About the Presentation
Dr. Bandy will discuss the design, testing, and validation of trading systems using rigorous evidence-based scientific methods.
Synopsis: Development is done using traditional trading system development platforms, such as TradeStation, AmiBroker, NinjaTrader. (An upcoming lecture, tentatively scheduled for September, introduces development using machine learning.)
Topics discussed include: Goals, Objective Functions, Metrics, System Structure, Indicator Construction, Entries, Exits, In-Sample Learning, Out-of-Sample Testing,
Walk Forward Validation, Confidence, Risk Assessment, and Profit Potential.