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 by means of a pro practitioner. What units this publication except many others within the area is the emphasis on actual examples rather than simply idea. suggestions should not in basic terms defined, they're dropped at lifestyles with genuine buying and selling techniques, which offer the reader perception into how and why every one approach was once built, the way it was once carried out, or even the way it used to be coded. This publication is a priceless source for an individual trying to create their very own systematic buying and selling thoughts and people eager about supervisor choice, the place the data contained during this ebook will bring about 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 great choice of suggest reversion and momentum recommendations, Ernie explains the explanation at the back of each, exhibits the way to try it, how you can increase it, and discusses implementation concerns. His booklet is a cautious, designated exposition of the medical process utilized to procedure improvement. For severe retail investors, i do know of no different e-book that offers this variety of examples and point of aspect. His discussions of the way regime alterations have an effect on recommendations, and of hazard administration, are worthy bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader

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

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I mention VPS only because many trading programs are not so computationally intensive as to require their own dedicated servers. But if they are, you can certainly upgrade to such services at many of the hosting companies familiar with the requirements of the financial trading industry such as Equinix and Telx, both of whom operate data centers in close proximity to the various exchanges. If your server is already in a secure location (whether that is your office or a data center) and is immune to power outage, then all you need is a fast connection to your broker or the exchange.

Aside from the institutional platforms mentioned here, many retail traders are familiar with MetaTrader, NinjaTrader, Trading Blox, or TradeStation Easy Language. I have not tried all of these platforms personally, but I have a lingering suspicion that despite the apparent ease of use and other advantages I mention later, they all in some way place some limitations on the type of strategies that can be backtested and executed. Requiring just slightly more skills than programming in VB, traders will find the scripting languages of MATLAB, R, and Python offer vastly more ease of debugging, much greater flexibility in the type of strategies that can be backtested, and higher efficiency in backtesting large data sets.

Otherwise, there are much more affordable solutions from vendors such as Newsware. I will discuss more on the topic of event-driven trading in Chapter 7. Does the Platform Have Complex Event Processing? ALGORITHMIC TRADING 36 Complex event processing (CEP) is a fashionable term to describe a program responding to an event instantaneously and taking appropriate action. The events that concern us are usually the arrival of a new tick, or the delivery of a news item. For an algorithmic trader, one important point is that the program is event driven, and not bar driven.

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