Modeling Trading System Performance: Monte Carlo Simulation, Position Sizing, Risk Management, and Statistics - Softcover

Bandy, Dr Howard B

Softcover

ISBN 10: 0979183820 ISBN 13: 9780979183829

Publisher: Blue Owl Press, Incorporated, 2011

Synopsis

Trading system development, with emphasis on Monte Carlo simulation, position sizing, risk management, and statistics.

About this title

About the Author:

Howard Bandy, Ph.D.

Dr. Bandy is uniquely qualified in technical analysis. His education includes university degrees in mathematics, physics, engineering, and computer science. His graduate work focused on modeling and simulation, artificial intelligence, and statistics.

He continued his academic work, becoming a tenured full professor of mathematics and computer science, and university dean. He has experience as a software developer, including the design and implementation of a program to select stocks and issue buy and sell orders. He was a senior research analyst at a Commodity Trading Advisor (CTA) firm, where he held a Series 3 license. He consults with and assists individual traders and trading companies in the design, testing, validation, and analysis of trading systems.

Dr. Bandy is the author of several recently published and best-selling books on technical analysis, including Quantitative Trading Systems, Mean Reversion Trading Systems, and Modeling Trading System Performance. His forthcoming book, Quantitative Technical Analysis: An Integrated Approach to Trading System Development and Trading Management, includes an introduction to machine learning for development of trading systems, as well as his original work in the area of dynamic position sizing.

Review:

I am one of the early reviewers of Dr. Bandy's book, Modeling Trading System Performance. His approach to system development, begun in his earlier book Quantitative Trading Systems, and carried through in MTSP is clear and straightforward. Everything he says is backed up with enough detail so you can use your own data and do it yourself.

The sections on system health are priceless. His use of Monte Carlo Simulation and distributions to compute risk is outstanding. Connecting system health and position sizing is brilliant. This book is easily the most important book on trading system development I have ever read.

--Charlie J

Hi Howard

I've recently purchased and read 3 of your books

1) Quantitative Trading Systems

2) MTSP

3) Mean Reversion Trading Systems

I found each one packed with useful information and really appreciated the specificity and clarity of your writing. Your books are truly unique. I am an engineer by training but have been an entrepreneur for 20 years. I've only been trading a short time but I'm now fully committed to learning and developing quantitative methods of trading.

--Tim P.

I received the 3 books rather quickly, thank you for that. I have used them and your paper on Developing Robust Trading Systems" to develop two mean reversion systems I was working on a few months ago. I have turned these systems from quite ordinary to outstanding in tradability. The most important element in achieving this was defining my own objective function which neglected CAR and position sizing. I then applied position sizing using the techniques in MTSP which resulted in out of sample results in terms of MaxDD and CAR that I am more than happy with.

Thank you Howard for sharing your knowledge, it has completely change the way I approach system development.

Kind regards, Ross --Ross

Hi Howard

I've recently purchased and read 3 of your books

1) Quantitative Trading Systems

2) MTSP

3) Mean Reversion Trading Systems

I found each one packed with useful information and really appreciated the specificity and clarity of your writing. Your books are truly unique. I am an engineer by training but have been an entrepreneur for 20 years. I've only been trading a short time but I'm now fully committed to learning and developing quantitative methods of trading.

--Tim P.

I received the 3 books rather quickly, thank you for that. I have used them and your paper on Developing Robust Trading Systems" to develop two mean reversion systems I was working on a few months ago. I have turned these systems from quite ordinary to outstanding in tradability. The most important element in achieving this was defining my own objective function which neglected CAR and position sizing. I then applied position sizing using the techniques in MTSP which resulted in out of sample results in terms of MaxDD and CAR that I am more than happy with.

Thank you Howard for sharing your knowledge, it has completely change the way I approach system development.

Kind regards, Ross --Ross

About this edition

• Publisher: Blue Owl Press, Incorporated
• Publication date: 2011
• ISBN 10: 0979183820
• ISBN 13: 9780979183829
• Binding: Paperback
• Edition number: 1
• Number of pages: 400