Quantitative Trading

Quantitative Trading by Ernest P. Chan introduces the practical work of developing and operating systematic trading strategies. It explains how to research an idea, backtest it against historical data and assess results using measures such as the Sharpe ratio. Mean-reversion and momentum approaches provide a starting point for understanding how mathematical models translate into trading rules. Chan also discusses data-snooping bias, transaction costs, software selection and the infrastructure needed for automated execution. Attention to risk management and operational failures helps readers assess the challenges of running a trading system beyond a backtest. It suits programmers, data scientists and mathematically inclined traders exploring independent quantitative trading, and it pairs well with our guides on trading systems and risk management.