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?
Order the book
Free shipping when Mean Reversion Trading Systems is purchased at the same time
Kindle and other e-books
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.
The retail price of the book is $69.95.
Shipping charges are additional.
The book is in stock and available for immediate shipment.
Scroll down for the "Buy Now" buttons.
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.
Two copies in one Priority Mail package -- Shipping is free for a purchase of Mean Reversion Trading Systems
The Mean Reversion book is 240 pages -- shorter than our other books, and thinner.
Thin enough so that:
- Two Mean Reversion books will fit into a Priority Mail (or Express) package.
- One copy of Mean Reversion will fit into a Priority Mail (or Express) package along with one copy of Quantitative Trading Systems.
- One copy of Mean Reversion will fit into a Priority Mail (or Express) package along with one copy of Modeling Trading System Performance.
To take advantage of this:
- Order one copy of either Quantitative Trading Systems or Modeling Trading System Performance, choosing the shipment method for your delivery address.
- Order one copy of Mean Reversion Trading Systems, specifying shipment to an address within the US using Media Mail, enter your normal delivery address.
Both books will be put into a single package.
Order Modeling Trading System Performance
You can order the book using one of the "Buy Now" buttons below
The six buttons differ in the shipping —
the book is the same on all of them.
The book is priced at $69.95.
- Shipping via USPS Media Mail is offered at no additional cost (only available for destinations within the US). Media Mail sometimes takes over two weeks to arrive, and may be particularly slow during the holiday period.
- Priority Mail within the US (3 to 4 business days) is $74.95.
- Express Mail within the US (2 to 3 business days) is $89.95.
- Priority Mail International to Canada (10 to 15 business days) is $89.95.
- Priority Mail International to most overseas destinations (6 to 10 business days -- longer in some countries)is $94.95.
- Express Mail International to most overseas destinations (5 business days) is $109.95.
Our experience tells us that the delivery times listed are accurate for developed countries with benign customs practices.
Once the package arrives in the destination country, that country's customs and postal service affect the delivery time.
Each button is for the purchase of one copy of the book.
The options differ by destination address and shipping method.
This group of buttons are for shipping to addresses within the US
|This button is for $69.95 for delivery in the United States, including shipment using USPS Media Mail.||This button is for $74.95 for delivery in the United States, including shipment using USPS Priority Mail.||This button is for $89.95 for delivery in the United States, including shipment using USPS Express Mail.|
This group of buttons are for shipping to addresses outside the US
|This button is for $89.95 for delivery in Canada, including shipment using Priority Mail International.||This button is for $94.95 for delivery overseas, including shipment using Priority Mail International.||This button is for $109.95 for delivery overseas, including shipment using Express Mail International.|
PayPal handles the entire financial transaction.
You do not need a PayPal account to use PayPal — credit cards work just fine. We never see a PayPal account number or credit card number. When PayPal is satisfied that your payment has been received, they notify us, and we ship your book.
If PayPal does not work for you, you may order by mailing a check to us. Select the shipping option you want, make the check out for that amount, and mail it to:
Blue Owl Press, Inc.
3220 Crescent Avenue, #65
Eugene, OR 97408
Ordering by mailing a check will delay shipment of your order by one to two weeks.
When ordering by mail, please include your email address so that we can send you a confirmation of your order and shipping date.
I am regularly asked why the examples in the book use AmiBroker.
I struggled with choice of platform to use to illustrate the techniques, and chose AmiBroker because:
- It is capable of performing everything I wanted to do ( I do not know of another reasonably priced platform that can ).
- It is inexpensive to buy ( free to try, and the trial version can do everything I describe ).
- It has a very clear and concise language that should be easily understood by anyone who is reasonably comfortable programming for a different platform.
No matter which platform I chose, some people would be disappointed.
You can get an idea of AmiBroker's language from the sample chapters of my books ( available at their websites -- links at the bottom of this page ), from the example programs at my blog site, and from the monthly articles in Technical Analysis of Stocks and Commodities magazine.
So the answer depends -- on the capabilities of the platform being used and the capabilities of the programmer doing the translation.
For those people who are not already familiar with AmiBroker and want to test the techniques I describe:
- Download the free trial version of AmiBroker from the AmiBroker website.
- Download and read the free "Introduction to AmiBroker" from that book's website.
It has complete instructions for installation, setting up databases, and using the platform in both charting mode and analysis mode.
- Paste in some of the AmiBroker code I provide and try it out.
The code for both the Mean Reversion book and the Quantitative Trading Systems book is available for download, copy, and paste.
In my opinion, the arguments I make for quantitative trading systems in general, and for mean reversion systems in particular, are compelling. The techniques fully disclosed and worth studying, and the results are reproducible, worth examining, and worth comparing with alternative trading systems on alternative platforms.
If you don't like it, don't use it.
But I do recommend making your comparison using sound modeling and forecasting techniques, realistic estimates of future performance of each system, and on a risk-normalized basis -- the procedures are fully explained in "Modeling Trading System Performance."
Mean Reversion Trading Systems will first be published as a printed and bound book,
in the same format as the three previous books.
It is 240 pages long and has many program listings, screen capture images,
and charts and graphs.
The resolution when printed is the same quality as the previous books.
I have two Kindle readers. A Kindle Ink with a 6 inch screen, and a Kindle Fire HD with a 8.9 inch screen. The book displays very well on the Kindle Fire, but not so well on the Kindle Ink. After the initial orders for the printed book have been filled, and I return from the world-wide promotional tour (that is happening, right?), we will begin translation to Kindle format. None of the programs we have tried so far to convert from publisher's files into Kindle format work well. Consequently, the translation will be manual, page by page, image by image.
There is often discussion about the cost of Kindle books, with customers expecting everything to be $1.99, justifying that because there is no publishing cost. My first response is that this book is valuable because of its intellectual content, not as recycled paper. My second is that there is a publishing cost. It begins with the cost of writing, editing, and formatting. Even if we assume that has already been paid for by the printed version, there is the cost of translation to ebook format. Additionally, Amazon charges the publisher a transmission fee of $0.15 per megabyte of the file that is downloaded. The publisher / author receives the net of 35% of the price of the book, less the transmission fee. Do not expect the ebook versions to be less expensive than the printed versions.
At about the same time this book will be made available in Kindle format, we will list this book, and all of our other books, on Amazon and let them handle the order and fulfillment process. I cannot yet forecast the date accurately.
Kindle will be the first ebook format. If there is sufficient demand, we will consider translating into other ebook formats after the Kindle program is running smoothly.
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: