Blue Owl Press provides complete support for your trading system projects. Whether you need anything from a short telephone consultation, to concentrated help designing your trading system, programming of your ideas, analyzing their risk and profit potential, or providing reference and instructional books or in-depth workshops, we have the resources to help you solve your problems.
Our specialty is the design, testing, validation, and analysis of trading systems. We understand and follow the scientific method. Our systems are developed using rigorous modeling and simulation techniques, validated with strictly out-of-sample testing to ensure that your system is free of data mining biases and to give the best estimates of future risk and profit potential.
The unique and original metrics we have developed provide guides for determining and managing position size (safe-f) and estimating profit potential (CAR25). CAR25 is a dominant metric. It can be applied to any set of trades, normalizes for risk, then estimates profit potential. This gives a procedure for rotating among alternatives, allowing the trader to concentrate use of resources in the system that is the current best use of funds.
We work with stocks, mutual funds, exchange traded funds, futures, forex, and options. We work with AmiBroker for systems based on traditional trading system development platforms, and with Python for systems based on machine learning. All work is done under strict adherence to your non-disclosure requirements.
I am Dr. Howard Bandy, the principal consultant of Blue Owl Press. This text is a summary of my background and qualifications.
My education includes degrees in mathematics, physics, engineering, and computer science. My graduate studies and research were in the areas of modeling and simulation, statistics, and artificial intelligence. My graduate advisors were among of the pioneers in the computer industry. In artificial intelligence, I did some of the early work in nearest neighbor analysis.
I am retired from a position as a tenured full professor of computer science and mathematics, and a university dean.
My professional career included:
- University teaching and research in computer science and mathematics.
- Management of commercial and industrial computer divisions (what would today be called chief information officer).
- Applications of modeling and simulation to financial trading systems.
- Design and programming for a system to select individual stocks to trade, and to generate buy and sell signals for them.
- Senior research analyst for a Commodity Trading Advisor (CTA), where I held a Series 3 license.
- Invited speaker at local, national, and international conferences.
- Author of six books related to trading system development and management.
Consulting, Classes, Workshops, Speeches, and Seminars
We can work from our office in Oregon, communicating via telephone, e-mail, and Skype. Or we can travel to your location and work in your office. Our fees for programming, design, testing, and analysis projects are very reasonable. There is no cost for the initial discussion of your project.
We can provide 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, all tailored to your specific requirements.
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.
We are well-versed in the broad topics of modeling, simulation, the scientific method, machine learning, trading system development, and trading management.
Trading System Development
- Scientific method
- Issue selection
- Risk tolerance
- Issue risk
- Time frame
- Objective function
- Holding period
- Trading system development using AmiBroker
- Machine learning
- NumPy, SciPy, pandas, matplotlib
- Impulse and state signals
- Testing / learning
- Parameter selection
- In-sample backtesting
- Walk forward tests
- Frequentist Statistics
- Bayesian statistics
- Monte Carlo
- Risk assessment
- Risk normalization
- Compare alternatives
- Profit estimation
- Risk assessment
- Dynamic position sizing -- safe-f
- System health
- Profit estimation -- CAR25
- Is it working? Or broken?
- Compare alternatives