TY - BOOK
T1 - A Simple Expression Language for Automating Strategy Development Processes
T2 - Technical Report
AU - Loidl, Hans-Wolfgang
AU - Ibrahim, Boulis Maher
AU - Stang, Edwin
PY - 2022/3/29
Y1 - 2022/3/29
N2 - This technical report defines a simple rule-based expression language for automating strategy development processes for trading financial instruments. The language consists of Rules that trigger Actions when conditions of Guards are fulfilled. The paradigm is declarative and functional. The language is supposed to be simple enough to formalise building blocks (rules) for trading strategies (grouped rules) such as entry and exit conditions, as well as portfolio-level expressions for risk management, position-sizing, equity curve trading, strategy selection, and robustness testing. These expressions should be simple enough so that traders without programming experience have a low learning curve when trying to automate their decisions.
AB - This technical report defines a simple rule-based expression language for automating strategy development processes for trading financial instruments. The language consists of Rules that trigger Actions when conditions of Guards are fulfilled. The paradigm is declarative and functional. The language is supposed to be simple enough to formalise building blocks (rules) for trading strategies (grouped rules) such as entry and exit conditions, as well as portfolio-level expressions for risk management, position-sizing, equity curve trading, strategy selection, and robustness testing. These expressions should be simple enough so that traders without programming experience have a low learning curve when trying to automate their decisions.
U2 - 10.13140/RG.2.2.18081.48484
DO - 10.13140/RG.2.2.18081.48484
M3 - Other report
BT - A Simple Expression Language for Automating Strategy Development Processes
PB - Heriot-Watt University
ER -