Download: Algorithmic Trading Winning Strategies Rationale eBook (ePub, KINDLE, PDF) + Audio Version


  • File Size: 2941 KB
  • Print Length: 224 pages
  • Publisher: Wiley; 1 edition (May 21, 2013)
  • Publication Date: May 21, 2013
  • Language: English

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Thus nearly four and 50 percent years after writing the first review of Dr Chan's first book I feel back again writing the first review for his / her second.

Things to note:

1 ) All the examples in the book usually are again in MATLAB, if you don't have MATLAB a person will be with a disadvantage.

2. Whilst the title of the book includes the phrase Algorithmic Trading. This, like the first guide, doesn't actually show a person how to connect the MATLAB model or method to the market therefore it can run as an algorithmic trading platform. This was a criticism of the first book. However , if you Google "MATLAB as an Automated Execution System" you'll find a paper that Dr Chan wrote that demonstrates how to connect MATLAB to Interactive Brokers through a third party MATLAB interface.

3. Whilst the title doesn't use the term quant, be assured the models are again through the quant school. Readers from the TA college of school of oscillators, Gann, MACD etc usually are not catered for.

Now the book itself:

Inside the introduction Dr Chan makes it clear the book contains prototype methods. The book isn't the variety of "strategy recipes" (his term) rather it's about why some strategies should work and how we can look to test and refine them. For each and every presented strategy we usually are given a model using MATLAB code. The code is usually only a snippet; a person need to go in order to Dr Chan's website for the full code.

Numerous of the models will need further work in order to accommodate the reader's conditions, but Dr Chan is usually clear that he isn't presenting complete models. Typically the book is essentially about why certain approaches in order to the market should work in theory given the "maths" and what we know about market operations.

Numerous of the discussed methods will be familiar in order to readers of Dr Chan's blog and his 1st book. The key division within the book is among mean reversion and energy strategies, with mean reversion getting the greatest interest.

Dr Chan highlights the challenges facing traders of mean reversion, particularly all those centering on pure stock pairs, his preference now is usually more towards ETFs.

Since you come to expect from Dr Chan his / her theories are well reinforced by maths and any kind of reader will get a good special primer on stationarity, cointegration, dickey fuller test and the Hurst Exponent.

My Summary:

We devoured the first book in addition to spent many hours coding in addition to testing the ideas that were presented. These times We felt there isn't much new content for the reader or practitioner together with a reasonable interest within pair trading, basket buying and selling or a quant approach to momentum trading.

If a person haven't read the 1st book, then this is the better book. It has been up-to-date to reflect the market industry conditions of the last couple of years, plus there usually are greater descriptions in the theory behind why a few of these relativement models work and methods in which we should look to improve them. So in effect costly ideal primer for the quant newbie.

As the standalone book and together with the knowledge the ideal reader is quant concentrated then a book is the four.

Readers who currently have the first guide and maintain an interest in quant will possibly feel a little short changed this time about., This is a comprehensive exposition of mean reversion and momentum-based trading methods. A lot of backtesting pitfalls usually are highlighted with examples. Quickly discusses forward-looking risk metrics, transaction costs and just how performance is affected whenever the strategies are exchanged interday / intra-day., An individual must have this guide if you want in order to be algorithmic trading. Ernie Chan is good code and he gives examples in Matlab. He describes a lot in information and concept for buying and selling, finance, and coding., I did not find much value here. Too expensive as nicely., Excellent book. Full of practical tips that could consider a novice costly yrs to amass., It's the very helpful book to realize and implement trading methods and to develop your own own. Talks about simple principles so you may generate new ideas., great product, Simplicity but together with more experience after 1st book using this author.
I liked the first book using this creator and this is great 2nd step.

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Algorithmic Trading Winning Strategies Rationale
Average Rating: 4.18
Votes: 13
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