Quantitative trading : how to build your own algorithmic trading business.

Cover
Title Page
Copyright Page
Contents
Preface to the 2nd Edition
Preface
Acknowledgments
Chapter 1 The Whats, Whos, and Whys of Quantitative Trading
	Who Can Become a Quantitative Trader?
	The Business Case for Quantitative Trading
		Scalability
		Demand on Time
		The Nonnecessity of Marketing
	The Way Forward
Chapter 2 Fishing for Ideas
	How to Identify a Strategy that Suits You
		Your Working Hours
		Your Programming Skills
		Your Trading Capital
		Your Goal
	A Taste for Plausible Strategies and Their Pitfalls
		How Does It Compare with a Benchmark, and How Consistent Are Its Returns?
		How Deep and Long Is the Drawdown?
		How Will Transaction Costs Affect the Strategy?
		Does the Data Suffer from Survivorship Bias?
		How Did the Performance of the Strategy Change over the Years?
		Does the Strategy Suffer from Data-Snooping Bias?
		Does the Strategy “Fly under the Radar” of Institutional Money Managers?
	Summary
	References
Chapter 3 Backtesting
	Common Backtesting Platforms
		Excel
		MATLAB
		Python
		R
		QuantConnect
		Blueshift
	Finding and Using Historical Databases
		Are the Data Split and Dividend Adjusted?
		Are the Data Survivorship-Bias Free?
		Does Your Strategy Use High and Low Data?
	Performance Measurement
	Common Backtesting Pitfalls to Avoid
		Look-Ahead Bias
		Data-Snooping Bias
	Transaction Costs
	Strategy Refinement
	Summary
	References
Chapter 4 Setting Up Your Business
	Business Structure: Retail or Proprietary?
	Choosing a Brokerage or Proprietary Trading Firm
	Physical Infrastructure
	Summary
	References
Chapter 5 ExecutionSystems
	What an Automated Trading System Can Do for You
		Building a Semiautomated Trading System
		Building a Fully Automated Trading System
	Minimizing Transaction Costs
	Testing Your System by Paper Trading
	Why Does Actual Performance Diverge from Expectations?
	Summary
Chapter 6 Money and Risk Management
	Optimal Capital Allocation and Leverage
	Risk Management
		Model Risk
		Software Risk
		Natural Disaster Risk
	Psychological Preparedness
	Summary
	Appendix: A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian
	References
Chapter 7 Special Topics in Quantitative Trading
	Mean-Reverting versus Momentum Strategies
	Regime Change and Conditional Parameter Optimization
	Stationarity and Cointegration
	Factor Models
	What Is Your Exit Strategy?
	Seasonal Trading Strategies
	High-Frequency Trading Strategies
	Is It Better to Have a High-Leverage versus a High-Beta Portfolio?
	Summary
	References
Chapter 8 Conclusion: Can Independent Traders Succeed?
	Next Steps
	References
A Quick Surveyof MATLAB
Bibliography
About the Author
Index
EULA