Quantitative Trading / 2nd Edition — How to Build Your Own Algorithmic Trading Business by Ernest P. Chan

Most books on algorithmic trading are either academic finance or marketing for a signal service. Quantitative Trading is neither: it is a working account of how one person sets up a small systematic trading operation, written by someone who left institutional quant work to do exactly that.

What the book covers

• Finding and evaluating trading strategy ideas, and where they actually come from
• Backtesting method, and the biases — survivorship, look-ahead, data-snooping — that make a backtest lie
• Choosing brokers, data sources and execution platforms as an independent trader
• Position sizing, the Kelly criterion, and money management
• Risk management, drawdown control, and knowing when a strategy has stopped working
• Mean reversion and momentum strategies with concrete examples

Who it’s for

Independent traders moving from discretionary to systematic methods, quantitatively minded programmers exploring markets, and finance students who want the operational reality rather than the theory.

Edition details

• ISBN-13: 9781119800064
• Edition: 2nd Edition
• Format: Hardcover
• Author: Ernest P. Chan
• Series: Wiley Trading
• Publisher: John Wiley & Sons
• Language: English

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