Author: Howard B Bandy
Experienced and educated in applications of modeling and simulation to financial trading systems.
Graduate work in computer science with applications in artificial intelligence, modeling, simulation.
Corporate experience in all areas of computers — operations, programming, management.
University tenured full professor and university dean. Taught primarily computer science and applied mathematics.
Designed, programmed, and brought to market a trading system development platform.
Research analyst for Commodity Trading Advisor.
Vice-president of trading company.
Speaker at trading system conferences.
Developer and leader of trading system workshops and seminars.
Author of books related to quantitative trading systems.
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This book, the fifth by Dr. Howard Bandy, discusses an integrated approach to trading system development and trading management.
It begins with a discussion and quantification of the several aspects of risk.
1. The trader’s personal tolerance for risk.
3. The risk added by the trading system rules.
4. The trade-by-trade risk experienced during trading.
An original objective function, called “CAR25,” based on risk-normalized profit potential is developed and explained.
CAR25 is as near a universal objective function as I have found.
The importance of recognizing the non-stationary characteristics of financial data, and techniques for handling it, are discussed.
There is a general discussion of trading system development, including design, testing, backtesting, optimization, and walk forward analysis.