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reader ì Winning Strategies and Their Rationale ´ Ernie Chan

Praise for Algorithmic Trading Algorithmic Trading is an insightful book on uantitative trading written by a seasoned practitioner What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory Concepts are not only described they are brought to life with actual trading strategies which give the reader insight into how and why each strategy was developed how it was implemented and even how it was So nearly four and half years after writing the first review of Dr Chan's first book I am back again writing the first review for his secondThings to note1 All the examples in the book are again in MATLAB so if you don't have MATLAB you will be at a disadvantage2 Whilst the title of the book includes the phrase Algorithmic Trading It like the first book doesn't actually show you how to connect a MATLAB model or system to the market so 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 shows you how to connect MATLAB to Interactive Brokers via a third party MATLAB interface3 Whilst the title doesn't use the word uant be assured the models are again from the uant school Readers from the TA school of school of oscillators Gann MACD etc are not catered forNow the book itselfIn the introduction Dr Chan makes it clear the book contains prototype strategies The book isn't a collection 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 presented strategy we are given a model using MATLAB code The code is only a snippet; you need to go to Dr Chan's website for the full codeMany of the models will need further work to accommodate the reader's circumstances but Dr Chan is clear that he isn't presenting complete models The book is essentially about why certain approaches to the market should work in theory given the maths and what we know about market operationsMany of the discussed strategies will be familiar to readers of Dr Chan's blog and his first book The main division in the book is between mean reversion and momentum strategies with mean reversion getting the greatest attentionDr Chan highlights the challenges facing traders of mean reversion particularly those focusing on pure stock pairs his preference now is towards ETFsAs you come to expect from Dr Chan his theories are well supported by maths and any reader will get a good primer on stationarity cointegration dickey fuller test and the Hurst ExponentMy SummaryI devoured the first book and spent many hours coding and testing the ideas that were presented This time around I felt there isn't much new content for a reader or practitioner with a reasonable interest in pair trading basket trading or a uant approach to momentum tradingIf you haven't read the first book then this is a better book It has been updated to reflect the market conditions of the last few years plus there are greater descriptions of the theory behind why some of these uant models work and ways in which we should look to improve them So in effect it is an ideal primer for the uant newbieAs a standalone book and with the knowledge the ideal reader is uant focused then the book is a fourReaders who already have the first book and maintain an interest in uant will probably feel a little short changed this time around

kindle Algorithmic Trading

Algorithmic Trading Winning Strategies and Their RationaleNale behind each one shows how to test it how to improve it and discusses implementation issues His book is a careful detailed exposition of the scientific method applied to strategy development For serious retail traders I know of no other book that provides this range of examples and level of detail His discussions of how regime changes affect strategies and of risk management are invaluable bonusesRoger Hunter Mathematician and Algorithmic Trad This is a great book targeted to people with an intermediate level of understanding of programming It covers topics ranging from back testing pitfalls to laying out detailed mean reversion and momentum strategiesThe book includes code samples for each strategy introducedSome readers have complained that the examples use Matlab which is uite pricey but as of the time of this writing April 2019 the author has also included python samples on his website

Ernie Chan ´ Algorithmic Trading: Winning Strategies and Their Rationale text

read Algorithmic Trading epub Û Kindle-editie ê [BOOKS] ✪ Algorithmic Trading: Winning Strategies and Their Rationale Author Ernie Chan – Goproled.co.uk Praise for Algorithmic Trading Algorithmic Trading is an insightful book on uantitative trading written by a seasoned practitioner What sets this book apart from many otCoded This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection where the knowledge contained in this book will lead to ainformed and nuanced conversation with managersDAREN SMITH CFA CAIA FSA President and Chief Investment Officer University of Toronto Asset Management Using an excellent selection of mean reversion and momentum strategies Ernie explains the ratio As a computational engineer that enjoys mathematical rigor I found this book to be too terse and hand wavy for my liking There was very little material that I could read without having to wade through the internet to find clear explanations of what was going on I understand that derivations of every single formula would cause an explosion of material but just asserting lines full of technical jargon and moving on adds little value to a diligent reader especially when they want to figure out why a strategy makes sense and is not using some ad hoc formula You can conjure a formula and tell me its pitfalls but if I have no idea the rational for how the formula came to be I wouldn't risk my money on any of itOthers have mentioned their ire at looking at sentences that describe jargon heavy mathematical relationships such as variance of the log of the prices increases slower than that of a geometric random walk variance is a sublinear function of time It merely means that the variance increases slower than normal diffusionI had no idea what geometric random walk and normal diffusion referred to and the author offers no explanation or references My preference would have been for the author to reduce verbose mathematical sentences to a few lines of mathematical text and instead spend precious text space describing in detail what terms like geometric random walk and normal diffusion meantAs for the MATLAB code with no comments terms like backshift were meaningless Even looking at the authors MATLAB repository did not help For example the function backshift returns a row of NaNs and some indexed values of argument x What am I supposed to make of this?? I can spend an hour trying to piece the intention of the author after wading through source files in a flat repository but to me it just seems like very lazy authorshipIn the end I believe the right audience for this book are people with very strong statistics and probability knowledge and who are familiar with the trading of different financial instruments and are looking to understand what's out there Even then they must be prepared to put considerable effort to piece things togetherFor novice readers I would recommend looking elsewhere before reconsidering this book as it still offers other valuable information such as the pitfalls of many trading strategies and limitations with backtesting