Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading) Hardcover – 16 Sept. 2021

very good book!

I read this book because I was interested in what exactly quantitative traders do. I would say that the overview of what backtesting is, what exactly a quantitative trader does, and some different strategies for quantitative trading. Aswell as outlining ways to start your own quantitative fund. The only reason I put 4 stars instead of 5 was because the code is sometimes quite hard to understand what is happening and how the returns are calculated from the data set. This is coming from someone who hasn't used matlab much, but I didn't really try the python (or R) versions of the code given in the book so it may just be my experience.

The maths in the book was more often-than-not beyond me, however don't let that put you off, the content around cointegrated stocks is worth reading the book alone.

This book is complete and utter rubbish. It is so badly written, the author clearly has no ability to write English properly, there are so many grammatical errors.The content itself is wafer thin, you could fit everything into a pamphlet (less than 100 pages of insight). The author has padded out the book, with pages and pages of horrendously written python code.The layout is abysmal. I suspect there is only about 100 pages of actual text to read here.The code is so bad, no software engineer would write the code in this way. The actual content is no better than Wikipedia, you can save yourself a lot of money and go read about Pairs Trading and Backtesting on Wikipedia and be done with it. Wikipedia has a far more detail than this book.Furthermore, at the time of reading the book, all the links in the book to his external website, were broken.In the preface to the book, the author cites many stories of traders trading successfully with as bare little as Excel, but he does not offer a single example or case study of ANYBODY doing so in the book, or having any success with algo-trading. I have no idea why people are recommended anything by this author.I also checked and he has no track record of being able to outperform the market. I suspect the positive reviews for this book were from the publisher, and by people that have absolutely no clue about trading at all.Don't waste your time, effort and money with this book. I should also note, the author wastes no time in trying to promote other services he runs. It's clearly one big advertisement.The author does not deserve any kind of reputation in this space, if this book is representative of his credibility or authority on the subject.

I had some experience coming in, a few years working at an exchange, half decade of discretionary trading and over a decade of programming experience.Math has always been an embarrassment so the idea of being a `quant` is somewhat laughable.But I think if you've paid the market tuition, waded through the valley of unprofitability and made it out the other side, if systems architecture isn't an obstacle but an edge for you, then it does appear that computers are decent enough calculators and equations can be fairly intuitive, once you have enough context for the numbers and real world experience of the mechanics.A year or so ago left a job to focus on liquidation bots and discretionary trading, and over time have automated more of the trading set up to remove some of the input lag and emotion. Having gradually accumulated the liquidity and experience to stomach the position sizing, decided to go full time at managing an account with 1 customer.The market taught me enough over the early years of losing money to know it is worth trying to learn as much as possible, ideally from the mistakes of others, and so am going over books more focused on the business considerations, that might highlight any bind spots for someone so focused on the mechanics.Was gifted a copy of his older book `Algo trading: Wining strategies and their rational`, which focuses more specifically on strategy implementations. I liked his approach to back testing, as I have seen (and still see) professionals fail to account for liquidity at price, slippage, front/back running and price impact. I would expect a more and so does Chan. That is one of his strengths, he is thoughtful and considerate in the right places.He might not be the best programmer, some of that could be dumbing it down for the sake of readability, which is very common, but that does seem the weakest of his 3 pillars (coding, math, trading, really need at least 2/3).He's clearly wade through the valley (of the markets) enough to understand the limitations of his math theory, which is his edge.For someone like me who lacks in that area, his books offer a fair amount of food for thought, while not only being incredibly accessible but still acknowledging realities of live trading with your own money that a lot of the academic theory seems to ignore.But this book is definitely a light overview more than a comprehensive guide, so if looking for in technical implementations, guides on charting or trading psychology, that's not here (though all are touched on).Another weaknesses could be a slight tendency to advertise (though always in context) or drop anecdotes and then shelve their relevance. There is perhaps some ego there, but it's not arrogance and some ego is needed to have that desire to share much of anything in the way of specifics.Ernie Chan is liberal with ideas under the assumption of share and share alike. That he will receive as much food for thought from his readers as he gives out.And I can believe that, it's something I've felt when sharing mechanics on liquidation bots. Quiet often, if what I'm willing to share is useful to you in isolation, then you are not an immediate threat to me in that area.Because it really is never about the strategy as much as it is the implementer, their experience to that point, and level of comfort with the realities involved.And while you might know something they don't if you have some humility, they will often have something to offer you that when paired with your edge, and your experience in what to optimise or solve for, can be of greater immediate use.Chan, alludes to this when suggesting someone might have been willing to share a decent idea with him as they didn't expect he could aim a fund with $100 mill in capital at it.Definitely worth browsing the accompanying material and going over blog links listed along with any strategies and examples, as I think that is where the book shines (and honestly something every decent book on trading has in common), there are so many great ideas and personal insights littered through out but nothing taken on face value is going to be of much use, even less so for anyone who is not already at least a competent trader with some experience across cycles.Where as if you have risk management and realistic expectations, if you have the context to know where to make tweaks, can adapt to the markets and instruments you trade, if you can read between lines here and there, then there's a ton to work with.