Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading) (Hardcover)

by Ernie Chan (Author)
Key Phrases: closing price, maximum drawdown duration, quantitative trading business, Special Topics, Interactive Brokers, Execution Systems (more...)

Editorial Reviews

Product Description
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.

From the Inside Flap

By some estimates, quantitative (or algorithmic) trading now accounts for over one-third of trading volume in the United States. While institutional traders continue to implement this highly effective approach, many independent traders—with limited resources and less computing power—have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, author 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.

Organized around the steps you should take to start trading quantitatively, this book skillfully addresses how to:

• Find a viable trading strategy that you're both comfortable with and confident in

• Backtest your strategy—with MATLAB®, Excel, and other platforms—to ensure good historical performance

• Build and implement an automated trading system to execute your strategy

• Scale up or wind down your strategies depending on their real-world profitability

• Manage the money and risks involved in holding positions generated by your strategy

• Incorporate advanced concepts that most professionals use into your everyday trading activities

• And much more

While Dr. Chan takes the time to outline the essential aspects of turning quantitative trading strategies into profits, he doesn't get into overly theoretical or sophisticated theories. Instead, he highlights the simple tools and techniques you can use to gain a much-needed edge over today's institutional traders.

And for those who want to keep up with the latest news, ideas, and trends in quantitative trading, you're welcome to visit Dr. Chan's blog, epchan.blogspot.com, as well as his premium content Web site, epchan.com/subscriptions, which you'll have free access to with purchase of this book.

As an independent trader, you're free from the con-straints found in today's institutional environment—and as long as you adhere to the discipline of quantitative trading, you can achieve significant returns. With this reliable resource as your guide, you'll quickly discover what it takes to make it in such a dynamic and demanding field.

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Product Details

• Hardcover: 182 pages
• Publisher: Wiley (November 17, 2008)
• Language: English
• ISBN-10: 0470284889
• ISBN-13: 978-0470284889
• Product Dimensions: 9 x 6.1 x 0.9 inches
• Shipping Weight: 13.6 ounces (View shipping rates and policies)
• Average Customer Review: 3.2 out of 5 stars See all reviews (4 customer reviews)
• Amazon.com Sales Rank: #13,902 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

12 of 12 people found the following review helpful:

2.0 out of 5 stars Somo interesting insights..., December 26, 2008

By	AGJr (Sao Paulo, Brazil) - See all my reviews

... but too shallow. Most of the content is just common sense, and most of the technical part, including Matlab and Excel code, of little use. Nevertheless, it gives you a blueprint of important things to take into account when going into Algorithmic Trading.

21 of 24 people found the following review helpful:

4.0 out of 5 stars A good road map of the issues to consider, November 25, 2008

By	ETO Trader (Melbourne, Australia) - See all my reviews

This book lays out a road map for an independent trader to follow if they want to establish themselves as a home based quantitative trader. Whilst the title contains the words quantitative and algorithmic, it isn't heavy with high level mathematics or concepts. Instead key issues are covered in a straightforward easy to read manner.
What makes the book work is Dr Chan's personal insights from his career and experiences are intertwined throughout the topics. This leaves the reader with a great deal of confidence in his suggested approach. Most of the issues in the book are covered at a basic to intermediate level - certainly enough for you to be able to go and do further research and to know what the key issues are and what to look out for.
Criticisms - maybe the focus on Matlab, though he does recommend some cheaper clone packages that may run his example code with minor modifications.
This is a practical book. There's no pop trading psychology (though there is a psychology chapter), nor does it give you a system or rely on strategies that aren't generally available to the retail trader.
Being quantitative, strategies where discussed tend to be mean reversion or momentum based. Technical analysis isn't used as a driver for strategies. Ideas for potential quantitative strategies are discussed, but readers looking for up and running systems will need to look elsewhere.
Instead, Quantitative Trading shows the procedure for taking a strategy, combining it with correct test techniques, good execution tools and position management, and from that forming the basis for a genuinely successful home based quantitative operation.
Anyone who trades would benefit from this book as many of its discussed issues, techniques, tips and traps are universal to any trader.

0 of 1 people found the following review helpful:

2.0 out of 5 stars Basic knowledge, not worth the price, June 8, 2009

By	Stochess (Hong Kong, China) - See all my reviews

It is not that 'Quantitative' though it does describe ' how to build your own algorithmic trading business', in one word - disappointed !