Quantitative Trading: How to Build Your Own Algorithmic Trading Business,
By Ernie Chan
Quantitative Trading is a welcome addition to any trader or fledgling’s toolkit, as they navigate the seemingly endless YouTube and email requests to buy software; which promise to provide the coveted magic formula for good trades. The guide doesn’t disappoint those who hold high expectations of a book penned by a man with not only a solid record with financial giants Morgan Stanley, but no less than a Physics PhD, equipping him as he gets right down into the dirtiest algorithmic corners that need some light shed on them (it’s probably more fun than it sounds)!
With mostly five star reviews, author Ernest P. Chan has built the essential practicality into this read with instructions for creating a winning system as well as including what many really want to know – did it actually work in practice for him? The answer is a resounding yes as Chan gives us an insight into his journey.
As respected industries become stuck in their ways, Quantitative Trading responds to the ‘do it yourself’, user-driven trend of finding a way of doing it better, then operating your system from a beach in your pyjamas making it a key piece of armoury in the ‘going independent’ battle. Chan even addresses these concerns with his conclusion entitled ‘Can Independent Traders Succeed?’ and a ‘Next Steps’ section, leaving us buoyant and inspired as we forge on beyond research to action.
Before he gets to that million dollar question of whether or not success is viable, Chan pretty much has us covered on the technical aspects of setting up a system as well as where to focus our efforts. Chapter 1 is The Whats, Whos, and Whys of Quantitative Trading which lays the knowledge foundation from scratch as well as acting as a useful plug for any gaps that even the most confident of traders may have. Chapter 2: Fishing for Ideas may be one of the most useful parts of the book for Trading newcomers as it offers us practical routes to striking gold much quicker than coming across the things that work after much floundering around. Chapter 3: Backtesting sticks to Chan’ tone by being refreshingly easy to digest whilst Chapter 4: Setting up Your Business begins to open readers up to the ‘meat’ of building a robust foundation, still served up in an easy-to-understand format. Chapter 5: Execution Systems includes information on the algorithms themselves, the part of the book many will want to race ahead to. Chan paces us well, ending the ‘how-to’ aspect of the book with Chapter 6: Money and Risk Management to rein us in as we buzz and brim with ideas. Chapter 7: Special Topics in Quantitative Trading includes a section on exit strategies, something often overlooked by authors and advisors in this area.
The consensus on Chan’s ‘how-to’ is a balanced, helpful and accessible read – so go grab it!
Review by Andrea Photiou