Presenter: Dr. Howard Bandy, USA
About the Presentation
Dr. Bandy will discuss Monte Carlo techniques and applications to trading.
Background: Definition, History, How it Works, Assumptions, Limitations, Random Numbers, When to Use, Tools
Simple Example Using Dice
Application to Trading System Development: Robustness of the System, Changes in the Data, Changes in Parameters
Risk of the System: Estimate Maximum Drawdown, Probability of Black Swan Event
Profit of the System: Maximum Safe Position Size, Estimate of Compound Annual Rate of Return
Application to Trading Management: Dynamic Position Sizing, System Health, Is the System Healthy or Broken
Advanced Topics: Random Entry, Non-Exhaustive Optimization, Genetic Algorithms
A question and answer period follows the presentation.
About the Presenter
Dr. Bandy is uniquely qualified in technical analysis, with education including university degrees in mathematics, physics, engineering, and computer science. His graduate work focused on modeling and simulation, artificial intelligence, and statistics. While in graduate school, he began applying quantitative techniques to financial markets in the late 1960s. He continued his academic work, becoming a tenured full professor of mathematics and computer science and university dean. Dr. Bandy has real-world experience as a software developer, including the design and implementation of a program to select stocks and issue buy and sell orders. Additionally, he was a senior research analyst at a Commodity Trading Advisor (CTA) firm, where he held a Series 3 license.
He consults with and assists individual traders and trading companies in the design, testing, validation, and analysis of trading systems.
Dr. Bandy is the author of four recently published and best-selling books on technical analysis, including Quantitative Trading Systems, Mean Reversion Trading Systems, and Modeling Trading System Performance.
You can learn more about his activities, read free chapters of his books, and follow his blog at www.BlueOwlPress.com. The following YouTube presentation gives his background and qualifications on slides 2 and 3: https://www.youtube.com/watch?v=rcjyDeJKskk.