Consulting

The principal consultant is Dr. Howard B. Bandy. See the  Blog  page for a short bio.

Beginning either with your concepts and ideas or with existing computer code, we will help you design and implement the trading system that fits your requirements. We can also evaluate the performance and validity of systems you are currently using. Whether it is a new system or a system already in use, we will provide you with clear, objective, and candid assessments of the system, including the probability of it being profitable.

We specialize in quantitative trading — rules and algorithms. But if you are a visual trader and can describe the chart patterns that you use, we can create computer code and test those patterns rigorously.

Your trading system can use end-of-day data, or real-time intra-day data. It can be trend following, mean reverting, based on patterns, based on cycles, or based on seasonality. If desired, a trading system can use multiple data series and multiple time frames. It can be used to trade stocks, mutual funds, exchange traded funds, forex, or futures. It can trade a single issue, such as the SP500, or a portfolio. We can help you manage positions, determine position size, measure risk, and use leverage.

Our experience in designing, testing, and validating trading systems is at your disposal. We are well experienced in modeling and simulation techniques, and understand the unique challenges of working with financial data. We understand and can translate from Visual Basic, TradeStation's Easy Language, MetaStock, eSignal, and Wealth-Lab. We prefer to do our development work using AmiBroker. AmiBroker has an extensive set of powerful features for ease of testing, optimization, and walk forward validation. Your system can be coded using the C++ language and compiled into a dll file, giving advantages of faster execution speed and helping to protect the trading system methodology.

We will do more than code and backtest. We assist you in development of the objective function which will be used to judge the relative merit of alternative trading systems. We will perform out-of-sample tests on data that was not used to develop the system, and we will perform walk forward validation tests to give you an estimate of the future performance of your system.

Work can be done at either your facilities or our office. You will receive regular reports, including time charged, as the project is in progress. We will provide you whatever level of documentation you require and desire, including operations manuals with screen capture images.

Our fees for programming, design, testing, and analysis that can be performed at our office are very reasonable. We can communicate using telephone, e-mail, and Skype. For more extensive projects, we will travel to your location and work in your office. Fees for those projects are negotiable. There is no cost for the initial discussion of your project.

Contact us by telephone:  
or email:  

Books

Quantitative Trading Systems

Originally published April 2007.

The Second Edition was published in June 2011 and is available for immediate shipment.

Visit the book's website www.quantitativetradingsystems.com for more information and to order the book.

Quantitative Trading Systems focuses on three topics:

• Quantitative analysis techniques as applied to stocks, mutual funds, exchange traded funds, futures contracts, and currencies
• An introduction to the AmiBroker program
• Design, testing, validation, and implementation of trading systems

Emphasis is given to:

• Techniques that have mathematical grounding
• Techniques that are mechanical and testable, rather than discretionary
• Selection of issues to be traded, optimal holding periods, and expected drawdowns
• Discussion of in-sample development and out-of-sample testing
• Analysis of entry methods, exit methods, and stop placement
• Analysis of intermarket variables
• Methods for broad market timing
• Walk forward testing
• Methods for validation of trading systems, including statistical tests to determine whether a trading system is sufficiently reliable to trade

Modeling Trading System Performance

Published May 2011 and available for immediate shipment.

Visit the book's website www.modelingtradingsystemperformance.com for more information.

Modeling Trading System Performance is a sequel to my earlier book, Quantitative Trading Systems. The focus of the new book is on the practicalities of trading as a business. Key topics include:

• Analysis of trading results, such as expectancy, trading frequency, holding period, win/loss ratio
• Use of Monte Carlo simulation
• Estimation of profit potential and drawdown
• How to apply position sizing
• How to tell whether the system is working or broken
• Statistics for traders

Introduction to AmiBroker

Published October 2008 and available for immediate shipment.

Visit the book's website www.introductiontoamibroker.com for more information and to order the book.

AmiBroker is a comprehensive technical analysis program and trading system development platform.
To learn more about AmiBroker, and download a free trial of the program, visit the AmiBroker home page.

The book is a step-by-step introduction to the AmiBroker program, with detailed instructions and illustrations.
Topics included are:

• Installing AmiBroker
• Setting up free databases
• Setting up subscription databases
• Setting up real-time databases
• Charting stocks, fund, futures
• Applying chart tools
• Writing trading systems
• Testing trading systems
• Optimizing trading systems
• Validating trading systems
• 10 Tutorials - each illustrating use of a tool

Advanced AmiBroker

In preparation now. The publication date will depend on the time available to work on the book.

Visit the book's website www.advancedamibroker.com for more information.

Tentative contents include:

• Programming AmiBroker
• Custom Backtester

Classes, Workshops, Speeches, and Seminars

Training, workshops, and seminars for your staff. At your facilities or a convenient off-site location. Subject matter can be any or all of the topics listed below, plus others that you have need for and we are qualified to present.

Classes and workshops will have a hands-on computer component. Speeches and seminars will not.

Speeches and seminars might be as short as one or two hours, or as long as several weeks. Classes and workshops might be one day, a week or two, or an entire semester.

Topics we are most qualified to cover include:

• Modeling and simulation
• Trading system design
• Testing
• Validation
• Statistics for traders
• Objective functions
• In-sample and out-of-sample
• Backtesting
• Optimization
• Walk forward
• Financial data
• Fundamental data
• What to trade
• Types of systems
• Sector analysis
• Entries
• Exits
• Holding periods
• Stops
• Multiple time frames
• Multiple data series
• Intermarket analysis
• Portfolio management
• Position size
• Monte Carlo techniques
• Leverage
• Risk
• Options
• Introduction to AmiBroker
• AmiBroker's custom backtester
• C++ and dlls

To set up a workshop or seminar, contact us by telephone:  
or email: