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Howard B Bandy – Quantitative Analysis

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.
  • 2. The risk inherent in the price fluctuations of the issue to be traded.
  • 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.

Recognizing the importance of position sizing in managing to trade, an original technique based on empirical Bayesian analysis, called “dynamic position sizing” and quantified in a metric called “safe-f,” was introduced. Computer code implementing dynamic position sizing is included in the book.

Author

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 Advisor.
  • Vice-president of a trading company.
  • Speaker at trading system conferences.
  • Developer and leader of trading system workshops and seminars.
  • Author of books related to quantitative trading systems.
  • President of publishing and consulting company.
  • Consultant to trading and money management companies.

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