Over the coming years, the mutual and hedge fund industries as well as the proprietary securities and derivatives trading industry will migrate largely to automated trade selection and execution systems. Furthermore, the hedge fund industry, still i Over the coming years, the mutual and hedge fund industries as well as the proprietary securities and derivatives trading industry will migrate largely to automated trade selection and execution systems. Furthermore, the hedge fund industry, still in its infancy, will grow rapidly as access to new markets and a greater awareness of non-traditional investment strategies give rise to countless new opportunities for increased returns and decreased risk.
Right now, the financial markets industry is at the same crossroads as the automotive industry of the late 1970s. Margins are collapsing. Customization is rapidly increasing. There is a tremendous opportunity to present an overall methodology for the evolution from the old world to the new world of automated trading and money management systems. Currently, there exists no standard paradigm for development and evaluation of automated trading systems. Authors Andrew Kumiega and Benjamin Van Vliet address this problem by presenting the K|V model, which has the potential to become the standard for the institutional trading and hedge fund industries for development, presentation, and evaluation of automated trading strategies. They present a step-by-step process for the construction of automated trading systems and develop some trading systems according to this process in their book.
These systems vary in style to prove that the methodology works for development and evaluation of any trading system, irrespective of strategy, holding period, benchmark or market. The methodology works equally well for short-term trading systems and longer-term portfolio management or mutual fund style investment strategies, using traditional, buy-and-hold strategies as well as more sophisticated ones employing derivative instruments. Further, the authors demonstrate the flexibility and robustness of their framework through a case study approach of different business problems, and a mix of programming environments from Excel/VBA to Visual C++.NET, illustrating that the K\V model provides for a development process that will ensure that the resulting systems provide both speed to market and consistent quality standards.
The K/V model for trading system development combines four project management/software development methodologies into one robust system. The four stages progress in a traditional waterfall, but within each stage, four elements are connected into a spiral structure. At the completion of each stage is a gate that will allow management to kill the project, return to a previous stage or continue to the next stage of development. After completing the fourth and final stage, the methodology requires that we repeat the entire four stage waterfall for continuous improvement.
* Presents a robust framework for developing and evaluating automated trading systems based on the business problem at hand * Case studies illustrate the step-by-step process utilizing a mix of programming environments from Excel/VBA to Visual C++.Net * Chapters are supported by screenshots, equations, sample Excel spreadsheets, and programming code ...Continua Nascondi