Quantitative Trading - How to Build Your Own Algorithmic Trading Business.

【实例简介】
Quantitative Trading - How to Build Your Own Algorithmic Trading Business.
Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Quantitative Trading Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Founded in 1807, John wiley sons is the oldest independent publish- ing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and market ing print and electronic products and services for our customers' profes sional and personal knowledge and understanding The Wiley Trading series features books by traders who have survived the market's ever changing temperament and have prospered-some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future Foralistofavailabletitlesvisitourwebsiteatwww.wileyfinance.com Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Quantitative Trading How to Build your own Algorithmic Trading Business ERNESt。CIAN WILEY ohn wiley Sons, Inc Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Copyright o 2009 by Ernest P Chan. All rights reserved. Published by Jolul Wiley Sons, Inc, Hobokell New Jersey Published simultaneously in canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or oth erwise, except as periilled under SecTion 107 or 108 of the 1976 United Stales CopyrighT ACL, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc, 222 Rosewood Drive Danvers,Mao1923,(978)750-8400,fax(978)646-8600,oronthewebatwww.copyright.com Requests to the Publisher for permission should be addressed to the permissions department John Wiley sons, Inc, 1ll River Street, Hoboken, NJ 07030, (201)748-6011, fax(201)748 G008,oronlineathttp://www.wiley.com/go/permissions Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies con- tained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damage For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800)762-2974, outside the United States at. 17572-3399%or fax ( 317572-4002 Wiley also publishes its books in a variety of electronic formals Soine conlent Chal appears in print may not be available in electronic books. For more information about wiley products visitourwebsiteatwww.wiley.com Library of Congress Cataloging-in-Publication Data Chan Ernest p Quantitativc trading: how to build your own algorithmic trading busincss/Emest P Chan. p cm -(Wiley trading series) Includes bibliographical references and index. ISBN9780-470-28488-9( cloth 1. Inveslllenl alalysis Stocks. 3. STockbrokers. Tille HG4529C4452009 2.64dc22 2008020125 Printed in the united states of america 1098765432 Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come To my parents Hung yip and Ching, and to Ben Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come Contents Preface Acknowledgments CHAPTER 1 The Whats, Whos, and Whys of Quantitative Trading Who Can Become a Quantitative Trader? The Business Case for Quantitative Trading Scalability 12455 Demand on time The nonnecessity of Marketing The Way Forward chaPTEr2 Fishing for deas How to Identify a Strategy That Suits You 12 Your Working hot Your Programming skills 13 Your trading Capital Your goal 16 A Taste for Plausible Strategies and their Pitfalls I7 How does It Compare with a benchmark and How consistent Are Its returns? 18 How Deep and Long Is the draw 21 How Will Transaction Costs Affect the Strategy? 22 Does the data suffer from st rship bias? 24 How Did the performance of the strategy change over the Years? 24 Pl: JYS im JWBK321-Chan September 24, 2008 13: 43 Printer: Yet to come vII CONTENTS Does the strategy Suffer from Data- Snooping bias? Does the Strategy " Fly under the Radar"of Institutional Money managers 27 Summa 28 CⅢ APTER3 Backtesting Common Backtesting platforms 32 32 MATLAB TradeStation 35 High-End Backtesting Platforms 35 Finding and using Historical Databases 36 Are the Data Split and dividend Adjusted? 36 Are the data survivors hip bias free 40 Does Your Strategy Use High and Low data? Performance measurement 43 Common Backtesting pitfalls to Avoid 50 Look-Ahead bias 5I Data. Snooping Bias 52 Transaction costs 60 Strategy Refinement 65 Summary 66 CHAPTER 4 Selling Up Your Business 6」 Business Structure: Retail or Proprietary? 69 Choosing a Brokerage or Proprietary Trading Firm Physical Infrastructure 75 Summary 77 CHAPTER 5 Execution Systems 7 What an Automated Trading System Can Do for You 79 Building a Semiautomated Trading System BI Building a Fully Automated Trading Syster 84 Minimizing Transaction Costs 87 【实例截图】
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