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

I have read 100's of trading books. This book is the most useful book I have ever read. What more can I say except buy it. I have averaged 40% returns for over over 10 years. I know what I am doing and have been asked to write a book by a major publisher after they reviewed my trading results and this book provided me with an immense amount of information available no where else and which was unknown to me.

This book is well written. I have been a student of the market for years and I never did know of this type of approach. A bonus is that it has Amibroker code for examples. It is about as cheap of system as you can run with any real control. It's not a trading book it is a system book and it helps you find edges. I really recommend this book for any serious trader. I make money in the market, but this has helped sharpen my skills and allowed me a faster way to test improvements with a higher degree of accuracy. Great book, thanks Dr. Bandy.

This was a hard book for me to rate. On one hand, I thought this book covered quite a bit of ground on trading systems and provided a good introduction to AmiBroker. On the other hand, with a nebulous title like "Quantitative Trading Systems" and a back cover that listed topics ranging from principles of system design and testing to Monte Carlo analysis I thought this book covered many key concepts without much depth (e.g. risk management, position sizing). In the end, I thought this book was more of an introduction to AmiBroker with some pearls of wisdom sprinkled in than a general trading system development book that happened to choose AmiBroker to illustrate points. I was seeking the latter.I appreciated the discussions on how to properly test systems and how to use basic statistics to determine if my trading systems were broken. And I did download AmiBroker and code a few examples from the book and they did work, so no dings for providing broken code. But the discussion of trend following systems was disappointing to put it mildly. The (light) discussion of position sizing was buried in the Monte Carlo section where Dr Bandy explains position sizing requires a lot of thought and testing (and pretty much leaves it at that). Also, this book pretty much avoids the topic of option trading even as a simple substitute for trading the underlying (probably because AmiBroker doesn't natively support it). And unfortunately, after I finished reading the book and wanted to go back to revisit some topics Dr. Bandy brushed on, I couldn't find references to them in the index.Overall, I would recommend this book to people who already have some experience developing trading systems and who want to quickly port over their work to AmiBroker.

Loved it. Great logic. Clear explanation of the why as well as the how.Focuses on one of the best, whole of portfolio, system performance evaluation platforms.Good quality paper & print with ample room in the margin for notes.

I read this a few years ago and after watching a few of his on-line videos thought it would be worthwhile to review here.A very good introduction to developing trading systems. He covers trend trading, mean reversion, seasonality, entries and exits etc. It is a book that should be read quickly at first to get an idea of what it contains, and then a more thorough second and third look when you are focusing on areas that you are working on in your trading system development. If you eventually buy Amibroker then give it a third reading while coding and testing the ideas in this book will be a great way to familiarize yourself with the software.If you use Amibroker this is definitely a 5 Star book.On the other hand he covers so much material that some sections are not covered in much depth. I guess the book would have had to be much thicker to accomplish that. Dr. Bandy has several books that are similarly very very useful.

I discovered Dr Howard Bandy’s “Quantitative Trading Systems” using Dr Google in 2008 while I was looking for some support while learning Amibroker, the trading toolbox. Over the previous 16 years I had moved my financial market trading from fundamental to technical and then from general technical to something more mechanical involving back testing, monte-carlo and risk analysis. This reflected my dual experiences in corporate life, I had many years in Information Technology (Operations Research, Analysis, and Programming) and also years in Management Accounting. My earlier trading platforms were not adequate for my growing focus – I needed something faster and more comprehensive and my software reviews caused me to select Amibroker. Dr Bandy’s first book provided a great deal of excellent Amibroker sample code – a really good starting place.However, I quickly realised that the book was far more than this. It presented the most logical framework for understanding financial markets, trading models and trading systems that I had yet seen. Perhaps it arrived at a time when I knew enough, and had enough experience, to know what I was looking for – even if it was not the purpose of my original internet search! Shortly after reading the book I flew from Australia to Las Vegas to attend a two-day seminar delivered by Howard – it did not disappoint. The book and the logic models presented so clearly within, have stood the test of time and have become an integral part of my trading approaches.Since 2008 I have read and re-read “Quantitative Trading Systems” many times, I regularly come across something I may have let slip, or gain a new insight. I still extract snippets of code. The book covers a very broad range of subjects, it looks at the clear advantages of Quantitative Analysis over both traditional Technical Analysis and Fundamental Analysis. It demonstrated how statistical analysis, computer code and robust intellectual “models” can effectively “test” trading ideas and then quantify both potential profit and risk. Many different trading approaches are both described, examined and tested. Amibroker code is provided so you can run the tests yourself on current data, nothing is hidden, nothing assumed.In Dr Bandy's later books, particular areas in this book are examined in greater detail. Again, in later books there are some more sophisticated approaches to issues addressed in this book. This results in different methods being proposed particularly for position sizing. This book however, is still the ideal starting point for some-one wanting a broad grounding in the theory (logical framework) and practice of trading the financial markets, particularly if you are moving from traditional technical methodologies or fundamental analysis. It is especially useful if you intend to make use of the code provided for use in Amibroker (or similar after translation).Dr Howard Bandy is new to Amazon but I (along with others) have been following his work closely since 2008. Howard’s work has revolutionised my trading. I have been an active trader, managing family funds for more than 20 years. I am a long term member, office bearer and former National President of the Australian Technical Analyst Association (ATAA) and also a director of IFTA. Over the years I have been a keen student in the field of Technical Analysis and have consumed many books on the subject. Some of my past favoured authors have included David Aronson, Ralph Vince, Larry Connors, Mark Jurik, Perry Kaufman, Benoit Mandelbrot, Nassim Taleb, John Bollinger, Thomas Stridesman and Katz & McCormick.From my personal trading experience I strongly recommend “Quantitative Trading Systems”, along with Dr Bandy’s later books, to any financial market trader interested in fully understanding and developing competent quantitative trading systems.