Chan Algorithmic Trading

Winning Strategies and Their Rationale
1. Auflage 2013
ISBN: 978-1-118-74691-2
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 224 Seiten, E-Book

Reihe: Wiley Trading Series

Praise for Algorithmic Trading
"Algorithmic Trading is an insightful book on quantitativetrading written by a seasoned practitioner. What sets this bookapart from many others in the space is the emphasis on realexamples as opposed to just theory. Concepts are not onlydescribed, they are brought to life with actual trading strategies,which give the reader insight into how and why each strategy wasdeveloped, how it was implemented, and even how it was coded. Thisbook is a valuable resource for anyone looking to create their ownsystematic trading strategies and those involved in managerselection, where the knowledge contained in this book will lead toa more informed and nuanced conversation with managers."
--DAREN SMITH, CFA, CAIA, FSA, Managing Director, ManagerSelection & Portfolio Construction, University of Toronto AssetManagement
"Using an excellent selection of mean reversion and momentumstrategies, Ernie explains the rationale behind each one, shows howto test it, how to improve it, and discusses implementation issues.His book is a careful, detailed exposition of the scientific methodapplied to strategy development. For serious retail traders, I knowof no other book that provides this range of examples and level ofdetail. His discussions of how regime changes affect strategies,and of risk management, are invaluable bonuses."
--Roger Hunter, Mathematician and AlgorithmicTrader

Autoren/Hrsg.

Chan, Ernie

Inhaltsverzeichnis

Preface ix
CHAPTER 1 Backtesting and Automated Execution 1
CHAPTER 2 The Basics of Mean Reversion 39
CHAPTER 3 Implementing Mean Reversion Strategies 63
CHAPTER 4 Mean Reversion of Stocks and ETFs 87
CHAPTER 5 Mean Reversion of Currencies and Futures 107
CHAPTER 6 Interday Momentum Strategies 133
CHAPTER 7 Intraday Momentum Strategies 155
CHAPTER 8 Risk Management 169
Conclusion 187
Bibliography 191
About the Author 197
About the Website 199
Index 201

Über Autor(innen)

ERNEST P. CHAN is the Managing Member of QTS CapitalManagement, LLC. He has worked for various investment banks (MorganStanley, Credit Suisse, Maple) and hedge funds (Mapleridge,Millennium Partners, MANE) since 1997. Chan received his PhD inphysics from Cornell University and was a member of IBM's HumanLanguage Technologies group before joining the financial industry.He was a cofounder and principal of EXP Capital Management, LLC, aChicago-based investment firm. Chan is also the author ofQuantitative Trading: How to Build Your Own Algorithmic TradingBusiness (Wiley) and a popular financial blogger athttp://epchan.blogspot.com. Find out more about him atwww.epchan.com.