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 way of a pro practitioner. What units this ebook except many others within the area is the emphasis on genuine examples in place of simply idea. thoughts will not be basically defined, they're dropped at existence with real buying and selling thoughts, which offer the reader perception into how and why every one procedure used to be built, the way it was once carried out, or even the way it was once coded. This booklet is a useful source for a person trying to create their very own systematic buying and selling suggestions and people fascinated about supervisor choice, the place the information contained during this ebook will bring about a extra knowledgeable and nuanced dialog with managers."
—DAREN SMITH, CFA, CAIA, FSA, dealing with Director, supervisor choice & Portfolio building, college of Toronto Asset Management
"Using a good choice of suggest reversion and momentum thoughts, Ernie explains the explanation in the back of each, exhibits the right way to attempt it, easy methods to increase it, and discusses implementation matters. His ebook is a cautious, particular exposition of the medical strategy utilized to process improvement. For severe retail investors, i do know of no different booklet that offers this variety of examples and point of aspect. His discussions of ways regime adjustments have an effect on thoughts, and of probability administration, are priceless 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 am using MATLAB’s Parallel Computing Toolbox, and I run my program on a GPU. ” Even with MATLAB’s Parallel Computing Toolbox, you are limited to handling 12 stocks simultaneously. Writing your own Java or Python program will allow true multithreading on a graphics processing unit (GPU). • “My IDE isn’t CEP enabled. ” Even platforms that are not CEP enabled often have callback functions that enable your program to be triggered by ticks. CHAPTER 2 The Basics of Mean Reversion W hether we realize it or not, nature is filled with examples of mean reversion.

3 Multithreading and High-Frequency Trading of Multiple Symbols Multithreading for a trading platform means that it can respond to multiple events (usually the arrival of a new tick) simultaneously. This is particularly important if the program trades multiple symbols simultaneously, which is often the case for a stock-trading program. You certainly don’t want your buy order for AAPL to be delayed just because the program is deciding whether to sell BBRY! If you write your own stand-alone trading program using a modern programming language such as Java or Python, you won’t have any problem with multithreading because this ability is native to such languages.

But less well known is the fact that they can be turned into execution platforms as well with the addition of some toolboxes. Most brokerages have APIs written in Java, C++, or C#; and, as I said earlier, MATLAB can call functions in APIs written in such languages, though it does take some familiarity with these languages 29 BACKTESTING AND AUTOMATED EXECUTION to know how to call these functions. If you would prefer a solution that obviates making “foreign-language” API calls in MATLAB, there are a number of commercial products available.

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