Modeling Trading System Performance
| Author | : | |
| Rating | : | 4.78 (658 Votes) |
| Asin | : | 0979183820 |
| Format Type | : | paperback |
| Number of Pages | : | 384 Pages |
| Publish Date | : | 2015-02-01 |
| Language | : | English |
DESCRIPTION:
Five Stars Perfect.. Invaluable book on trading system performance Among the numerous trading related books in my collection, this one is by far the most worn, thumbed-through, highlighted, margin-annotated book. The book is chock-full of practical techniques for assessing trading system performance. Howard makes some very powerful and sophisticated statistical tests accessible to autodidacts and relative novices in statistics like me.Being a mechanical systems developer and trader, I find the chapter "Is it Broken" one of the more powerful ones which addresses the issue of statistically sound methods of working out if the trading system is worth continuing trading at any given. Excellent addition to trading system literature! “Modeling Trading System Performance,” one of several recent books by Dr. Howard Bandy, is devoted to analysis of trading performance. Beginning with a set of trades called the “best estimate,” Dr. Bandy shows in complete detail how to estimate the future drawdown, compute the maximum safe position size, and estimate the future profit potential. The best estimate set of trades can come from anywhere. It could be actual trades or backtest results. The trades could be an arbitrary set or a theoretical distribution.This book provides an excellent introduction to simulation, and its applicati
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. . Howard Bandy, Ph.D. He has experience as a software developer, including the design a
Trading system development, with emphasis on Monte Carlo simulation, position sizing, risk management, and statistics.
The most important element in achieving this was defining my own objective function which neglected CAR and position sizing. Your books are truly unique. 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. The sections on system health are priceless. 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. Your books are truly u