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
Enjoy!
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!
