Ernie Chan's Algorithmic Trading: Winning Strategies and Their Rationale PDF

By Ernie Chan

ISBN-10: 1118460146

ISBN-13: 9781118460146

"Algorithmic buying and selling is an insightful publication on quantitative buying and selling written via a pro practitioner. What units this publication except many others within the house is the emphasis on actual examples instead of simply thought. innovations are usually not in simple terms defined, they're dropped at lifestyles with genuine buying and selling suggestions, which offer the reader perception into how and why each one method was once constructed, the way it used to be carried out, or even the way it was once coded. This ebook is a beneficial source for someone seeking to create their very own systematic buying and selling thoughts and people all for supervisor choice, the place the data contained during this booklet will result in a extra knowledgeable and nuanced dialog with managers."
—DAREN SMITH, CFA, CAIA, FSA, handling Director, supervisor choice & Portfolio development, collage of Toronto Asset Management
"Using a good choice of suggest reversion and momentum concepts, Ernie explains the explanation in the back of each, exhibits the best way to try out it, tips on how to increase it, and discusses implementation concerns. His e-book is a cautious, precise exposition of the medical process utilized to procedure improvement. For critical retail investors, i do know of no different ebook that offers this diversity of examples and point of aspect. His discussions of ways regime alterations have an effect on ideas, and of probability administration, are precious bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader

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Additional resources for Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading)

Example text

This effectively prevents any short market orders from being filled. So, again, a really accurate backtest that involves short sales must take into account whether these constraints were in effect when the historical trade was supposed to occur. Otherwise, the backtest performance will be inflated. Futures Continuous Contracts Futures contracts have expiry dates, so a trading strategy on, say, crude oil futures, is really a trading strategy on many different contracts. Usually, the strategy applies to front-month contracts.

ALGORITHMIC TRADING 36 Complex event processing (CEP) is a fashionable term to describe a program responding to an event instantaneously and taking appropriate action. The events that concern us are usually the arrival of a new tick, or the delivery of a news item. For an algorithmic trader, one important point is that the program is event driven, and not bar driven. That is, the program does not go poll prices or news items at the end of each bar and then decide what to do. Because CEP is event driven, there is no delay between the occurrence of an event and the response to it.

Out-of-sample testing, cross-validation, and high Sharpe ratios are all good practices for reducing data-snooping bias, but none is more definitive than walk-forward testing. • Simple models are a simple cure for data-snooping bias. • “Why did my model generate a ‘short’ signal for THQI on 2012/7/9? ” • “Did your model just buy the stock CMC? ” • “I see that your model is long only. ” • “Your futures calendar spread model uses the differences in price to form the spread. ” • “Why is it that my mean-reverting intraday futures spread performed so well in backtest but so poorly in live trading?

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Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading) by Ernie Chan


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