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Modeling Trading System Performance, by Dr Howard B Bandy
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Trading system development, with emphasis on Monte Carlo simulation, position sizing, risk management, and statistics.
- Sales Rank: #543132 in Books
- Published on: 2011-05-11
- Original language: English
- Number of items: 1
- Dimensions: 10.00" h x .91" w x 7.00" l,
- Binding: Perfect Paperback
- 384 pages
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 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.
Most helpful customer reviews
3 of 3 people found the following review helpful.
The comparison of trading to games like roulette, blackjack and poker were both interesting and ...
By JB
I had to read the book several times over to make sense of the ideas and how they fit around my existing knowledge of mechanical trading systems. To me, my main criticism is that the most important part of the book, i.e. step by step guide to conducting the Monte Carlo process to generate the drawdown and terminal wealth relative distribution curves were in the Appendix! I felt all the results would have been more convincing the first time around if this part was introduced first.
The comparison of trading to games like roulette, blackjack and poker were both interesting and entertainment - probably the easiest part of the book to read.
I'm still in the process of understanding and trying out the ideas in "Is it broken?". I agree with the ideas on a fundamental level - my statistics knowledge is a bit rusty (I'm an engineer) so I struggled to follow the logic line by line. Some more clear examples could have helped.
Chapter 8 - Bar Length and Holding Period - I felt could've been written a little better. Fell asleep after page 3 of the chapter. Skipped to end of chapter summary when I next picked up the book.
Chapter 10 - Position Sizing - this was not as I expected. I expected to see the effect of various mainstream position sizing techniques such as scaling in, scaling out, volatility adjusted (=f(ATR, account risk) ) on the drawdown and final equity curves. The appendix calculation shows an example of a fixed fraction (vs fixed ratio) position sizing in the Monte Carlo simulation. It would have been good to expand those appendix calculations to show how fixed ratio, scaling in and out would have been incorporated in those calcs.
Chapter 9 - Tradables - this chapter felt like filler material. I failed to see the relevance of this to modeling trading system performance.
Overall, it was a good book. I just wished the sequence of information presented in the book was a bit more orderly.
I greatly benefited from reading the book, and it's given me some sound ideas on using MC simulation to measure risk, and some fundamental ideas on testing whether the system is broken - tools I can add to my belt when constructing these mechanical trading systems.
Thanks for the read Howard.
0 of 0 people found the following review helpful.
Five Stars
By littlegolf
Thanks
0 of 2 people found the following review helpful.
Five Stars
By Julián Sánchez
Perfect.
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