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?
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.
Please visit:
Blue Owl Press
to learn more about our consulting, books, and other services.
Introduction to AmiBroker to learn about our tutorial and
reference book for AmiBroker.
Quantitative Trading Systems to learn about our book on
trading system development.
Advanced AmiBroker to learn about our book on
advanced programming in AmiBroker.
Modeling Trading System Performance to learn about our book on
Monte Carlo simulation, Position Sizing, Risk Management, and Statistics.
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 $83.95.
- Priority Mail International to most overseas destinations (6 to 10 business days -- longer in some countries)is $87.95.
- 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.
If your address is in Italy, India, Central America, South America, or Africa,
your order may take more time to arrive than for other countries.
Please see our Pricing page for more information.
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 |
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|---|---|---|
| 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 $83.95 for delivery in Canada, including shipment using Priority Mail International. | This button is for $87.95 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
3700 S. Westport Avenue, #1876
Sioux Falls, SD 57106
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.
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: