By Ernie Chan
"Algorithmic buying and selling is an insightful ebook on quantitative buying and selling written via a pro practitioner. What units this ebook except many others within the house is the emphasis on actual examples in place of simply thought. suggestions aren't merely defined, they're delivered to existence with real buying and selling recommendations, which offer the reader perception into how and why every one process was once constructed, the way it was once carried out, or even the way it was once coded. This publication is a beneficial source for somebody seeking to create their very own systematic buying and selling ideas and people keen on supervisor choice, the place the data contained during this publication will result in a extra educated and nuanced dialog with managers."
—DAREN SMITH, CFA, CAIA, FSA, dealing with Director, supervisor choice & Portfolio development, college of Toronto Asset Management
"Using a good number of suggest reversion and momentum concepts, Ernie explains the reason at the back of each, exhibits the way to try out it, the right way to increase it, and discusses implementation concerns. His booklet is a cautious, targeted exposition of the clinical process utilized to approach improvement. For critical retail investors, i do know of no different e-book that offers this diversity of examples and point of aspect. His discussions of ways regime alterations impact options, and of possibility administration, are valuable bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader
Read or Download Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading) PDF
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Additional resources for Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading)
Pick an institutional special-purpose platform like Deltix, QuantHouse, Progress Apama, or RTD Tango. • “I am an experienced, discretionary, independent trader, and I want to automate my strategies. ” Pick a retail special-purpose platform like MetaTrader, NinjaTrader, Trading Blox, or TradeStation. • “I am a quant who is great with strategy research using MATLAB. com for other brokers, or MATFIX for FIX connections. ” Try one of the IDEs such as Marketcetera, TradeLink, AlgoTrader, or ActiveQuant.
It is not easy, though, to find a historically accurate list of hard-to-borrow stocks for your backtest, as this list depends on which broker you use. As a general rule, small-cap stocks are affected much more by short-sale constraint than are large-cap stocks, and so the returns of their short positions are much more suspect. Bear in mind also that sometimes ETFs are as hard to borrow as stocks. I have found, for example, that I could not even borrow SPY to short in the months after the Lehman Brothers’ collapse!
To do this, you will be required to input many months of tick data (trades and quotes), maybe on many symbols, into the backtesting platform. Worse, sometimes you have to input level 2 quotes, too. 3 Multithreading and High-Frequency Trading of Multiple Symbols Multithreading for a trading platform means that it can respond to multiple events (usually the arrival of a new tick) simultaneously. This is particularly important if the program trades multiple symbols simultaneously, which is often the case for a stock-trading program.