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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 - 2007-02-02Paperback | Pap/Cdr Edition | 264 Pages

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.

Preface     xiAcknowledgments     xiiiPotential Profit as a Measure of Market Performance     1Profit and Potential Profit     1Price Flow and C++     4Why C++?     4Why Skip Date and Time Classes?     4Vector for Price Flow     5Classes for Prices     5Procedural Programming     7Object-Based and Generic Programming     8Example Test1.cpp     11Object-Oriented Programming     12Exception Safety     16Production of Concrete Objects     16Pardo's Potential Profit     17Simple Algorithm for a True Reverse System     17The Program Computing Pardo's Potential Profit     18Conclusions     20Potential Profit and Transaction Costs     21What Is a Trading Strategy?     21Properties of Potential Profit Strategy     24"Do Nothing" Strategy     24Property 1     24Property 2     24Property 3     24Property 4     25Property 5     27Property 6     28Transaction Costs     28Commissions     28Slippage     28The Bid/Asked Spread     30The Total Transaction Cost     31Transaction Costs and C++     32Profit-and-Loss Function     34The Main Equations     34C++ Implementation     35Example Test2.cpp     36Conclusions     38R- and L-Algorithms for Maximum Profit Strategy     39S-Function and S-Matrix     39S-Function     39S-Matrix     40S-Interval and Its Boundaries     40S-Interval     40S-Interval with the Right-most Boundary     40S-Interval with the Left-most Boundary     40S-Interval with the Left-most and Right-most Boundaries     40The Best Buying and Selling Points on the S-Interval     41Polarity of S-Intervals     41Right Polarity     41Theorem 3.1     41Left Polarity     42Theorem 3.2     42R-Algorithm     42L-Algorithm     44C++ Implementation     44Coding The R- and L-Algorithms     44Example Test3.cpp      48C++ Program Evaluating Potential Profit     51Conclusions     54Money Management and Discrete Nature of Trading     55Denominations     55Induction and Trading Account Size     58Growth Function and Optimal B     59Discrete Nature of Trading     62Evolution of Account with Constant A[subscript w], A[subscript l], M, b     62Evolution of Account with Nonconstant A[subscript w], A[subscript l]     71Conclusions     79Money Management for Potential Profit Strategy     81The Best Allocation Fraction for Potential Profit Strategy     81Self-Financing Restriction     83Minimal A[subscript 0]     83Actions and Positions Test4.cpp     87The First and Second P&L Reserves     89Rules for Offsetting Positions     92Classes Trade and Trades     92Class Position     95Using Position and Trades Test5.cpp     100Conclusions     104Best to Better     103Algorithm for the First Profit-and-Loss Reserve Strategy     105Algorithm for the Second P&L Reserve Strategy     109Program Applying Three Algorithms     118Conclusions     122Direct Applications     123Only in the Past     123What Are Traders Actually Doing and How Are They Doing It?     123A Word on Human Intuition     124What and How Are Academicians Doing?     125The Bridge     127Collapse of the Theory?     128A Word on Potential Profit and Strategy     130Sleeping Beauty     130Application to Tick Price Data     130Application to Daily Price Data     144War and Peace     147Conclusions     149Indicators Based on Potential Profit     151Performance Measures and indicators     151Profit Performance of a System     151Performance of a System Defined as Return on Capital     152Comparing Single-Market Performance     152Comparing Markets     153Moving Versions of Strategies     153Relationship to Trend and Volatility     153Reversal Points and Events Filter     154Increasing Position Points     155Options on Potential Profit     155Strategy Evaluation     156The Evaluation Algorithm     156Example Test8.cpp     160Class Distribution     162Conclusions     169Statistics of Trades and Potential Profit     171Statistical Properties of Trades     171Selection     171Implementing One by One     174Program Evaluating Strategy and Trades     183Input Format     183The Program Evaluate.cpp     184Application of Evaluate.cpp to SK05     189Conclusions     193Comparing Markets     195Time Frame and Prices     195Selected Contracts     195Data File Format     196Results of Applications of Maxprof3 and Evaluate     196CH06     196SH06     199WH06     201LCG06     202GCG06     204HGH06     206CCH06     207KCH06     209SBH06     211CTH06     213LBH06     214CLH06     216USH06     218SPH06     220Multimarket Potential Profit Algorithms      222Epilogue     223Conclusions     223Bibliography and Sources     225About the CD-ROM     229Index     233

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