Quantitative Trading, 2nd Edition

Preface to the 2^nd Edition

When I first started thinking about writing the 2^nd edition, I had a measure of dread. What could I have added that would be new and interesting? After writing the first draft, I was relieved, and incredibly excited, at the prospect of sharing with you my latest knowledge, techniques, and insights, ranging from the addition of some new functions that make our PCA example run more than 10x faster, to a novel application of machine learning.

In the 1^st edition of this book, published more than a decade ago, I maintained that independent quantitative traders can beat institutional managers at their own game. Many of you have taken that advice to heart, and many retail quantitative trading communities and platforms have been built to serve just such an ambition. But does the premise still hold?

Over the years, many readers reached out and told me how successful they have been in improving and trading the strategies I discussed in my books, and others told me how they have simply been inspired by my books to become successful traders. Our fund is invested in some of these readers, some of whom have been managing many millions more dollars than we are. So, the answer to the above question is a resounding “YES!”

I also exhorted retail traders new to quantitative trading to start with the simplest strategies (examples of which are described in this and my previous books). Do simple strategies still work? Or do we all have to become mathematicians or machine ...