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Algorithmic Trading

| Released : May 28, 2013

(Hardcover)

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A practical, example-driven guide to building systematic trading strategies, featuring real mean reversion and momentum models. It covers strategy logic, testing, refinement, implementation, regime shifts, and risk management—ideal for traders developing or improving their own algorithmic systems....

ISBN-10

9781118460146

ISBN-13

978-1118460146

Weight (pound)

14.1 ounces

Dimensions (inch)

6.1 x 0.8 x 9.1 inches

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About the Book

Algorithmic Trading by Dr. Ernest P. Chan is a highly regarded and practical guide to building, testing, and implementing systematic trading strategies using quantitative methods. Written by a seasoned practitioner with deep experience in both institutional and independent trading environments, the book stands out for its strong emphasis on real-world examples rather than abstract theory.

Unlike many books that focus primarily on mathematical models, Algorithmic Trading brings concepts to life through actual trading strategies. Each strategy is explained from idea generation to execution, showing readers why the strategy works, how it was developed, how it was tested, and how it can be implemented in code. This hands-on approach allows readers to understand the complete lifecycle of a quantitative trading system.

The book explores a carefully selected range of mean reversion and momentum strategies, demonstrating how to:

Formulate trading hypotheses
Backtest strategies using historical data
Improve and refine performance
Address execution, transaction costs, and slippage
Manage risk and portfolio exposure

A key strength of the book is its application of the scientific method to trading strategy development. Dr. Chan emphasizes disciplined research, statistical validation, and continuous evaluation, helping traders avoid common pitfalls such as overfitting and data mining bias. The book also provides valuable insights into market regime changes and how shifting conditions can impact strategy performance.

Highly practical and detail-oriented, Algorithmic Trading is especially valuable for serious retail traders seeking to build their own systematic strategies. At the same time, it serves as an excellent resource for investors and professionals involved in manager selection, offering the knowledge needed to evaluate quantitative trading approaches with greater confidence and sophistication.

Praised by industry experts for its clarity, depth, and realism, Algorithmic Trading remains an essential reference for anyone interested in quantitative and algorithmic trading, bridging the gap between theory, research, and real-market execution.