Modeling Trading System Performance — Home Page
This website is the home for the book,
Modeling Trading System Performance,
by Dr. Howard Bandy
Deciding the size of the position for the next trade is a two question process:
1. Is the system working or is it broken?
2. What is the position size that maximizes the probability of meeting my account growth goal while minimizing the probability of suffering a serious loss?
After seven years of handling orders, packing and shipping books ourselves,
that part of our business has grown to the point we need help.
We decided to hire Amazon to help.
To order a copy of Modeling Trading System Performance, use this link to the listing on Amazon.com
The book discusses techniques to
model and analyze trading system performance.
Several chapters have been posted on this web site in pdf format. You can view them using the Book menu.
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
Most of the material in Modeling Trading System Performance is new,
both in terms of books published by Blue Owl Press and
in terms of other published materials.
There is less than 5% overlap between Modeling Trading System Performance and Quantitative Trading Systems.
Several trading systems are analyzed in detail.
Everything is completely explained,
including use of free or low cost tools that will enable you to perform similar analysis of your own trading systems.
Other than Microsoft Excel, the book is platform independent.
It is equally applicable to people who develop using TradeStation,
MetaStock, AmiBroker, Wealth-Lab, or any other trading system development platform.
People who have reviewed early drafts are enthusiastic.
One person said he thought this was the most important technical analysis book he had ever read.
Several common wisdom, traditional method, and sacred cow ideas and recommendations are examined in detail, with results showing that many of them are poor advice. All of the tools used are fully explained so you can repeat the tests using your own systems and data.
Blue Owl Press to learn more about our consulting, books, and other services.
Our Blog site for articles, postings, and reference material related to the design, testing, validation, and analysis of trading systems.
Quantitative Technical Analysis to learn about our platform independent book on trading system development and trading management, including dynamic position sizing.
Introduction to AmiBroker to learn about our tutorial and reference book for AmiBroker.
Introduction to AmiBroker is now in its Second Edition.
It is free for personal use.
Quantitative Trading Systems to learn about our AmiBroker-oriented book on trading system development.
Mean Reversion Trading Systems to learn about our book on swing trading.
Modeling Trading System Performance to learn about our book on Risk Management, Position Sizing, and Monte Carlo simulation.
It is too late for additions to this edition.
To make suggestions for topics to be included in the next edition of Modeling Trading System Performance, email us at: