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Papers > Blue Owl Press


This page hosts some articles related to trading system development, but aside from model development and validation.

Use of Fundamental Data in Active Investing in US Equities

This paper evaluates methods of using fundamental data as input for trading US equities. It
examines whether and how fundamental data can help decide what to buy, when to buy, and when
to sell.
Fundamental economic data includes gross domestic product, inflation, interest rates, commodity
prices, consumer sentiment, and similar items. Fundamental company data includes inventory
turnover, earnings, sales, dividends, and similar items.
The focus is on techniques that may be useful to active managers.

Assessing Trading System Health

Developing Robust Trading Systems, with Implications for Position Sizing and System Health

Submission to the NAAIM Wagner Paper Award, February 2012

The Goal

  • As traders and investors, particularly as active investors, it is important to have a high level of
    confidence that:
    The trading system being used is healthy.
  • Trades are being taken in the correct size to produce the fastest equity growth while
    keeping drawdown below an acceptable percentage.

This paper describes unique and practical techniques for gaining that confidence, and illustrates
with a fully analyzed trading system.

Why use AmiBroker?

I am regularly asked why the examples in the books use AmiBroker.

No matter which platform I chose, some people would be disappointed.  Some would prefer an English language description.  Some an artificial pseudo-langauge.  Some the language of only their favorite platform.  Some several of the most widely used languages.

One of the reasons I am publishing is to give system developers an alternative to imprecise trading advice, unrealistic promises, financial astrology, and smoke and mirrors.  The examples must be coded in the language of one of the popular trading system development platforms.  Readers must be able to replicate my results and …

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