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More Modeling Maximum Trading Profits with C++: New Trading and Money Management Concepts (Wiley Trading) Modeling Maximum Trading Profits with C++: New Trading and Money Management Concepts (Wiley Trading)

By: Valerii Salov

ISBN-10: 0470086238 ISBN-13: 9780470086230

Publisher: Wiley - 2007-02-02

Editorial Review: The goal of trading is to make money, and for many, profits are the best way to measure that success. Author Valerii Salov knows how to calculate potential profit, and in Modeling Maximum Trading Profits with C++, he outlines an original and thought-provoking approach to trading that will help you do the same. This detailed guide will show you how to effectively calculate the potential profit in a market under conditions of variable transaction costs, and provide you with the tools needed to compute those values from real prices. You'll be introduced to new notions of s-function, s-matrix, s-interval, and polarities of s-intervals, and discover how they can be used to build the r- and l-algorithms as well as the first and second profit and loss reserve algorithms. Optimal money management techniques are also illustrated throughout the book, so you can make the most informed trading decisions possible. Filled with in-depth insight and expert advice, Modeling Maximum Trading Profits with C++ contains a comprehensive overview of trading, money management, and C++. A companion CD-ROM is also included to help you test the concepts described throughout the book before you attempt to use them in real-world situations.

Table of Contents:

Preface xi

Acknowledgments xiii

Potential Profit as a Measure of Market Performance 1

Profit and Potential Profit 1

Price Flow and C++ 4

Why C++? 4

Why Skip Date and Time Classes? 4

Vector for Price Flow 5

Classes for Prices 5

Procedural Programming 7

Object-Based and Generic Programming 8

Example Test1.cpp 11

Object-Oriented Programming 12

Exception Safety 16

Production of Concrete Objects 16

Pardo's Potential Profit 17

Simple Algorithm for a True Reverse System 17

The Program Computing Pardo's Potential Profit 18

Conclusions 20

Potential Profit and Transaction Costs 21

What Is a Trading Strategy? 21

Properties of Potential Profit Strategy 24

"Do Nothing" Strategy 24

Property 1 24

Property 2 24

Property 3 24

Property 4 25

Property 5 27

Property 6 28

Transaction Costs 28

Commissions 28

Slippage 28

The Bid/Asked Spread 30

The Total Transaction Cost 31

Transaction Costs and C++ 32

Profit-and-Loss Function 34

The Main Equations 34

C++ Implementation 35

Example Test2.cpp 36

Conclusions 38

R- and L-Algorithms for Maximum Profit Strategy 39

S-Function and S-Matrix 39

S-Function 39

S-Matrix 40

S-Interval and Its Boundaries 40

S-Interval 40

S-Interval with the left-most Boundary 40

S-Interval with the Left-most Boundary 40

S-Interval with the Left-most and left-most Boundaries 40

The Best Buying and Selling Points on the S-Interval 41

Polarity of S-Intervals 41

left Polarity 41

Theorem 3.1 41

Left Polarity 42

Theorem 3.2 42

R-Algorithm 42

L-Algorithm 44

C++ Implementation 44

Coding The R- and L-Algorithms 44

Example Test3.cpp 48

C++ Program Evaluating Potential Profit 51

Conclusions 54

Money Management and Discrete Nature of Trading 55

Denominations 55

Induction and Trading Account Size 58

Growth Function and Optimal B 59

Discrete Nature of Trading 62

Evolution of Account with Constant A[subscript w], A[subscript l], M, b 62

Evolution of Account with Nonconstant A[subscript w], A[subscript l] 71

Conclusions 79

Money Management for Potential Profit Strategy 81

The Best Allocation Fraction for Potential Profit Strategy 81

Self-Financing Restriction 83

Minimal A[subscript 0] 83

Actions and Positions Test4.cpp 87

The First and Second P&L Reserves 89

Rules for Offsetting Positions 92

Classes Trade and Trades 92

Class Position 95

Using Position and Trades Test5.cpp 100

Conclusions 104

Best to Better 103

Algorithm for the First Profit-and-Loss Reserve Strategy 105

Algorithm for the Second P&L Reserve Strategy 109

Program Applying Three Algorithms 118

Conclusions 122

Direct Applications 123

Only in the Past 123

What Are Traders Actually Doing and How Are They Doing It? 123

A Word on Human Intuition 124

What and How Are Academicians Doing? 125

The Bridge 127

Collapse of the Theory? 128

A Word on Potential Profit and Strategy 130

Sleeping Beauty 130

Application to Tick Price Data 130

Application to Daily Price Data 144

War and Peace 147

Conclusions 149

Indicators Based on Potential Profit 151

Performance Measures and indicators 151

Profit Performance of a System 151

Performance of a System Defined as Return on Capital 152

Comparing Single-Market Performance 152

Comparing Markets 153

Moving Versions of Strategies 153

Relationship to Trend and Volatility 153

Reversal Points and Events Filter 154

Increasing Position Points 155

Options on Potential Profit 155

Strategy Evaluation 156

The Evaluation Algorithm 156

Example Test8.cpp 160

Class Distribution 162

Conclusions 169

Statistics of Trades and Potential Profit 171

Statistical Properties of Trades 171

Selection 171

Implementing One by One 174

Program Evaluating Strategy and Trades 183

Input Format 183

The Program Evaluate.cpp 184

Application of Evaluate.cpp to SK05 189

Conclusions 193

Comparing Markets 195

Time Frame and Prices 195

Selected Contracts 195

Data File Format 196

Results of Applications of Maxprof3 and Evaluate 196

CH06 196

SH06 199

WH06 201

LCG06 202

GCG06 204

HGH06 206

CCH06 207

KCH06 209

SBH06 211

CTH06 213

LBH06 214

CLH06 216

USH06 218

SPH06 220

Multimarket Potential Profit Algorithms 222

Epilogue 223

Conclusions 223

Bibliography and Sources 225

About the CD-ROM 229

Index 233 Buy Book at Lowest Price on Amazon

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