{"product_id":"the-evaluation-and-optimization-of-trading-strategies-isbn-9780470128015","title":"The Evaluation and Optimization of Trading Strategies","description":"\u003cb\u003eA newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems\u003c\/b\u003e  \u003cp\u003eTrading systems expert Robert Pardo is back, and in \u003ci\u003eThe Evaluation and Optimization of Trading Strategies\u003c\/i\u003e, a thoroughly revised and updated edition of his classic text \u003ci\u003eDesign, Testing, and Optimization of Trading Systems\u003c\/i\u003e, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, \u003ci\u003eThe Evaluation and Optimization of Trading Strategies\u003c\/i\u003e offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.\u003c\/p\u003e \u003cp\u003eForeword xv\u003c\/p\u003e \u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003eAcknowledgments xxix\u003c\/p\u003e \u003cp\u003eIntroduction 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 On Trading Strategies 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy This Book Was Written 7\u003c\/p\u003e \u003cp\u003eWho Will Benefit from This Book? 8\u003c\/p\u003e \u003cp\u003eThe Goals of This Book 10\u003c\/p\u003e \u003cp\u003eThe Lay of the Land 10\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Systematic Trading Edge 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscretionary Trading 18\u003c\/p\u003e \u003cp\u003eRaising the Bar 19\u003c\/p\u003e \u003cp\u003eVerification 22\u003c\/p\u003e \u003cp\u003eQuantification 24\u003c\/p\u003e \u003cp\u003eRisk and Reward 24\u003c\/p\u003e \u003cp\u003eThe Performance Profile 26\u003c\/p\u003e \u003cp\u003eObjectivity 27\u003c\/p\u003e \u003cp\u003eConsistency 29\u003c\/p\u003e \u003cp\u003eExtensibility 32\u003c\/p\u003e \u003cp\u003eThe Benefits of the Historical Simulation 33\u003c\/p\u003e \u003cp\u003ePositive Expectancy 34\u003c\/p\u003e \u003cp\u003eThe Likelihood of Future Profit 34\u003c\/p\u003e \u003cp\u003eThe Performance Profile 35\u003c\/p\u003e \u003cp\u003eProper Capitalization 35\u003c\/p\u003e \u003cp\u003eA Measure of Real-Time Trading Performance 36\u003c\/p\u003e \u003cp\u003eThe Benefits of Optimization 37\u003c\/p\u003e \u003cp\u003eThe Benefits of the Walk-Forward Analysis 38\u003c\/p\u003e \u003cp\u003eThe Advantages of a Thorough Understanding 39\u003c\/p\u003e \u003cp\u003eConfidence 40\u003c\/p\u003e \u003cp\u003eStrategy Refinement 41\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 The Trading Strategy Development Process 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTwo Philosophical Approaches to Strategy Development 44\u003c\/p\u003e \u003cp\u003eThe Scientific Approach 44\u003c\/p\u003e \u003cp\u003eThe Path of Empirical Development 45\u003c\/p\u003e \u003cp\u003eAn Overview of the Trading Strategy Design Process 47\u003c\/p\u003e \u003cp\u003eStep 1: Formulate the Trading Strategy 49\u003c\/p\u003e \u003cp\u003eStep 2: Translate the Rules into a Definitive Form 49\u003c\/p\u003e \u003cp\u003eStep 3: Preliminary Testing 50\u003c\/p\u003e \u003cp\u003eStep 4: Optimize the Trading Strategy 51\u003c\/p\u003e \u003cp\u003eStep 5: The Walk-Forward Analysis 52\u003c\/p\u003e \u003cp\u003eStep 6: Trade the System 53\u003c\/p\u003e \u003cp\u003eStep 7: Evaluate Real-Time Performance 54\u003c\/p\u003e \u003cp\u003eStep 8: Improving the System 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 The Strategy Development Platform 57\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Scripting Language 58\u003c\/p\u003e \u003cp\u003eDiagnostics 59\u003c\/p\u003e \u003cp\u003eReporting 62\u003c\/p\u003e \u003cp\u003eOptimization 68\u003c\/p\u003e \u003cp\u003eThe Objective Function 68\u003c\/p\u003e \u003cp\u003eSpeed 68\u003c\/p\u003e \u003cp\u003eAutomation 69\u003c\/p\u003e \u003cp\u003eWalk-Forward Analysis 69\u003c\/p\u003e \u003cp\u003ePortfolio Analysis 70\u003c\/p\u003e \u003cp\u003eIn Conclusion 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 The Elements of Strategy Design 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Three Principal Components of a Strategy 74\u003c\/p\u003e \u003cp\u003eEntry and Exit 74\u003c\/p\u003e \u003cp\u003eRisk Management 74\u003c\/p\u003e \u003cp\u003ePosition Sizing 75\u003c\/p\u003e \u003cp\u003eAn Overview of a Typical Trading Strategy 75\u003c\/p\u003e \u003cp\u003eA Trade Equals an Entry and an Exit 76\u003c\/p\u003e \u003cp\u003eEntry Filters 78\u003c\/p\u003e \u003cp\u003eThe Management of Risk 79\u003c\/p\u003e \u003cp\u003eTrade Risk 80\u003c\/p\u003e \u003cp\u003eStrategy Risk 82\u003c\/p\u003e \u003cp\u003ePortfolio Risk 84\u003c\/p\u003e \u003cp\u003eThe Management of Profit 85\u003c\/p\u003e \u003cp\u003eThe Trailing Stop 85\u003c\/p\u003e \u003cp\u003eThe Impact of Overnight Change on the Trailing Stop 87\u003c\/p\u003e \u003cp\u003eProfit Targets 87\u003c\/p\u003e \u003cp\u003eThe Impact of Overnight Change on Target Orders 88\u003c\/p\u003e \u003cp\u003ePosition Sizing 89\u003c\/p\u003e \u003cp\u003eAdvanced Strategies 91\u003c\/p\u003e \u003cp\u003eSummary 92\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Historical Simulation 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Essential Reports 94\u003c\/p\u003e \u003cp\u003eThe Performance Summary 94\u003c\/p\u003e \u003cp\u003eThe Trade List 94\u003c\/p\u003e \u003cp\u003eThe Equity Curve 107\u003c\/p\u003e \u003cp\u003ePerformance by Period 108\u003c\/p\u003e \u003cp\u003eThe Importance of Accuracy 109\u003c\/p\u003e \u003cp\u003eSoftware Limitations 109\u003c\/p\u003e \u003cp\u003eRounding Issues 109\u003c\/p\u003e \u003cp\u003ePhantom Trades 111\u003c\/p\u003e \u003cp\u003ePrice Orders 112\u003c\/p\u003e \u003cp\u003eRealistic Assumptions 113\u003c\/p\u003e \u003cp\u003ePrice and Trade Slippage 113\u003c\/p\u003e \u003cp\u003eOpening Gap Slippage 115\u003c\/p\u003e \u003cp\u003eOpening and Closing Range Slippage 116\u003c\/p\u003e \u003cp\u003eSlippage Due to Size 117\u003c\/p\u003e \u003cp\u003eThe Significance of Slippage 117\u003c\/p\u003e \u003cp\u003eLimit Moves 118\u003c\/p\u003e \u003cp\u003eMajor Events and Dates 118\u003c\/p\u003e \u003cp\u003eHistorical Data 120\u003c\/p\u003e \u003cp\u003eStock Prices 120\u003c\/p\u003e \u003cp\u003eCash Markets 120\u003c\/p\u003e \u003cp\u003eFutures Markets 121\u003c\/p\u003e \u003cp\u003eThe Continuous Contract 124\u003c\/p\u003e \u003cp\u003eThe Perpetual Contract 124\u003c\/p\u003e \u003cp\u003eAdjusted Continuous Contracts 125\u003c\/p\u003e \u003cp\u003eThe Size of the Test Window 126\u003c\/p\u003e \u003cp\u003eStatistical Requirements 127\u003c\/p\u003e \u003cp\u003eSample Size and Statistical Error 127\u003c\/p\u003e \u003cp\u003eHow Many Trades? 129\u003c\/p\u003e \u003cp\u003eStability 129\u003c\/p\u003e \u003cp\u003eDegrees of Freedom 130\u003c\/p\u003e \u003cp\u003eFrequency of Trading 131\u003c\/p\u003e \u003cp\u003eTypes of Markets 132\u003c\/p\u003e \u003cp\u003eThe Bull Market 132\u003c\/p\u003e \u003cp\u003eThe Bear Market 134\u003c\/p\u003e \u003cp\u003eThe Cyclic Market 135\u003c\/p\u003e \u003cp\u003eThe Congested Market 137\u003c\/p\u003e \u003cp\u003eEfficient Markets 137\u003c\/p\u003e \u003cp\u003eThe Life Cycle of a Trading Strategy 140\u003c\/p\u003e \u003cp\u003eWindow Size and Model Life 141\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Formulation and Specification 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFormulate the Trading Strategy 145\u003c\/p\u003e \u003cp\u003eSpecification—Translate the Idea into a Testable Strategy 147\u003c\/p\u003e \u003cp\u003eMake a Vague Idea Precise 150\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Preliminary Testing 157\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVerification of Calculations and Trades 158\u003c\/p\u003e \u003cp\u003eCalculations 159\u003c\/p\u003e \u003cp\u003eTrading Rules 159\u003c\/p\u003e \u003cp\u003eIn Summary 164\u003c\/p\u003e \u003cp\u003eTheoretical Expectations 164\u003c\/p\u003e \u003cp\u003ePreliminary Profitability 166\u003c\/p\u003e \u003cp\u003eThe Multimarket and Multiperiod Test 169\u003c\/p\u003e \u003cp\u003eSelecting the Basket 169\u003c\/p\u003e \u003cp\u003eDetermining the Length of the Test Period 171\u003c\/p\u003e \u003cp\u003eSegmenting the Data 171\u003c\/p\u003e \u003cp\u003eThe Test 172\u003c\/p\u003e \u003cp\u003eThe Results of the Test 177\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Search and Judgment 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSearch Methods 180\u003c\/p\u003e \u003cp\u003eThe Grid Search 181\u003c\/p\u003e \u003cp\u003eThe Prioritized Step Search 185\u003c\/p\u003e \u003cp\u003eHill Climbing Search Algorithms 188\u003c\/p\u003e \u003cp\u003eMultipoint Hill Climbing Search 189\u003c\/p\u003e \u003cp\u003eAdvanced Search Methods 191\u003c\/p\u003e \u003cp\u003eSimulated Annealing 193\u003c\/p\u003e \u003cp\u003eGenetic Algorithms 195\u003c\/p\u003e \u003cp\u003eParticle Swarm Optimization 197\u003c\/p\u003e \u003cp\u003eGeneral Problems with Search Methods 198\u003c\/p\u003e \u003cp\u003eThe Objective Function 201\u003c\/p\u003e \u003cp\u003eA Review of a Variety of Evaluation Methods 203\u003c\/p\u003e \u003cp\u003eMultiple Evaluation Types 208\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Optimization 211\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimization Contra Overfitting 213\u003c\/p\u003e \u003cp\u003eA Simple Optimization 214\u003c\/p\u003e \u003cp\u003eThe Optimization Framework 216\u003c\/p\u003e \u003cp\u003eThe Parameters 216\u003c\/p\u003e \u003cp\u003eThe Scan Range 218\u003c\/p\u003e \u003cp\u003eThe Historical Sample 220\u003c\/p\u003e \u003cp\u003eThe Objective Function 222\u003c\/p\u003e \u003cp\u003eThe Optimization Evaluation 222\u003c\/p\u003e \u003cp\u003eA Multimarket and Multiperiod Optimization 223\u003c\/p\u003e \u003cp\u003eThe Evaluation of the Optimization 225\u003c\/p\u003e \u003cp\u003eThe Robust Trading Strategy 225\u003c\/p\u003e \u003cp\u003eThe Robust Optimization 227\u003c\/p\u003e \u003cp\u003eThe Statistically Significant Optimization Profile 227\u003c\/p\u003e \u003cp\u003eThe Distribution of the Optimization Profile 229\u003c\/p\u003e \u003cp\u003eThe Shape of the Optimization Profile 231\u003c\/p\u003e \u003cp\u003eHow Does the Strategy Respond to Optimization? 235\u003c\/p\u003e \u003cp\u003eDoes the Strategy Deserve Further Development? 236\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Walk-Forward Analysis 237\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIs the Trading Strategy Robust? 238\u003c\/p\u003e \u003cp\u003eRobustness and Walk-Forward Efficiency 238\u003c\/p\u003e \u003cp\u003eThe Cure for Overfitting 239\u003c\/p\u003e \u003cp\u003eA More Reliable Measure of Risk and Return 241\u003c\/p\u003e \u003cp\u003eAssessing the Impact of Market Changes 241\u003c\/p\u003e \u003cp\u003eThe Best Parameter Set for Trading 242\u003c\/p\u003e \u003cp\u003eThe Theory of Relevant Data 243\u003c\/p\u003e \u003cp\u003ePeak Performance 243\u003c\/p\u003e \u003cp\u003eStatistical Rigor 244\u003c\/p\u003e \u003cp\u003eShifting Markets 245\u003c\/p\u003e \u003cp\u003eThe Varieties of Market Conditions 245\u003c\/p\u003e \u003cp\u003eThe Walk-Forward 247\u003c\/p\u003e \u003cp\u003eThe Role of the Walk-Forward 247\u003c\/p\u003e \u003cp\u003eSetting up a Walk-Forward 248\u003c\/p\u003e \u003cp\u003eAn Example of a Walk-Forward Test 250\u003c\/p\u003e \u003cp\u003eThe Walk-Forward Analysis 251\u003c\/p\u003e \u003cp\u003eThe Purpose of the Walk-Forward Analysis 252\u003c\/p\u003e \u003cp\u003eAn Example of a Walk-Forward Analysis 255\u003c\/p\u003e \u003cp\u003eIs the Strategy Robust? 256\u003c\/p\u003e \u003cp\u003eWhat Rate of Profit Should We Expect? 260\u003c\/p\u003e \u003cp\u003eWhat Is the Risk? 261\u003c\/p\u003e \u003cp\u003eWalk-Forward Analysis and the Portfolio 261\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 The Evaluation of Performance 263\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Trading Strategy as an Investment 263\u003c\/p\u003e \u003cp\u003eThe Dimension of Risk 264\u003c\/p\u003e \u003cp\u003eCompare the Strategy to the Alternatives 264\u003c\/p\u003e \u003cp\u003eMaximum Drawdown and Trading Risk 265\u003c\/p\u003e \u003cp\u003eMaximum Drawdown in Context 267\u003c\/p\u003e \u003cp\u003eMaximum Drawdown and the Trader 268\u003c\/p\u003e \u003cp\u003eMaximum Run-up and the Trader 269\u003c\/p\u003e \u003cp\u003eTrading Capital and Risk 270\u003c\/p\u003e \u003cp\u003eRisk Adjusted Return 272\u003c\/p\u003e \u003cp\u003eReward to Risk Ratio 273\u003c\/p\u003e \u003cp\u003eModel Efficiency 273\u003c\/p\u003e \u003cp\u003eConsistency 276\u003c\/p\u003e \u003cp\u003ePatterns of Profit and Loss 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 The Many Faces of Overfitting 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat Is Overfitting? 282\u003c\/p\u003e \u003cp\u003eThe Abuse of Hindsight 284\u003c\/p\u003e \u003cp\u003eThe Case of the Overfit Forecasting Model 286\u003c\/p\u003e \u003cp\u003eThe Case of the Overfit Trading Model 289\u003c\/p\u003e \u003cp\u003eThe Symptoms of an Overfit Trading Model 290\u003c\/p\u003e \u003cp\u003eThe Causes of Overfitting 291\u003c\/p\u003e \u003cp\u003eDegrees of Freedom 292\u003c\/p\u003e \u003cp\u003eMeasuring Degrees of Freedom 292\u003c\/p\u003e \u003cp\u003eDegrees of Freedom, Sample Size and Startup Overhead 293\u003c\/p\u003e \u003cp\u003eTrade Sample Size 295\u003c\/p\u003e \u003cp\u003eOptimization Error 1—Overparameterization 296\u003c\/p\u003e \u003cp\u003eOptimization Error 2—Overscanning 297\u003c\/p\u003e \u003cp\u003eThe Big Fish in a Small Pond Syndrome 298\u003c\/p\u003e \u003cp\u003eThe Walk-Forward Test 298\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Trading the Strategy 301\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Mental Aspects of Trading 302\u003c\/p\u003e \u003cp\u003eReturn on Investment 303\u003c\/p\u003e \u003cp\u003ePoor Strategy 303\u003c\/p\u003e \u003cp\u003eMarket Contraction 303\u003c\/p\u003e \u003cp\u003eUnseen Market Conditions 304\u003c\/p\u003e \u003cp\u003eSuperior Alternatives 305\u003c\/p\u003e \u003cp\u003eMaximum Risk 305\u003c\/p\u003e \u003cp\u003eReal-time and Evaluation Performance 308\u003c\/p\u003e \u003cp\u003eComparing the Evaluation and Trade Profile 310\u003c\/p\u003e \u003cp\u003eUnderstanding the Test Profile 311\u003c\/p\u003e \u003cp\u003ePerformance Quirks 313\u003c\/p\u003e \u003cp\u003eThe Windfall Profit 315\u003c\/p\u003e \u003cp\u003eThe Losing Run 316\u003c\/p\u003e \u003cp\u003eFlat Production 316\u003c\/p\u003e \u003cp\u003eIn Conclusion 317\u003c\/p\u003e \u003cp\u003eNotes 319\u003c\/p\u003e \u003cp\u003eIndex 323\u003c\/p\u003e  \u003cp\u003e\"... an essential read.\" (\u003cem\u003eThe Technical Analyst,\u003c\/em\u003e August 2008)  \u003cb\u003eRobert Pardo\u003c\/b\u003e is a recognized expert in the design and testing of trading strategies and computerized trading applications, and a long-standing professional money manager. He is founder and President of Pardo Capital Limited, a professional money management firm; Pardo Group Limited, a consulting firm; and Pardo Analytics Limited, a proprietary market analysis services firm. Since 1983, Pardo has continuously updated his software as well as designed, programmed, and documented versions of various commercial trading applications. He has worked as a consultant with world-class trading firms such as Goldman Sachs, Transworld Oil, and Daiwa Securities, and created the XT99 trading platform as a joint venture and ongoing strategic alliance between Pardo Capital Limited and Dunn Capital Management. Contact Robert at rep@pardocapital.com, or go to his Web site at http\/\/www.pardocapital.com.  It would be an understatement to say that the world has changed dramatically in the sixteen years since the first edition of \u003ci\u003eDesign, Testing, and Optimization of Trading Systems\u003c\/i\u003e was published in 1991. With all of the changes in communications, technology, and trading styles, a thorough and comprehensive working knowledge of how to properly design and test strategies has never been more important than it has become in today's extremely competitive markets. Robert Pardo argues that a trading strategy can only be properly evaluated and successfully traded when profit and risk have been measured precisely and accurately—which can only be done through computerized testing. In this updated and revised edition of his classic work, Pardo, a professional money manager and renowned expert in the design and testing of trading strategies and computerized trading applications, provides a clear-cut and specific road map for traders who want to transform a trading idea into a tested, verified, properly capitalized, and profitable automated trading strategy.  \u003c\/p\u003e\u003cp\u003ePardo shows that the benefits of correct testing and optimization vastly outweigh the effort required to learn and master their proper application, and sets forth in detail the correct way to formulate, test, and evaluate a trading strategy. He explains how to properly optimize a trading strategy, incorporate out-of-sample data in the testing of a strategy, perform Walk-Forward Analysis, develop a trading strategy profile, and judge real-time trading performance with respect to the trading strategy profile developed via historical testing. In addition, he identifies the symptoms of \u003ci\u003eoverfitting\u003c\/i\u003e—optimization that has \"gone bad\" and resulting in false conclusions and offers guidelines to avoid it.\u003c\/p\u003e \u003cp\u003eThe trading game has never been as large or as lucrative as it is today. Nor have the markets ever been more efficient than they are today. Yet traders the world over continue to make profits. Why? They have found an edge. For anyone planning to employ algorithmic or mechanical strategies in their trading, this book presents, in a straightforward and accessible style, the edge that you can use to obtain and enjoy the fruits of profitable trading.\u003c\/p\u003e  \u003cb\u003ePraise For The Evaluation and Optimization of Trading Strategies, Second Edition\u003c\/b\u003e  \u003cp\u003e\"The testing process is key to a profitable trading method and Bob Pardo brings order and sanity to it. He shows the reader how to navigate the minefield of optimization and offers walk-forward testing as a way to change a static system into a dynamic one.\"\u003cbr\u003e —\u003cb\u003ePerry Kaufman\u003c\/b\u003e, author of \u003ci\u003eNew Trading Systems and Methods, Fourth Edition\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"Will your system work in the future? In this book Bob Pardo shows you exactly how to construct a trading system and then take the most important walk of them all—the walk forward test—to find out if your system is really worth trading. Now you can know before you trade!\"\u003cbr\u003e —\u003cb\u003eLarry Williams\u003c\/b\u003e, author of \u003ci\u003eTrading Stocks \u0026amp; Commodities with the Insiders: Secrets of the COT Report\u003c\/i\u003e, and \u003ci\u003eLong-Term Secrets to Short-Term Trading\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"How to evaluate likely future trading system performance is not just a question—it's the question, and Pardo's 1992 \u003ci\u003eDesign, Testing, and Optimization of Trading Systems\u003c\/i\u003e was a milestone work in the field. Now his approach has been updated and expanded to reflect technological change as well as many insights gained along the way. A must read for anyone who takes trading seriously.\"\u003cbr\u003e —\u003cb\u003eBruce DeVault\u003c\/b\u003e, President, Quantevo—Algorithmic Trading Development\u003c\/p\u003e \u003cp\u003e\"Ask serious system developers for their recommended reading list, and Bob Pardo's book is likely to be among the first mentioned. This book is the real deal; a serious work that seeks to teach you what to look for and what to avoid in your quest for workable trading methodologies. Best of all, it helps you achieve the kind of objective, critical thinking necessary for mechanical trading success. Seekers of magical holy grails would be advised to look elsewhere, but for earnest professional trading aspirants, this is a most rewarding read.\"\u003cbr\u003e —\u003cb\u003eArt Collins\u003c\/b\u003e, author of \u003ci\u003eBeating the Financial Futures Market: Combining Small Biases Into Powerful Money Making Strategies\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"This book is the definitive book on designing, testing, and using trading systems. There is no better book on the market.\"\u003cbr\u003e —\u003cb\u003eCourtney Smith\u003c\/b\u003e, Courtney Smith \u0026amp; Co., Inc.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990223765733,"sku":"NP9780470128015","price":110.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470128015.jpg?v=1761786971","url":"https:\/\/k12savings.com\/es\/products\/the-evaluation-and-optimization-of-trading-strategies-isbn-9780470128015","provider":"K12savings","version":"1.0","type":"link"}