Quantitative Trading Systems

Modeling Trading System Performance was published in 2011.

Deciding the size of the position for the next trade is a two question process:
1. Is the system working or is it broken?
2. What is the position size that maximizes the probability of meeting my account growth goal while minimizing the probability of suffering a serious loss?

The book discusses techniques to model and analyze trading system performance.

Several trading systems are analyzed in detail. Everything is completely explained, including use of free or low cost tools that will enable you to perform similar analysis of your own trading systems. Other than Microsoft Excel, the book is platform independent. It is equally applicable to people who develop using TradeStation, MetaStock, AmiBroker, Wealth-Lab, or any other trading system development platform.

People who have reviewed early drafts are enthusiastic.
One person said he thought this was the most important technical analysis book he had ever read.

Several common wisdom, traditional method, and sacred cow ideas and recommendations are examined in detail, with results showing that many of them are poor advice. All of the tools used are fully explained so you can repeat the tests using your own systems and data.

Several chapters have been posted on the book’s web site in pdf format. You can view them using the book menu.