交易策略的评估与优化
The Evaluation and Optimization of Trading Strategies
Robert Pardo · 初版 2008 年
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随着通信、技术和交易风格的全面演变，在当今竞争极其残酷的市场中，透彻而全面地掌握如何合理设计与测试策略的实用知识，其重要性达到了前所未有的高度。正因如此，Robert Pardo编写了The Evaluation and Optimization of Trading Strategies, Second Edition。对于任何打算在交易中运用algorithmic或mechanical策略的人来说，本书都提供了正确理解并贯彻执行它们所需的关键信息。
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你的算法很可能经不起滚动分析/优化/测试（Walk Forward Analysis/Optimization/Testing）的考验：https://en.wikipedia.org/wiki/Walk_forward_optimization 我建议读一读 Robert Pardo 写的《The Evaluation and Optimization of Trading Strategies》。
Your algorithm will likely not stand up to Walk Forward Analysis/Optimization/Testing: https://en.wikipedia.org/wiki/Walk_forward_optimization I recommend reading "The Evaluation and Optimization of Trading Strategies" by Robert Pardo.
……回测（backtesting），但它没有提到回测中你能用到的最好工具之一：滚动优化/分析（Walk Forward Optimization/Analysis）https://en.wikipedia.org/wiki/Walk_forward_optimization 另见：Robert Pardo 的《The Evaluation and Optimization of Trading Strategies》
…backtesting, but it does not mention one of the best tools at your disposal in backtesting: Walk Forward Optimization/Analysis https://en.wikipedia.org/wiki/Walk_forward_optimization See also: "The Evaluation and Optimization of Trading Strategies" by Robert Pardo
如果有人想入坑量化/算法交易（algo trading），其他没被提到但备受推崇的书有：- Pardo 的《The Evaluation and Optimization of Trading Strategies》 - Hastie 等人的《The Elements of Statistical Learning》
If anyone is interested in getting into algo trading, other books not mentioned but are highly regarded are: - "The Evaluation and Optimization of Trading Strategies" by Pardo - "The Elements of Statistical Learning" by Hastie et al
Robert Pardo 的《The Evaluation and Optimization of Trading Strategies》
"The Evaluation and Optimization of Trading Strategies" by Robert Pardo