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

Author: Howard B. Bandy
Publisher: Blue Owl Press
Year: 2011

Topics Covered: 

• How trading and investing differ
• Why almost all investors are traders
• Comparison of trading system software
• Introduction to Amibroker trading software
• How to evaluate trading systems
• How to select a system that you will be comfortable with
• What to trade
• How often trade
• How to use fundamental data
• Where to get data and how to prepare it
• Principles of system design and testing
• Specific entry signals
• Several exit techniques
• Many trading system examples
• How to analyze in-sample and out-of-sample results
• Statistically sound validation techniques
• Walk forward testing 
• How to tell when a trading system is broken
• Broad market timing
• Intermarket analysis and filters
• Equity curve analysis
• Sector analysis and rotation methods
• Portfolio construction
• Monte Carlo analysis
• Position sizing