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


Stating the common war that persists in trading systems, much of these systems only performed well as how it was presented. Commonly, these systems run smoothly in advertisements, promotional campaigns, and during computer back-testing. Once a trader gets his hands to work with the platform, problems arise, including financial wipe-out and system malfunction. 

Quantitative Trading Systems exposes why these things happen as it tries to rationalize and deliver answers on how these can be evaded. Much, it does not only provide solutions to trading problems, but it also gives an in-depth run-down of techniques and strategies necessary for the development of a system capable of raking in mounting profits. Amibroker codes are of great advantage as all are proven to work for systems use and very much easy to download.  Also included in the narrative are meticulous processes of system testing and proper utilization of statistics to determine system flaws. 

Generally, this book may seem daunting to those who do not have prior knowledge in trading much because discussions are technical and complex. Though comprehensively written, it was only appealing to people who have knowledge in trading systems development and experience in the integration of Amibroker codes to the system. 


Dr. Howard Bandy utilized both his theoretically acquired knowledge and practical experience to write the book Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation. He holds a degree in different fields, including mathematics, physics, engineering, and computer science. He was a former computer science and mathematics professor and had worked as a university chair. While taking up his master’s degree, he also engaged in modeling research and application, artificial intelligence, simulation, and statistics. 


Preface and Introduction

Chapter 1- Quantitative Analysis

Chapter 2- Data

Chapter 3- Trading System Overview

Chapter 4- Measuring Success

Chapter 5- AmiBroker

Chapter 6- Issue Selection

Chapter 7- Entries and Exits

Chapter 8- Functions and Indicators

Chapter 9- Trending Systems

Chapter 10- Mean Reversion Systems

Chapter 11- Seasonality Systems

Chapter 12- Pattern Systems

Chapter 13- Anticipating Signals

Chapter 14- Sector Analysis

Chapter 15- Rotation

Chapter 16-Portfolios

Chapter 17- Filters and Timing

Chapter 18- In-Sample Out-of-Sample

Chapter 19- Statistical Tests

Chapter 20- Walk Forward

Chapter 21- Survivor Bias

Chapter 22- Monte Carlo Analysis

Appendix A- Extending Amibroker

Appendix B- Glossary

Appendix C- Resources