Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation by HOWARD BANDY

Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation by HOWARD BANDY


The book, “Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation,” effectively provides both a theoretical and practical method in trading. This does it through Amibroker, a Technical Analysis Software that allows for Portfolio Backtesting Software, Walk-Forward testing, and such. 

While possessing a nebulous title, “Quantitative Trading Systems” is a purposeful book that appears to be a comprehensive introduction to AmiBroker.

Despite zeroing in on a specific aspect of Quantitative Trading Systems, the book is well-written and extremely helpful. It contains a discussion on position sizing and risk management.

Readers agree that the material is not necessarily a trading book, but a systems trading book. Taking it from this lens, then the book is something that traders should have if they would want to know more about:

  1. The AmiBroker software
  2. Trading Systems development

The book helps its readers understand trading systems better and walk them through searching for their respective edges.

However, it must be noted that the readers are split as well when it comes to the author’s language and his actual expertise. This had left the book open to interpretation. 

About the Author

Howard Bandy’s passion is studying as he finished several degrees, including in computer science, engineering, physics, and Mathematics. He served in the academe as a professor and dean. He is a computer programmer as well and designed commercially successful computer programs. He writes books, speaks at conferences, and advises to trading firms and independent traders.

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


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