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

Written by former university professor of computer science and mathematics Howard B. Bandy, also a former senior research analyst for a commodity training advisor, Quantitative Trading Systems: Practical Methods for Design, Testing, and Validation is a highly technical guide written especially for professionals and students with a background in basic mathematics, computer science, and commodities training.

Chapters discuss the difference between trading and investing, compare trading system software, what and how often to trade, how to use technical or fundamental data, statistically sound validation techniques, portfolio construction, Monte Carlo analysis, and much more. Sample computer programs and screenshots of portfolios on the computer illustrate the principles discussed; most programs and statements are in the user-friendly AmiBroker software. It should be noted that Quantitative Trading Systems focuses expressly upon trading strategies that derive from unambiguous mathematical statements, not any system that relies on subjective judgments (i.e. not chart patterns, trendlines, Fibonacci retracements, etc.) As a result, Quantitative Trading Systems is highly recommended for the serious, mathematically fluent investor who is not interested in gambling with his or her hard-earned dollars, but rather chooses to rely upon straightforward number-crunching analysis of raw data to make his money work for him.