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By some estimates, quantitative (or algorithmic) trading nowaccounts for over one-third of trading volume in the United States.While institutional traders continue to implement this highlyeffective approach, many independent traderswith limitedresources and less computing powerhave wondered if they canstill challenge powerful industry professionals at their own game?The answer is "yes," and in Quantitative Trading, author Dr. ErnestChan, a respected independent trader and consultant, will show youhow.
Whether you're an independent "retail" trader looking to startyour own quantitative trading business or an individual who aspiresto work as a quantitative trader at a major financial institution,this practical guide contains the information you need tosucceed.
Organized around the steps you should take to start tradingquantitatively, this book skillfully addresses how to:
Find a viable trading strategy that you're both comfortable withand confident in
Backtest your strategywith MATLAB®, Excel, and otherplatformsto ensure good historical performance
Build and implement an automated trading system to execute yourstrategy
Scale up or wind down your strategies depending on theirreal-world profitability
Manage the money and risks involved in holding positionsgenerated by your strategy
Incorporate advanced concepts that most professionals use intoyour everyday trading activities
And much more
While Dr. Chan takes the time to outline the essential aspectsof turning quantitative trading strategies into profits, he doesn'tget into overly theoretical or sophisticated theories. Instead, hehighlights the simple tools and techniques you can use to gain amuch-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 contentWeb site, epchan.com/subscriptions, which you'll have free accessto with purchase of this book.
As an independent trader, you're free from the con-straintsfound in today's institutional environmentand as long as youadhere to the discipline of quantitative trading, you can achievesignificant returns. With this reliable resource as your guide,you'll quickly discover what it takes to make it in such a dynamicand demanding field.
Praise for Quantitative Trading
"As technology has evolved, so has the ease in developingtrading strategies. Ernest Chan does all traders, current andprospective, a real service by succinctly outlining the tremendousbenefits, but also some of the pitfalls, in utilizing many of therecently implemented quantitative trading techniques."
PETER BORISH, Chairman and CEO, Computer TradingCorporation
"Dr. Ernest Chan provides an optimal framework for strategydevelopment, back-testing, risk management, programming knowledge,and real-time system implementation to develop and run analgorithmic trading business step by step in QuantitativeTrading."
YASER ANWAR, trader
"Quantitative systematic trading is a challenging field that hasalways been shrouded in mystery, seemingly too difficult to masterby all but an elite few. In this honest and practical guide, Dr.Chan highlights the essential cornerstones of a successfulautomated trading operation and shares lessons he learned the hardway while offering clear direction to steer readers away fromcommon traps that both individual and institutional traders oftensuccumb to."
ROSARIO M. INGARGIOLA, CTO, Alphacet, Inc.
"This book provides valuable insight into how private investorscan establish a solid structure for success in algorithmic trading.Ernie's extensive hands-on experience in building trading systemsis invaluable for aspiring traders who wish to take their knowledgeto the next level."
RAMON CUMMINS, private investor
"Out of the many books and articles on quantitative trading thatI've read over the years, very few have been of much use at all. Inmost instances, the authors have no real knowledge of the subjectmatter, or do have something important to say but are unwilling todo so because of fears of having trade secrets stolen. Erniesubscribes to a different credo: Share meaningful information andhave meaningful interactions with the quantitative community atlarge. Ernie successfully distills a large amount of detailed anddifficult subject matter down to a very clear and comprehensiveresource for novice and pro alike."
STEVE HALPERN, founder, HCC Capital, LLC