While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.
Table of contents
- 1. The Whats, Whos, and Whys of Quantitative Trading
2. Fishing for Ideas: Where Can We Find Good Strategies?
- 2.1. HOW TO IDENTIFY A STRATEGY THAT SUITS YOU
2.2. A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS
- 2.2.1. How Does It Compare with a Benchmark and How Consistent Are Its Returns?
- 2.2.2. How Deep and Long Is the Drawdown?
- 2.2.3. How Will Transaction Costs Affect the Strategy?
- 2.2.4. Does the Data Suffer from Survivorship Bias?
- 2.2.5. How Did the Performance of the Strategy Change over the Years?
- 2.2.6. Does the Strategy Suffer from Data-Snooping Bias?
- 2.2.7. Does the Strategy "Fly under the Radar" of Institutional Money Managers?
- 2.3. SUMMARY
- 3.1. COMMON BACKTESTING PLATFORMS
- 3.2. FINDING AND USING HISTORICAL DATABASES
- 3.3. PERFORMANCE MEASUREMENT
- 3.4. COMMON BACKTESTING PITFALLS TO AVOID
- 3.5. TRANSACTION COSTS
- 3.6. STRATEGY REFINEMENT
- 3.7. SUMMARY
- 4. Setting Up Your Business
- 5. Execution Systems
- 6. Money and Risk Management
7. Special Topics in Quantitative Trading
- 7.1. MEAN-REVERTING VERSUS MOMENTUM STRATEGIES
- 7.2. REGIME SWITCHING*
- 7.3. STATIONARITY AND COINTEGRATION
- 7.4. FACTOR MODELS
- 7.5. WHAT IS YOUR EXIT STRATEGY?
- 7.6. SEASONAL TRADING STRATEGIES
- 7.7. HIGH-FREQUENCY TRADING STRATEGIES
- 7.8. IS IT BETTER TO HAVE A HIGH-LEVERAGE VERSUS A HIGH-BETA PORTFOLIO?
- 7.9. SUMMARY
- 8. Conclusion: Can Independent Traders Succeed?
- A. A Quick Survey of MATLAB
- About the Author
- Title: Quantitative Trading : How to Build Your Own Algorithmic Trading Business
- Release date: November 2008
- Publisher(s): Wiley
- ISBN: 9780470284889
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