Download Algorithmic Trading: Winning Strategies and Their Rationale by Ernie Chan PDF

By Ernie Chan

"Algorithmic buying and selling is an insightful booklet on quantitative buying and selling written by means of a professional practitioner. What units this ebook except many others within the house is the emphasis on genuine examples instead of simply thought. techniques should not purely defined, they're delivered to lifestyles with genuine buying and selling concepts, which provide the reader perception into how and why each one method was once constructed, the way it used to be applied, or even the way it was once coded. This e-book is a precious source for somebody trying to create their very own systematic buying and selling techniques and people considering supervisor choice, the place the data contained during this booklet will result in a extra proficient and nuanced dialog with managers."
—DAREN SMITH, CFA, CAIA, FSA, handling Director, supervisor choice & Portfolio development, college of Toronto Asset Management
"Using a superb number of suggest reversion and momentum recommendations, Ernie explains the reason in the back of every one, exhibits easy methods to try it, tips to increase it, and discusses implementation matters. His e-book is a cautious, specified exposition of the clinical technique utilized to procedure improvement. For critical retail investors, i do know of no different publication that gives this diversity of examples and point of aspect. His discussions of ways regime adjustments have an effect on ideas, and of probability administration, are worthy bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader

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

Example text

All you need to know about the nodes in a neural net is that the number of parameters to be fitted with in-sample training data is proportional to the number of nodes. With at least 100 parameters, we can certainly fit the model to any time series we want and obtain a fantastic Sharpe ratio. Needless to say, it will have little or no predictive power going forward due to data-snooping bias. Example 5: A high-frequency E-mini S&P 500 futures trading strategy has a backtest annual average return of 200 percent and a Sharpe ratio of 6.

Com, or gogrid. com. The advantage of doing so is to prevent power or Internet outages that are more likely to strike a private home or office than a commercial data center, with its backup power supply and redundant network connectivity. , Verizon’s FiOS in the United States, and Bell’s Fibe Internet in Canada). To verify whether colocating in a virtual private server (VPS) actually reduces this latency, you would need to conduct a test yourself by “pinging” your broker’s server to see what the average round trip time is.

Com offers a bridge from MATLAB or R to 15 or more brokers for a monthly fee. A free, open-source MATLAB API for connecting to Interactive Brokers was developed by Jev Kuznetsov and is available for download from MATLAB Central’s File Exchange. com lets your MATLAB program send orders using the Financial Information eXchange (FIX) protocol to brokers or exchanges. NET functions in QuickFIX, an open source FIX engine (Kozola, 2012). For Python users, the free, open-source software IbPy will connect your Python trading program to Interactive Brokers.

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