Designing Stock Market Trading Systems - With and Without Soft Computing

Informationen zum Autor Bruce Vanstone andTobias Hahn Klappentext In Designing Stock Market Trading Systems Bruce Vanstone and Tobias Hahn guide you through their tried and tested methodology for building rule-based stock market trading systems using both fundamental and technical data. This book shows the steps required to design and test a trading system until a trading edge is found, how to use artificial neural networks and soft computing to discover an edge and exploit it fully.Learn how to build trading systems with greater insight and dependability than ever beforeMost trading systems today fail to incorporate data from existing research into their operation. This is where Vanstone and Hahn's methodology is unique. Designed to integrate the best of past research on the workings of financial markets into the building of new trading systems, this synthesis helps produce stock market trading systems with unrivalled depth and accuracy.This book therefore includes a detailed review of key academic research, showing how to test existing research, how to take advantage of it by developing it into a rule-based trading system, and how to improve it with artificial intelligence techniques.The ideas and methods described in this book have been tried and tested in the heat of the market. They have been used by hedge funds to build their trading systems. Now you can use them too. Zusammenfassung In Designing Stock Market Trading Systems Bruce Vanstone and Tobias Hahn guide you through their tried and tested methodology for building rule-based stock market trading systems using both fundamental and technical data. Inhaltsverzeichnis PrefaceAcknowledgementsIntroduction1. Designing Stock Market Trading Systems1.1 Introduction1.2 Motivation1.3 Scope and Data1.4 The Efficient Market Hypothesis1.5 The Illusion of Knowledge1.6 Investing versus Trading1.6.1 Investing1.6.2 Trading1.7 Building a Mechanical Stock Market Trading System1.8 The Place of Soft Computing1.9 How to Use this Book2. Introduction to Trading2.1 Introduction2.2 Different Approaches to Trading2.2.1 Direction of trading2.2.2 Time frame of trading2.2.3 Type of behaviour exploited2.2.3.1 Trend-based trading2.2.3.2 Breakout trading2.2.3.3 Momentum trading2.2.3.4 Mean reversion trading2.2.3.5 High-frequency trading2.3 Conclusion2.4 The Next Step3. Fundamental Variables3.1 Introduction3.1.1 Benjamin Graham and value investing3.2 Informational Advantage and Market Efficiency3.3 A Note on Adjustments3.4 Core Strategies3.4.1 Intrinsic value estimates3.4.2 Fundamental filters3.4.3 Ranking filters3.5 The elements of a fundamentals-based filter3.5.1 Wealth of a firm and its shareholders3.5.1.1 Book value3.5.1.2 Current assets vs. current liabilities3.5.1.3 Leverage metrics3.5.2 Earnings capacity3.5.3 Ability to generate cash3.6 Fundamental Ratios and Industry Comparisons3.7 A Final Note on Cross-country Investing Research3.8 The Next Step3.9 Case Study: Analysing a Variable3.9.1 Introduction3.9.2 Example - P/E ratio3.9.3 Wealth-Lab3.9.4 SPSS3.9.5 Outliers4. Technical Variables4.1 Introduction4.1.1 Charting4.1.2 Technical indicators4.1.3 Other approaches4.2 Charting and Pattern Analysis4.3 Technical Indicators4.3.1 Intermarket analysis4.3.2 Moving averages4.3.3 Volume4.3.4 Momentum indicators4.3.4.1 Moving Average Convergence/Divergence (MACD)4.3.4.2 Relative Strength Indicator (RSI)4.4 Alternative Approaches4.5 On Use and Misuse of Technical Analysis4.6 Case Study: Does Technical Analysis Have Any Credibility?5. Soft Computing5.1 Introduction5.1.1 Types of soft computing5.1.2 Expert systems5.1.3 Case-based reasoning5.1.4 Genetic algorithms5.1.5 Swarm intelligence5.1.6 Artificial neural networks5.2 Review of Research5.2.1 Soft computing classification5.2.2 Research into time series prediction5.2.3 Research into pattern recognition and classification5.2.4 Rese...

Summary

In Designing Stock Market Trading Systems Bruce Vanstone and Tobias Hahn guide you through their tried and tested methodology for building rule-based stock market trading systems using both fundamental and technical data.

Product details

• Authors: Tobias Hahn, Bruce Vanstone, Bruce Hahn Vanstone
• Publisher: Harriman House
• Languages: English
• Product format: Paperback / Softback
• Released: 23.08.2010
• EAN: 9781906659585
• ISBN: 978-1-906659-58-5
• No. of pages: 256
• Subjects: Guides > Law, job, finance; Social sciences, law, business > Business > Individual industrial sectors, branches