一本浅显易懂的交易系统入门读物。
作者:ERNESTP.CHAN
英文 202页
不过比较简单。内有不少vba的代码和matlab的代码(交易策略)
Amazon链接:http://www.amazon.com/Quantitati ... iness/dp/0470284889
目录如下:
CHAPTER1 The Whats,Whos,and Whys of Quantitative Trading
Who Can Be come a Quantitative Trader?
The Business Case for Quantitative Trading
Scalability
Demand on Time
The Nonnecessity of Marketing
The Way Forward
CHAPTER2 Fishing for Ideas
How to I dentify a Strategy That Suits You
Your Working Hours
Your Programming Skills
Your Trading Capital
Your Goal
A Taste for Plausible Strategies and Their Pitfalls
How Does It Compare with a Benchmark and How Consistent Are Its Returns?
How Deep and Long Is the Drawdown?
How Will Transaction Costs Affectthe Strategy?
Does the Data Suffer from Survivor ship Bias?
How Did the Performance of the Strategy Change over the Years?
Does the Strategy Suffer from Data-Snooping Bias?
Does the Strategy “Fly under the Radar" of Institutional Money Managers?
Summary
CHAPTER3 Backtesting
Common Backtesting Platforms
Excel
MATLAB
TradeStation
High-End Backtesting Platforms
Finding and Using Historical Databases
Are the Data Split and Dividend Adjusted?
Are the Data Survivorship BiasFree?
Does Your Strategy Use High and Low Data?
Performance Measurement
Common Backtesting Pitfalls to Avoid
Look-Ahead Bias
Data-Snooping Bias
Transaction Costs
Strategy Refinement
Summary
CHAPTER4 Setting Up Your Business
Business Structure:Retail or Proprietary?
Choosing a Brokerage or Proprietary Trading Firm
Physical In frastructure
Summary
CHAPTER5 Execution Systems
What an Automated Trading System Can Do for You
Building a Semiautomated Trading System
Building a FullyAutomated Trading System
Minimizing Transaction Costs
Testing Your System by Paper Trading
Why Does Actual Performance Diverge from Expectations?
Summary
CHAPTER6 Money and Risk Management
Optimal Capital Allocation and Leverage
Risk Management
Psychological Preparedness
Summary
Appendix :A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian
CHAPTER7 Special Topic sinQuantitative Trading
Mean-Revertingversus Momentum Strategies
RegimeSwing
Stationarity and Cointegration
Factor Models
What Is Your ExitStrategy?
Seasonal Trading Strategies
High-Frequency Trading Strategies
Is It Better to Have a High-Leverageversus a High-Beta Portfolio?
Summary
CHAPTER8 Conclusion: Can Independent Traders Succeed?
Next Steps
Appendix A Quick Survey of MATLAB