Australian (ASX) Stock Market Forum

Howard Bandy presenting in Australia (1 Viewer)

Joined
Jun 21, 2005
Posts
105
Reactions
0
Howard Bandy’s Workshops on Amibroker and Trading Systems design and testing have been announced at

http://www.howardinaustralia.com.au/

Brief details of the workshops are appended below.
Howard’s books “Quantitative Trading Systems” and “Introduction to Amibroker” have been discussed in this forum and Howard has made valuable contribution by his posts. I reckon it would be a great opportunity to see him present here in Oz.

Program of Workshops

There are three separate workshops:
• Introduction to AmiBroker - Mon 26 Oct, 2009
• Design, Testing and Validation of Trading Systems - Tue-Wed, 27-28 Oct 2009
• Advanced Design, Testing and Validation of Trading Systems – Thu-Fri 29-30 Oct 2009.

Which workshop or workshops to take?
The workshops can be taken independently or sequentially.
A participant with a good knowledge of Technical Analysis and good computer skills could take all three workshops. This would be a very concentrated learning experience. Some of your evening time between sessions would be spent reviewing and practicing in order to consolidate learning. (Some participants who already have good AmiBroker knowledge may wish to attend the "Introduction to AmiBroker" to consolidate basic skills.)
It is more likely that a participant would want to enrol in:
• Introduction to AmiBroker AND
• Design, Testing and Validation of Trading Systems.
OR
• Design, Testing and Validation of Trading Systems AND
• Advanced Design Testing and Validation of Trading Systems.


Individual Workshops

Introduction to AmiBroker

(Monday, 26 October 2009)
Workshop Objective
• This one day Workshop with bring a reasonably new AmiBroker user “up to speed”.
Workshop Outcomes
• Participants will learn the structure of AmiBroker and be able to operate its features.
Workshop Syllabus
• Overview of AmiBroker
• Databases
• The Graphical User Interface
• Charting a Stock
• Applying Trendlines
• Plotting Indicators
• Using Watchlists
• Running Explorations
• Overview of Trading System Design
• Understanding Trading Systems
• Running Backtests
• Optimising Trading Systems
• Performing Walk Forward Validation
Workshop Prerequisites
• Laptop computer with AmiBroker installed, current release.
• End-of-day data subscription of your choice, fully installed.
The participant should have the following base skills:
• Good skills with a Personal Computer.
• Good general knowledge of Technical Analysis concepts.
• An appreciation of mathematics and statistics.
• See also the section headed General information on venue, facilities and workshops.


Design, Testing and Validation of Trading Systems
(Tue-Wed, 27-28 October 2009)
Workshop Objective
In this two day Workshop you will learn to develop mechanical trading systems using AmiBroker that you will be comfortable with and that have a high probability of being profitable.
Workshop Outcomes
• Increase your trading system development experience
• Increase your comfort level with your trading systems
• Increase your understanding of your systems and their behavior
Workshop Syllabus
Introduction to:
• AmiBroker Data and data suppliers
• Mechanical trading systems
One time tasks:
• Objective functions
• Issue selection
• What to model
• What to trade
Trading system development tasks:
• Entries
• Exits
• Systems
• In-sample / out-of-sample
• Optimisation
• Walk forward testing
• Validation
Trading tasks:
• Anticipating signals
• Trading
• Monitoring results
• Equity curve analysis
Workshop Prerequisites
• Laptop computer with AmiBroker installed, current release.
• End-of-day data subscription of your choice, fully installed.
The participant should have the following base skills
• Familiar, confident and competent with AmiBroker basics.
• Able to understand and write AFL code.
• Understand and use AmiBroker Optimisation.
• Good intermediate knowledge of Technical Analysis concepts.
• An appreciation of mathematics and statistics.
See also the section below General information on venue, facilities and workshops.


Advanced Design, Testing and Validation of Trading Systems
(Thu-Fri, 29-30 October 2009)
Workshop Objective
• Learn to work with more complicated trading systems, and learn the advanced features of AmiBroker necessary to implement them.
Workshop Outcomes
• Participants will learn to develop models and systems that are more complex than those treated in the earlier workshops.
Workshop Syllabus
• Discussion of simple trading systems
• Discussion of extensions that reflect desirable and realistic trading systems
• Portfolios
• Multiple Time Frames
• Multiple Data Series, including filters and pairs
• Custom Backtester
• Risk Assessment
• Maximum Favorable Excursion
• Maximum Adverse Excursion
• Intra-day trading
• Futures
• Forex
• Options
• Complex Trading Systems
• Looping code
• Creation of Dynamic Link Library modules
Workshop Prerequisites
• Laptop computer with AmiBroker installed, current release.
• End-of-day data subscription of your choice, fully installed.
The participant should have the following base skills:
• Familiar with the operation of AmiBroker and able to work with it independently.
• Able to write AFL code, write functions, run backtests, run optimizations, run walk forward tests.
• Understand and use AmiBroker Optimisation.
• Good intermediate knowledge of Technical Analysis concepts.
• An appreciation of mathematics and statistics.
 
Joined
Sep 11, 2008
Posts
844
Reactions
0
Do you know what the price will be roughly for each seminar? I cant seem to find it
 
Joined
Oct 27, 2007
Posts
47
Reactions
0
Dr Howard Bandy is presenting at the ATAA annual Conference in Melbourne Oct 23 -25
 
Joined
Apr 3, 2007
Posts
1
Reactions
0
Just a reminder, the conference and workshops are on plan for 26-30 October at the Melbourne Exhibition and Convention centre.
 
Joined
Jul 16, 2008
Posts
1
Reactions
0
Hi,

I would like to use Amibroker to backtest forex; will Howard be reviewing data installation and bar issues ?

Also how hands on will it be, can I take my computer and have questions answered regarding code etc.

Regarding the cost mentioned by the previous posters; if in the course of a three day seminar I can solve problems that have been holding me up for a few months, I'll make the money back in accelerated trading time.

Cheers
 
Joined
Jun 13, 2007
Posts
838
Reactions
118
Hi Emerald --

There are three workshops.

The first is one day long and focuses on the use of AmiBroker itself. This will be mostly the use of the features that are built-in to AmiBroker. You will work with trading systems, including testing, backtesting, optimizing, and running walk forward validation. There are two tracks within this workshop. The first will not be a programming course, but you will see the AmiBroker code and how it is used to write systems. The second is a little more advanced and will be a programming course. As you hear the first part of my presentation, see what we will be doing in each track, and evaluate your own experience, skills, and desires, you can choose to do either or both tracks.

You are strongly encouraged to bring your own computer to follow along with the topics being discussed and to do the hands-on exercises. We expect that you will already have a database installed, but if you do not, there will be a small database that you can load to use for the exercises. The examples used in the presentation will be taken from all classes of tradables -- equity shares, futures, forex, exchange traded funds, options. The techniques described will sometimes apply better to one class than another, but are generally applicable to any tradable.

The second workshop is two days devoted to the theory and practice of trading system design, testing, and validation. The techniques discussed apply to all trading and investing -- not just short term trading, although we will demonstrate techniques to help you determine whether your system is likely to work when you make real-money trades, and we will show how having an adequate number of closed trade data points is important. The mathematics and statistics will show that it is easier to build and validate systems that trade more frequently and hold for shorter periods of time, and safer to trade them. There will be many hands-on exercises using example trading system code that is provided; and many opportunities to try out your favorite methods, see if they can be improved, and gain some confidence that they will work with real money.

The third workshop is also two days. It will begin with the assumption that you understand system design and testing, and will continue in the areas of choosing what to trade, measuring the risk, and examining ways to improve the return. Because the systems discussed will be a little more complex, there will be a short refresher of AmiBroker programming, including processing data bar-by-bar, a discussion of debugging methods, and an introduction to the Custom Backtester. The examples provided will include use of multiple time frames and multiple data series. A section will discuss choosing surrogates to trade -- that is how to model using one data stream and trade something else. This section will discuss use of options -- a powerful way to maintain system performance while reducing risk. Throughout this workshop, there will be a focus on the relationship of system performance to risk. The workshop will wrap up with a discussion of using Monte Carlo Simulation as a validation tool.

I rambled a bit. But I strongly encourage you to bring your own computer -- the hands-on exercises will be an important opportunity to try out the techniques and get immediate feedback about what works and why, or how to correct the problems you are running into. You will be able to use the examples we provide or your own code. All of the workshops will be very hands-on, and you will be able to ask questions.

Thanks for listening,
Howard
 
Joined
Jun 21, 2005
Posts
105
Reactions
0
I am really looking forward to attending Howard's workshops. Is there anybody else attending these or the ATAA conference. Would be a good opportunity to catch up.

Cheers
 
Joined
Jan 3, 2007
Posts
940
Reactions
2
Hello Howard,

Would your teachings in the workshops be an extension to the materials already covered in your book? I have already read your books twice and I would obviously be interested in new methodologies and/or theories.

Unfortunately though, I'm in Brisbane and I don't really use Amibroker for my system design and testing. (in fact, I uses another software for trade data testing)

However, I am still extremely interested in any new materials you may present after the workshops and compile them in a new book or some sort of articles, etc.

Please let me know then. :)

Kind Regards,

Temjin
 
Joined
Jun 13, 2007
Posts
838
Reactions
118
Hi Temjin --

If you have already read my two books -- twice! -- and understand the key points I make about the importance of objective function selection, out-of-sample testing, walk forward testing, and statistical validation, then you probably do not need the second workshop.

If you are not using AmiBroker to develop trading systems, and do not intend to use it in the future, then you probably do not need the first workshop.

I have just finished preparing the PowerPoint slides for the third workshop -- 330 of them for the two days. They are roughly divided into the following areas.

First a refresher for AmiBroker AFL, including some of the useful but not often explained tools for working with more complex programs -- including looping and debugging. If the attendees are pretty comfortable with AmiBroker, this will just be a quick review and the pages will be more a reference.

There is a little about Custom Backtester and creation of some unique objective functions that incorporate tests of statistical significance into the objective function. I believe this will be new to everyone, and it is a very powerful technique, particularly when incorporated into walk forward testing.

Next a section that covers a variety of topics all related to more complex trading systems. This includes multiple time frames, multiple data series, intra-day trading, futures, options, risk analysis. Part of the discussion is a combination of "what to model" and "what to trade", with comparisons of trading various instruments -- shares, ETFs, futures, options.

(I am not a believer in KISS. I think simple indicators and simple ideas are not likely to result in long-term trading success. I think traders and trading systems need to be unique enough to discover and capitalize on patterns and relationships that are not identified through using simple systems.)

The third major section is risk assessment and position sizing. This section includes discussion of Monte Carlo Analysis. There are a lot of examples that compare the characteristics of different trading systems and what the effects on the equity curve are over the life of trading. It is surprising to see how many trading accounts go bankrupt a large proportion of the time. And it is surprising to see what a beneficial effect position sizing can have when applied to a sound trading system.

I think everybody can benefit from the third section.

My third book, "Advanced AmiBroker," is expected to be available in early 2010. It will include some of the material from the third workshop, but not all of it.

We have not yet decided whether the slides and recordings will be available after the workshop.

Thanks,
Howard
 
Joined
Jan 3, 2007
Posts
940
Reactions
2
Hi Howard,

I apologise for the late reply, but many thanks again for the information.

I have only read your original book, and not the Introduction to Amibroker. :)

Would have loved to attend one of the workshop anyway, especially in regards to custom backtesting.

I understand that releasing your materials from the workshop may not be fair to those who have paid in full for attending them. However, myself and others would surely be appreciated if you could still consider it and made them available in some format or another, regardless if they do not cover everything in the workshops. Perhaps an update to your first book.

Thanks and regards,

Temjin
 
Joined
Jun 21, 2005
Posts
105
Reactions
0
Howard Bandy in Melbourne!!

Just thought I’d let all those interested in Howard Bandy’s teachings know that Howard is once again visiting Melbourne in May. He is presenting at the ATAA annual conference 9-11 May 2014 at the Rydges, Melbourne.

Details of speakers at the conference can be seen at http://www.ataa.com.au/speakers-and-presentations.html

I understand that Howard is also planning to conduct a 2-day workshop on 12-13 May. Apparently, he is presenting new material during this workshop. Having attended his previous workshops in 2009, I am really looking forward to this one.

As Howard is quite active in this forum, I hope he will jump-in to provide some insights into his presentation at the 2-day workshop.

Cheers
 
Joined
Jun 21, 2005
Posts
105
Reactions
0
Just an update for those who might be interested.
Having attended his workshops in 2009, I am on Howard's mailing list and received the further update to this year's workshops.

Quote
Howard in Australia

The ATAA Conference to be held in Melbourne, 9 through 11 May, 2014, will be excellent.

Immediately following the conference, I will be presenting a two day workshop.
Here is a description of it.
Please visit the workshop's website Howard in Australia for more information and to sign up.

Dr. Howard Bandy will be presenting a two day workshop,
Monday and Tuesday, 12 and 13 May, 2014
At the Rydges Hotel, Melbourne, VIC

Syllabus

Day 1

Understanding and managing the risk associated with trading
•Risk measurement -- account drawdown as risk
•What part of risk to recognize and what part to ignore
•Measuring the risk in holding any position
•Toxic trades -- the biggest contributor to risk
•Quantifying your personal risk tolerance
•Risk as a function of position size
•Reward as a function of position size
•Model / Data synchronization
•Dynamic position sizing
• Nothing else is stationary,
• why should we expect position size to be?

Day 2

Trading system development using machine learning
•Two views of system development
• Indicator, what price changes follow
• Price change, what patterns precede
•Machine learning overview
• Pattern recognition
• Classification
• Estimation
• Confusion matrix
• Cost of being wrong
•Long / Flat first, position size second
•Python Language
•pandas library
•Read historical price data
•Define toxic trades
•Interactive computer lab
• Identify toxic trades
•Trading system simulator

Course preparation

This workshop is intermediate level.
Attendees should have experience developing and testing trading systems,
and should be comfortable reading, writing, and executing computer programs.

Plan to bring a laptop computer with the Python language installed,
and have some experience using Python

If you do not already have an installed Python, I recommend:
Acaconda Python with the Spyder Environment
Then, before attending the workshop:
Work through the Google Python tutorial course
Read and work through Dr. Allen Downey's Think Python book
Read Wes McKinney's Python for Data Analysis book


The workshops I presented in 2009 were very well received, and I expect this one to be equally valuable.
Please join me.
I look forward to renewing many friendships in Melbourne in May.
Please visit the workshop's website Howard in Australia for more information and to sign up.

--------------------------------------------------------------------------------

Dr. Bandy's new book

Quantitative Technical Analysis: An Integrated Approach to Trading System Development and Trading Management

is in preparation. The anticipated publication date is about July, 2014

Chapter 1 is available as a free download from the site's Book menu. Click "Introduction"
Unquote

The URL for the website is http://howardinaustralia.com.au/

Cheers
 
Joined
Jan 13, 2013
Posts
258
Reactions
48
Did anyone make it to the ATAA presentation by Howard in May 2014? How was the ATAA conference? Did Howard make his slides available for download for the common folk like me who couldn't attend?
 

Wysiwyg

Everyone wants money
Joined
Aug 8, 2006
Posts
8,424
Reactions
265
Dr. Howard Bandy is interviewed about the stock market. Message = risk identification and management.



[video=youtube_share;_dAQ0WYQklI]http://youtu.be/_dAQ0WYQklI[/video]
 
Joined
Jun 13, 2007
Posts
838
Reactions
118
Dr. Bandy's new book

Quantitative Technical Analysis: An Integrated Approach to Trading System Development and Trading Management is in preparation. The anticipated publication date is about July, 2014

Cheers

Greetings --

After several suggestions of topics to add or expand, several passes over the drafts by both expert and amateur editors, and a printed proof about a month ago to be certain the book looked good, it has been submitted for final proofs. As soon as Amazon approves the files, they will begin printing and the book will be available.

In the mean time, I have posted five files that you can download and read at your leisure --
contents, introduction, bibliography, list of downloadable programs, and index.
They can be found on the /book page of QTA's website:
http://www.quantitativetechnicalanalysis.com/

Best regards,
Howard
 

Users who are viewing this thread

Top