157
17 Check Performance and Shadow Trade 165
18 Gate 2 169
STAGE III Implement 175
19 STAGE 3: Overview 177
20 Plan and Document Technology Specifications 183
21 Design System Architecture 193
22 Build and Document the System 205
23 Check Performance and Probationary Trade 213
24 Gate 3 221
STAGE IV Manage Portfolio and Risk 227
25 STAGE 4: Overview 229
26 Plan Performance and Risk Processes 237
27 Define Performance Controls 245
28 Perform SPC Analysis 251
29 Determine Causes of Variation 263
30 Kaizen: Continuous Improvement 271
Endnotes 279
Index 287
Contents
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