I have a fantastic interview in store for you today! Today we have with us Dr. Howard Bandy. I’ve you’ve been reading my blog for any length of time, you know I am a huge fan of Dr. Bandy’s work. Dr. Bandy has written three very excellent trading system development books, and I am so honored that he was able to come on the show.
In this episode, you will learn
- How to get through the difficulties in back testing
- How to validate your trading system and show statistically that it will continue working in the future
- What you are not supposed to code into your trading system
Here are the resources for today’s show:
- Howard Bandy’s book Quantitative Trading Systems
- Howard Bandy’s book Mean Reversion Trading Systems
- Howard Bandy’s book Modeling Trading System Performance
Dr. Bandy also provided a reading list of books for us, related to trading, system development, and mathematical modeling:
- Sam Savage, The Flaw of Averages. Why plans based on averages are often wrong.
- Daniel Kahneman, Thinking, Fast and Slow. Where we can and cannot trust our intuitions.
- Nate Silver, The Signal and the Noise. Why so many predictions fail.
- Michael Mauboussin, The Success Equation. Distinguishing between skill and luck.
- Leonard Mlodinow, The Drunkard’s Walk. How randomness rules our lives.
- John Haigh, Taking Chances. Using probability to help make decisions.
- Emanuel Derman, Models. Behaving. Badly. How quantitative financial models have been used, and misused.
- Christopher Chabris and Daniel Simons, The Invisible Gorilla. How our intuitions deceive us.
I am sure you will really enjoy this episode!