Options: Development, optimization and testing of trade strategies
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Until today, all books on automated trade have been focused on traditional exchange instruments, such as promotions, futures or currencies. Optional trade is based on other fundamental principles, logical and quantitative methods. The authors sequentially describe all the stages of building automated trading systems focused on the operation of unique characteristics of options.
The book presents the basic elements of the creation and formalization of strategies that operate with complicated portfolios, which may consist of a potentially unlimited number of optional combinations. A detailed description of the main methods applicable to optimization of option strategies is given. Particular attention is paid to a dynamic assessment of the risks of strategy at the portfolio level (and not separately taken optional combinations) The proposed approach to the distribution of capital between the elements of the portfolio allows you to achieve maximization of profit while maintaining a high level of diversification. In conclusion, a step -by -step algorithm for testing the strategy, assessing its reliability and sustainability is given, a special emphasis is on the problem of adjusting the test results for historical data
The book presents the basic elements of the creation and formalization of strategies that operate with complicated portfolios, which may consist of a potentially unlimited number of optional combinations. A detailed description of the main methods applicable to optimization of option strategies is given. Particular attention is paid to a dynamic assessment of the risks of strategy at the portfolio level (and not separately taken optional combinations) The proposed approach to the distribution of capital between the elements of the portfolio allows you to achieve maximization of profit while maintaining a high level of diversification. In conclusion, a step -by -step algorithm for testing the strategy, assessing its reliability and sustainability is given, a special emphasis is on the problem of adjusting the test results for historical data
Author:
Author:Israilevich Sergey Vladimirovich, Tsudikman Vadim Yakovlevich
Cover:
Cover:Hard
Category:
- Category:Business & Money
Publication language:
Publication Language:Russian
Age restrictions:
Age restrictions:16+
ISBN:
ISBN:978-5-907274-60-0
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