Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation BY DR. HOWARD B BANDY, ForexTrend

Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation BY DR. HOWARD B BANDY

In Forex Books Reviews by any arons

About the book

This book discusses the processes behind the construction of trading systems and what makes it flop or succeed. It examines techniques and explains in great detail how these can be beneficial to developing trading systems that result to profit. 

The author recounts how some presumably successful and profitable trading systems failed in real-life trading. This failure may have stemmed from a computer backtesting, for one example. The author goes on to discuss in great detail the components that build a trading system and what makes it profitable in real-life trading.

Review

This book does not discuss how to trade profitably, but rather how to create a successful trading system that proves to be effective in real-life trading. This book is best for traders who are into coding as they will surely find a thing or two to benefit from. On the downside, it is best to have a background in coding, or else the reader will have a hard time understanding the discussion.

An advantage of this book is its well-discussed chapter of AmiBroker. It also talks about concepts related to trading systems at great length, followed by demonstrations. However, the book overall is only as much as an introduction to trading systems, with a discussion of the concepts. The reader can also cite insight into systems from this book.

About the Author:

DR. HOWARD B BANDY has multiple degrees in Physics, Computer Science, Mathematics, and Engineering. He worked as a dean and professor of mathematics and computer science. He worked as a senior research analyst at a Commodity Trading Advisory firm. He designed and programmed a successful computer program that times entries and exits. He speaks at international conferences, consults individuals and companies, and has written five books of finance. 

Table of Contents

Preface and Introduction

1 Quantitative Analysis

2 Data

3 Trading System Overview

4 Measuring Success

5 AmiBroker

6 Issue Selection

7 Entries and Exits

8 Functions and Indicators

9 Trending Systems

10 Mean Reversion Systems

11 Seasonality Systems

12 Pattern Systems

13 Anticipating Signals

14 Sector Analysis

15 Rotation

16 Portfolios

17 Filters and Timing

18 In-Sample Out-of-Sample

19 Statistical Tests

20 Walk Forward

21 Survivor Bias

22 Monte Carlo Analysis

Appendix A Extending AmiBroker

Appendix B Glossary

Appendix C Resources

Index