Building Automated Trading Strategies October 2018 | Page 16

• Queuing Theory (mathematical study based on predicting the time and
length of waiting lines or queues)
• Sharpe/Sortino Ratios (differentiate harmful volatility from overall
volatility by using the downside deviation or else the asset's standard
deviation of negative asset returns)
• Walk-Through Optimization
Quantitative Analysis
Quantitative analysis uses a wide variety of data in order to build trading
models and trading strategies capable of generating trading signals. The
forecasting models include several fundamental and statistical data (mean
reversion, etc.). Note, that before these models can transformed into
complete trading strategies, they must be highly back-tested with historical
data. More about backtesting and optimization in Chapter-7.
Machine Learning
Machine learning refers to the process of using statistical tools and techniques
in order to offer computer systems the ability to ‘Learn’. Learning means
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