Blue Owl Press provides complete support for your trading system projects.
Whether you need anything from a short telephone consultation,
to programming of your ideas,
to reference and instructional books,
to in-depth workshops,
we have the resources to help you solve your problems.
Our specialty is the design, testing, and validation of trading systems. We work with stocks, mutual funds, exchange traded funds, futures, forex, and options.
We can program your system in AmiBroker, test it using end-of-day or intra-day data, use good modeling and simulation techniques to insure that it is free of data mining biases, and develop ready-to-trade screens and user interface.
All work is done under strict adherence to your non-disclosure requirements.
Consulting Books Classes, Workshops, Speeches, Seminars
The principal consultant is Dr. Howard B. Bandy.
See the Blog page
for a short bio.
Beginning either with your concepts and ideas or with existing computer code, we will help you design and implement the trading system that fits your requirements. We can also evaluate the performance and validity of systems you are currently using. Whether it is a new system or a system already in use, we will provide you with clear, objective, and candid assessments of the system, including the probability of it being profitable.
We specialize in quantitative trading — rules and algorithms. But if you are a visual trader and can describe the chart patterns that you use, we can create computer code and test those patterns rigorously.
Your trading system can use end-of-day data, or real-time intra-day data. It can be trend following, mean reverting, based on patterns, based on cycles, or based on seasonality. If desired, a trading system can use multiple data series and multiple time frames. It can be used to trade stocks, mutual funds, exchange traded funds, forex, or futures. It can trade a single issue, such as the SP500, or a portfolio. We can help you manage positions, determine position size, measure risk, and use leverage.
Our experience in designing, testing, and validating trading systems is at your disposal. We are well experienced in modeling and simulation techniques, and understand the unique challenges of working with financial data. We understand and can translate from Visual Basic, TradeStation's Easy Language, MetaStock, eSignal, and Wealth-Lab. We prefer to do our development work using AmiBroker. AmiBroker has an extensive set of powerful features for ease of testing, optimization, and walk forward validation. Your system can be coded using the C++ language and compiled into a dll file, giving advantages of faster execution speed and helping to protect the trading system methodology.
We will do more than code and backtest. We assist you in development of the objective function which will be used to judge the relative merit of alternative trading systems. We will perform out-of-sample tests on data that was not used to develop the system, and we will perform walk forward validation tests to give you an estimate of the future performance of your system.
Work can be done at either your facilities or our office. You will receive regular reports, including time charged, as the project is in progress. We will provide you whatever level of documentation you require and desire, including operations manuals with screen capture images.
Our fees for programming, design, testing, and analysis that can be performed at our office are very reasonable. We can communicate using telephone, e-mail, and Skype. For more extensive projects, we will travel to your location and work in your office. Fees for those projects are negotiable. There is no cost for the initial discussion of your project.
Contact us by telephone:
Quantitative Technical Analysis
in preparation, anticipated publication date May, 2014.
Visit the book's website
for more information.
The book discusses trading system development
and trading management.
The perspective of the book is that the goal of the developer of a trading system and of the trader who uses it is to have confidence that the signals issued by the system precede trades that provide rewards adequate to compensate for the risk.
The key word is confidence.
The primary limitation is risk.
The book is in two sections -- one describing the development of trading systems, the other management of a system that is being traded.
The trading system development portion discusses topics including measuring success, issue selection, the two components of a system (the model and the data), identification of patterns that precede profitable trades, in-sample data analysis, out-of-sample system testing, maintaining synchronization between the model and the data, and methods of validation.
The trading management portion discusses a new and unique approach that continually monitors system performance, determines risk of drawdown, assesses the personal risk tolerance of the trader, computes the maximum safe position size, and estimates profit potential.
It includes techniques for determining the health of the system being traded, readjusting the system as necessary, and deciding when to take it offline before serious loss of trading capital.
A technique that I have developed, which I call "dynamic position sizing," uses an empirical Bayesian technique to determine the maximum safe position size based on your personal risk tolerance in combination with recent trades.
Position size is increased when the system is performing well.
Position size is reduced when system performance deteriorates, eventually taking the system offline before an equity-destroying system failure.
The retail price of the book has not been set.
Writing is complete.
There are delays beyond our control. You can read about the schedule on the book's web page.
Publication is expected to be about mid-January 2015.
Quantitative Trading Systems
Originally published April 2007.
The Second Edition was published in June 2011 and is available for immediate shipment.
Visit the book's website www.quantitativetradingsystems.com for more information and to order the book.
Quantitative Trading Systems focuses on three topics:
- Quantitative analysis techniques as applied to stocks, mutual funds, exchange traded funds, futures contracts, and currencies
- An introduction to the AmiBroker program
- Design, testing, validation, and implementation of trading systems
Emphasis is given to:
- Techniques that have mathematical grounding
- Techniques that are mechanical and testable, rather than discretionary
- Selection of issues to be traded, optimal holding periods, and expected drawdowns
- Discussion of in-sample development and out-of-sample testing
- Analysis of entry methods, exit methods, and stop placement
- Analysis of intermarket variables
- Methods for broad market timing
- Walk forward testing
- Methods for validation of trading systems, including statistical tests to determine whether a trading system is sufficiently reliable to trade
Modeling Trading System Performance
Published May 2011 and available for immediate shipment.
Visit the book's website www.modelingtradingsystemperformance.com for more information.
Modeling Trading System Performance is a sequel to my earlier book, Quantitative Trading Systems. The focus of the new book is on the practicalities of trading as a business. Key topics include:
- Analysis of trading results, such as expectancy, trading frequency, holding period, win/loss ratio
- Use of Monte Carlo simulation
- Estimation of profit potential and drawdown
- How to apply position sizing
- How to tell whether the system is working or broken
- Statistics for traders
Mean Reversion Trading Systems
Published in January 2013 and available for immediate shipment.
Visit the book's website www.meanreversiontradingsystems.com for more information.
Mean Reversion Trading Systems is a companion to my earlier book, Quantitative Trading Systems. The focus is on trading systems that trade frequently and hold a few days. Key topics, all of which are discussed specifically from the perspective of mean reversion systems, include:
- Controlling risk
- Examples of several systems, with performance data
- Systems of systems
- What to do when it doesn't work anymore
Introduction to AmiBroker
Published October, 2008, as a printed book.
Revised and published in August, 2012, in pdf format, free for personal use.
Visit the book's website
for more information and to download the book.
AmiBroker is a comprehensive technical analysis program and
trading system development platform.
To learn more about AmiBroker, and download a free trial of the program, visit the AmiBroker home page.
The book is a step-by-step introduction to the AmiBroker program,
with detailed instructions and illustrations.
Topics included are:
- Installing AmiBroker
- Setting up free databases
- Setting up subscription databases
- Setting up real-time databases
- Charting stocks, fund, futures
- Applying chart tools
- Writing trading systems
- Testing trading systems
- Optimizing trading systems
- Validating trading systems
- 10 Tutorials - each illustrating use of a tool
Classes, Workshops, Speeches, and Seminars
Training, workshops, and seminars for your staff.
At your facilities or a convenient off-site location.
Subject matter can be any or all of the topics listed below,
plus others that you have need for and we are qualified to present.
Classes and workshops will have a hands-on computer component. Speeches and seminars will not.
Speeches and seminars might be as short as one or two hours, or as long as several weeks. Classes and workshops might be one day, a week or two, or an entire semester.
Topics we are most qualified to cover include:
- Modeling and simulation
- Trading system design
- Statistics for traders
- Objective functions
- In-sample and out-of-sample
- Walk forward
- Financial data
- Fundamental data
- What to trade
- Types of systems
- Sector analysis
- Holding periods
- Multiple time frames
- Multiple data series
- Intermarket analysis
- Portfolio management
- Position size
- Monte Carlo techniques
- Introduction to AmiBroker
- AmiBroker's custom backtester
- C++ and dlls
To set up a workshop or seminar, contact us by telephone: