Testing and tuning market trading systems: algorithms in C++

摘要

Financial markets have become increasingly dominated by automated systems. A computer program can be used to decide when to buy and sell things such as shares or currencies, with the aim of making a profit. The automated use of this means no human involvement, so the decision on when to buy and when to sell will be based purely on an attempt to make use of common patterns in prices rising or falling. A system that makes a good profit would be able to identify, through its knowledge of patterns, when the price of something is likely to rise and to buy it then, and to sell it when the knowledge of patterns suggests the price will be likely to decrease.