Quantitative Trading: How to Build Your Own Algorithmic Trading Business by Ernest Chan

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The trading market is comprised of institutional traders and independent traders. It is no secret that institutional traders greatly impact and drive market prices. When they put their game on another level by developing algorithmic trading systems, can the independent traders keep up and put up a challenge against the giants?

The answer to that question lies deep in Ernest Chan’s Quantitative Trading. In this book, independent traders will be toured to the path to understanding quantitative trading and how they can build their careers as retail traders or quantitative traders in big firms. 

About the Author

Ernest Chan is a certified quantitative trader and an expert who also works as an adviser of institutional and independent traders seeking to improve and implement automated trading strategies. A researcher, writer, and trader, Chan continue to conquer the trading markets trading in the biggest trading firms.

Table of Contents

Quantitative Trading is a book replete with statistical trading concepts. It has the following chapters:

Chapter 1 The Whats, Whos, and Whys of Quantitative Trading

Who can become a Quantitative Trader?

The Business Case for Quantitative Trading

The Way Forward

Chapter 2 Fishing for Ideas

How To Identify a Strategy That Suits You

A Taste for Plausible Strategies and Their Pitfalls

Chapter 3 Backtesting

Common Backtesting Platforms

Finding and Using Historical Databases

Performance Measurement

Common Backtesting Pitfalls to Avoid

Transaction Costs

Strategy Refinement

Chapter 4 Setting Up Your Business

Business Structure: Retail or Proprietary?

Choosing a Brokerage or Proprietary Trading Firm

Physical Infrastructure

Chapter 5 Execution Systems

What an Automated Trading System Can Do for You

Minimizing Transaction Costs

Testing Your System by Paper Trading

Why Does Actual Performance Diverge from Expectations?

Chapter 6 Money and Risk Management

Optimal Capital Allocation and Leverage

Risk Management

Psychological Preparedness

Chapter 7 Special Topics in Quantitative Trading

Mean-Reverting versus Momentum Strategies

Regime Switching

Stationary and Cointegration

Factor Models

What is Your Exit Strategy?

Seasonal Trading Strategies

Chapter 8 Conclusion: Can Independent Traders Succeed?