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Download e-book for iPad: Algorithmic Trading: Winning Strategies and Their Rationale by Ernie Chan

By Ernie Chan

"Algorithmic buying and selling is an insightful ebook 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 rather than simply concept. recommendations aren't in basic terms defined, they're dropped at existence with genuine buying and selling techniques, which offer the reader perception into how and why each one process used to be constructed, the way it used to be applied, or even the way it was once coded. This booklet is a useful source for someone seeking to create their very own systematic buying and selling options and people concerned with supervisor choice, the place the information contained during this publication will bring about a extra trained and nuanced dialog with managers."
—DAREN SMITH, CFA, CAIA, FSA, coping with Director, supervisor choice & Portfolio building, college of Toronto Asset Management
"Using an exceptional choice of suggest reversion and momentum thoughts, Ernie explains the reason at the back of each, exhibits tips to try out it, the best way to increase it, and discusses implementation concerns. His booklet is a cautious, designated exposition of the medical approach utilized to technique improvement. For critical retail investors, i do know of no different booklet that offers this diversity of examples and point of aspect. His discussions of ways regime adjustments have an effect on concepts, and of danger administration, are priceless bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader

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Extra info for Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading)

Sample text

This is because most industrial-strength live execution programs are “event-driven”; that is, a trade is triggered by the arrival of a new tick, not the end of an arbitrary time bar. So if the input historical data is also tick-based, we can also backtest a high-frequency strategy that depends on the change of every tick or even every change in the order book. (I said “in theory” assuming that your hardware is powerful enough. ”) Of course, we can backtest tick-based strategies in MATLAB by feeding every tick into the program as well, though that is quite a cumbersome procedure.

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? ” • “Your backtest of this momentum strategy seems to be without any pitfalls. ” (Continued ) 37 BACKTESTING AND AUTOMATED EXECUTION • “Your model performed brilliantly during November 2008.

To verify whether colocating in a virtual private server (VPS) actually reduces this latency, you would need to conduct a test yourself by “pinging” your broker’s server to see what the average round trip time is. Certainly, if your VPS happens to be located physically close to your broker or exchange, and if they are directly connected to an Internet backbone, this latency will be smaller. ) I mention VPS only because many trading programs are not so computationally intensive as to require their own dedicated servers.

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