{"id":"https://openalex.org/W433708947","doi":null,"title":"The Evaluation and Optimization of Trading Strategies","display_name":"The Evaluation and Optimization of Trading Strategies","publication_year":2008,"publication_date":"2008-02-08","ids":{"openalex":"https://openalex.org/W433708947","mag":"433708947"},"language":"en","primary_location":{"id":"pmh:oai:cds.cern.ch:1665087","doi":null,"is_oa":false,"landing_page_url":"http://cds.cern.ch/record/1665087","pdf_url":null,"source":{"id":"https://openalex.org/S4306402195","display_name":"CERN Document Server (European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061399166","display_name":"Robert Pardo","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Robert Pardo","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5061399166"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.6975,"has_fulltext":false,"cited_by_count":57,"citation_normalized_percentile":{"value":0.88544099,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9794999957084656,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9794999957084656,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.005200000014156103,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/trading-strategies","display_name":"trading strategies","score":0.9520000219345093},{"id":"https://openalex.org/keywords/systematic-trading","display_name":"systematic trading","score":0.7160000205039978},{"id":"https://openalex.org/keywords/trading-strategy-optimization","display_name":"trading strategy optimization","score":0.8289999961853027},{"id":"https://openalex.org/keywords/historical-simulation","display_name":"historical simulation","score":0.9139999747276306},{"id":"https://openalex.org/keywords/slippage","display_name":"slippage","score":0.8270000219345093},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.8399999737739563},{"id":"https://openalex.org/keywords/position-sizing","display_name":"position sizing","score":0.9800000190734863},{"id":"https://openalex.org/keywords/earnings-targets","display_name":"earnings targets","score":0.7390000224113464},{"id":"https://openalex.org/keywords/strategy-development-process","display_name":"strategy development process","score":0.4410000145435333},{"id":"https://openalex.org/keywords/trading-edge","display_name":"trading edge","score":0.42100000381469727},{"id":"https://openalex.org/keywords/performance-evaluation","display_name":"performance evaluation","score":0.45100000500679016},{"id":"https://openalex.org/keywords/portfolio-analysis","display_name":"portfolio analysis","score":0.4230000078678131},{"id":"https://openalex.org/keywords/futures-trading","display_name":"futures trading","score":0.41100001335144043},{"id":"https://openalex.org/keywords/trading-frequency","display_name":"trading frequency","score":0.36500000953674316},{"id":"https://openalex.org/keywords/discretionary-trading","display_name":"discretionary trading","score":0.5289999842643738}],"concepts":[{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.7366759777069092},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.6060585975646973},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5443789958953857},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.5160031318664551},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.4778963327407837},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.4299659729003906},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.4225797951221466},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4222070574760437},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24609625339508057},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.22131061553955078},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.17821818590164185},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1706255078315735},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15726637840270996}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:cds.cern.ch:1665087","doi":null,"is_oa":false,"landing_page_url":"http://cds.cern.ch/record/1665087","pdf_url":null,"source":{"id":"https://openalex.org/S4306402195","display_name":"CERN Document Server (European Organization for Nuclear Research)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67311998","host_organization_name":"European Organization for Nuclear Research","host_organization_lineage":["https://openalex.org/I67311998"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null},{"id":"mag:433708947","doi":null,"is_oa":false,"landing_page_url":"http://www.gbv.de/dms/zbw/543968138.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1485759018","https://openalex.org/W2378792256","https://openalex.org/W593851336","https://openalex.org/W1556804076","https://openalex.org/W606341093","https://openalex.org/W6968829801","https://openalex.org/W7128745653","https://openalex.org/W2226814558","https://openalex.org/W7016296648","https://openalex.org/W4327544367"],"abstract_inverted_index":{"Foreword.":[0],"Preface.":[1],"Acknowledgments.":[2],"Introduction.":[3],"Chapter":[4,30,95,170,194,256,385,408,451,502,575,681,742,821],"1.":[5],"On":[6],"Trading":[7,34,74,98,120,128,147,220,378,392,418,540,581,688,706,723,768,775,823],"Strategies.":[8,254],"Why":[9],"This":[10],"Book":[11],"Was":[12],"Written.":[13],"Who":[14],"Will":[15],"Benefit":[16],"from":[17],"this":[18,23],"Book?":[19],"The":[20,25,32,46,52,60,65,76,80,86,97,108,111,172,176,182,196,201,232,242,246,258,261,264,267,270,276,306,324,327,333,359,362,365,368,373,397,426,444,446,458,461,488,511,514,516,519,522,525,533,538,542,545,550,556,588,606,612,623,628,630,646,649,683,687,693,744,752,756,763,770,777,810,818,826,861,864],"Goals":[21],"of":[22,27,54,62,72,78,82,88,113,118,198,205,217,234,244,278,308,335,351,354,357,376,413,437,448,493,496,535,552,558,596,603,614,625,632,642,651,657,667,685,695,738,747,754,758,765,772,779,782,786,789,829],"Book.":[24],"Lay":[26],"the":[28,39,55,83,119,127,133,146,151,158,168,336,391,432,435,438,442,449,536,553,559,564,570,580,601,633,652,662,674,679,698,701,715,721,759,766,824,850,856],"Land.":[29],"2.":[31],"Systematic":[33],"Edge.":[35],"Discretionary":[36],"Trading.":[37,355,611,830],"Raising":[38],"Bar.":[40],"Verification.":[41],"Quantification.":[42],"Risk":[43,211,597,727,732],"and":[44,209,227,291,298,314,343,382,388,415,428,454,530,585,598,678,705,714,720,725,740,793,846,852],"Reward.":[45],"Performance":[47,66,265,273,859],"Profile.":[48,67,549,555,561,854],"Objectivity.":[49],"Consistency.":[50,736],"Extensibility.":[51],"Benefits":[53,77,81],"Historical":[56,259,316,520],"Simulation.":[57,260],"Positive":[58],"Expectancy.":[59],"Likelihood":[61],"Future":[63],"Profit.":[64,245,863],"Proper":[68],"Capitalization.":[69],"A":[70,222,400,491,508,528,592],"Measure":[71,595],"Real-Time":[73,163],"Performance.":[75,164,618,686,848],"Optimization.":[79,181,482,504,510,532,537,544],"Walk-Forward":[84,577,586,644,647,653,659,676,819],"Analysis.":[85,191,578,648,654,660],"Advantages":[87],"a":[89,136,206,218,377,404,494,638,643,658,814],"Thorough":[90],"Understanding.":[91],"Confidence.":[92],"Strategy":[93,99,106,121,173,199,238,565,571,582,663,689,699],"Refinement.":[94],"3.":[96],"Development":[100,174],"Process.":[101,123],"Two":[102],"Philosophical":[103],"Approaches":[104],"to":[105,304,567,700,731],"Development.":[107,115],"Scientific":[109],"Approach.":[110],"Path":[112],"Empirical":[114],"An":[116,215,640,655],"Overview":[117,216],"Design":[122],"Step":[124,130,139,143,149,155,160,165,463],"1:":[125],"Formulate":[126,390],"Strategy.":[129,207,221,379,393,402,541,825,835],"2:":[131],"Translate":[396],"Rules":[134],"into":[135],"Definitive":[137],"Form.":[138],"3:":[140],"Preliminary":[141,410,424],"Testing.":[142,411],"4:":[144],"Optimize":[145],"strategy.":[148],"5:":[150],"Walk":[152,187,634],"Forward":[153,188],"Analysis(t).":[154,189],"6:":[156],"Trade":[157,223,236,268,292,796,853],"System.":[159,169],"7:":[161],"Evaluate":[162],"8:":[166],"Improving":[167],"4.":[171],"Platform.":[175],"Scripting":[177],"Language.":[178],"Diagnostics.":[179],"Reporting.":[180],"Objective":[183,489,523],"Function.":[184,490,524],"Speed.":[185],"Automation.":[186],"Portfolio":[190,240],"In":[192,420,841,869],"Conclusion.":[193,842,870],"5.":[195],"Elements":[197],"Design.":[200],"Three":[202],"Principle":[203],"Components":[204],"Entry":[208,226,230],"Exit.":[210,229],"Management.":[212],"Position":[213,251],"Sizing.":[214,252],"Typical":[219],"Equals":[224],"an":[225,228,691,773],"Filters.":[231],"Management":[233,243],"Risk.":[235,237,239,241,696,707,726,844],"Trailing":[247],"Stop.":[248],"Profit":[249,668,739],"Targets.":[250],"Advanced":[253,473],"Summary.":[255,266,421],"6.":[257],"Essential":[262],"Reports.":[263],"List.":[269],"Equity":[271],"Curve.":[272],"by":[274],"Period.":[275,440],"Importance":[277],"Accuracy.":[279],"Software":[280],"Limitations.":[281],"Rounding":[282],"Issues.":[283],"Phantom":[284],"Trades.":[285,416],"Price":[286,290],"Orders.":[287],"Realistic":[288],"Assumptions.":[289],"Slippage.":[293,296,301,309],"Opening":[294,297],"Gap":[295],"Closing":[299],"Range":[300],"Slippage":[302],"Due":[303],"Size.":[305,798],"Significance":[307],"Limit":[310],"Moves.":[311],"Major":[312],"Events":[313],"Dates.":[315],"Data.":[317,443,616],"Stock":[318],"Prices.":[319],"Cash":[320],"Markets.":[321,323,358,372,622],"Futures":[322],"Continuous":[325,331],"Contract.":[326,329],"Perpetual":[328],"Adjusted":[330,728],"Contracts.":[332],"Size":[334,342,381,792],"Test":[337,439,857],"Window.":[338],"Statistical":[339,344,619],"Requirements.":[340],"Sample":[341,791,797],"Error.":[345],"How":[346,562],"Many":[347,745],"Trades?":[348],"Stability.":[349],"Degrees":[350,781,785,788],"Freedom.":[352,783,787],"Frequency":[353],"Types":[356],"Bull":[360],"Market.":[361,364,367,370],"Bear":[363],"Cyclic":[366],"Congested":[369],"Efficient":[371],"Life":[374],"Cycle":[375],"Window":[380],"Model":[383,734],"Life.":[384],"7.":[386],"Formulation":[387],"Specification.":[389],"Specification":[394],"-":[395,802],"Idea":[398,406],"Into":[399],"Testable":[401],"Make":[403],"Vague":[405],"Precise.":[407],"8.":[409],"Verification":[412],"Calculations":[414],"Calculations.":[417],"Rules.":[419],"Theoretical":[422],"Expectations.":[423],"Profitability.":[425],"Multi-Market":[427,529],"Multi-Period":[429,531],"Test.":[430,445,450,645,820],"Selecting":[431],"Basket.":[433],"Determining":[434],"Length":[436],"Segmenting":[441],"Results":[447],"9.":[452],"Search":[453,456,467,474,486],"Judgment.":[455],"Methods.":[457,475,487,498],"Grid":[459],"Search.":[460,464,472],"Prioritized":[462],"Hill":[465,470],"Climbing":[466,471],"Algorithms.":[468,479],"Multi-Point":[469],"Simulated":[476],"Annealing.":[477],"Genetic":[478],"Particle":[480],"Swarm":[481],"General":[483],"Problems":[484],"with":[485],"Review":[492],"Variety":[495],"Evaluation":[497,500,534,684,847,851],"Multiple":[499],"Types.":[501],"10.":[503],"Optimization":[505,512,526,548,554,560,799,805],"contra":[506],"Overfitting.":[507,591,748,780],"Simple":[509],"Framework.":[513],"Parameters.":[515],"Scan":[517],"Range.":[518],"Sample.":[521],"Evaluation.":[527],"Robust":[539,543],"Statistically":[546],"Significant":[547],"Distribution":[551],"Shape":[557],"Does":[563,569],"Respond":[566],"Optimization?":[568],"Deserve":[572],"Further":[573],"Development?":[574],"11.":[576],"Is":[579,661,673,750],"Robust?":[583,664],"Robustness":[584],"Efficiency.":[587,735],"Cure":[589],"for":[590,610],"More":[593],"Reliable":[594],"Return.":[599,729],"Assessing":[600],"Impact":[602],"Market":[604,626,836,839],"Changes.":[605],"Best":[607],"Parameter":[608],"Set":[609],"Theory":[613],"Relevant":[615],"Peak":[617],"Rigor.":[620],"Shifting":[621],"Varieties":[624],"Conditions.":[627,840],"Walk-Forward.":[629,639],"Role":[631],"Forward.":[635],"Setting":[636],"Up":[637],"Example":[641,656],"Purpose":[650],"What":[665,672,749],"Rate":[666],"Should":[669],"We":[670],"Expect?":[671],"Risk?":[675],"Analysis":[677],"Portfolio.":[680],"12.":[682],"as":[690],"Investment.":[692,833],"Dimension":[694],"Compare":[697],"Alternatives.":[702],"Maximum":[703,708,712,717,843],"Drawdown":[704,709,713],"in":[710,813],"Context.":[711],"Trader.":[716,722],"Run":[718],"up":[719],"Capital":[724],"Reward":[730],"Ratio.":[733],"Patterns":[737],"Loss.":[741],"13.":[743],"Faces":[746],"Overfitting?":[751],"Abuse":[753],"Hindsight.":[755],"Case":[757,764],"Overfit":[760,767,774],"Forecasting":[761],"Model.":[762,769,776],"Symptoms":[771],"Causes":[778],"Measuring":[784],"Freedom,":[790],"Startup":[794],"Overhead.":[795],"Error":[800,806],"#1":[801],"Over":[803],"Parameterization.":[804],"#2":[807],"-Over":[808],"Scanning.":[809],"Big":[811],"Fish":[812],"Small":[815],"Pond":[816],"Syndrome.":[817],"14.":[822],"Mental":[827],"Aspects":[828],"Return":[831],"on":[832],"Poor":[834],"Contraction.":[837],"Unseen":[838],"Real-time":[845],"Comparing":[849],"Understanding":[855],"Profile":[858],"Quirks.":[860],"Windfall":[862],"Losing":[865],"Run.":[866],"Flat":[867],"Production.":[868],"Notes.":[871],"Index.":[872]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":12},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
