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  1. #1
    bonnie1234's Avatar
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    [2009] Ernest Chan eBooks [Quatitative Trading]

    Quantitative trading - How to build your own algorithmic trading business - Chan 2009

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  2. #2
    Does anyone have a copy of his new book:

    [Only registered and activated users can see links. ]

    Algorithmic Trading: Winning Strategies and Their Rationale

  3. #3
    hi hchavezj - that book has only been published 10 days ago. You'll have to wait some months till its available.

  4. #4

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    Quote Originally Posted by hchavezj View Post
    Does anyone have a copy of his new book:

    [Only registered and activated users can see links. ]

    Algorithmic Trading: Winning Strategies and Their Rationale
    Now available for download only the files (.m and .mat) for the book. Instructions in the book on page 199.

  5. #5

    Algorithmic Trading: Winning Strategies and Their Rationale

    From the Inside Flap

    In his well-received first book Quantitative Trading, Dr. Ernest Chan addressed the essential techniques an algorithmic trader needs to succeed at this demanding endeavor. While some useful example strategies were presented throughout, they were not the main focus of the book.

    With this in mind, Dr. Chan has created a practical guide to algorithmic trading strategies that can be readily implemented by both retail and institutional traders alike. More than an academic treatise on financial theory, Algorithmic Trading is an accessible resource that blends some of the most useful financial research done in the last few decades with valuable insights Dr. Chan has gained from actually exploiting some of those theories in live trading.

    Engaging and informative, Algorithmic Trading skillfully covers a wide array of strategies. Broadly divided into the mean-reverting and momentum camps, it lays out standard techniques for trading each category of strategies and, equally important, the fundamental reasons why a strategy should work. The emphasis throughout is on simple and linear strategies, as an antidote to the over-fitting and data-snooping biases that often plague complex strategies. Along the way, it provides comprehensive coverage of:

    Choosing the right automated execution platform as well as a backtesting platform that will allow you to reduce or eliminate common pitfalls associated with algorithmic trading strategies
    Multiple statistical techniques for detecting "time series" mean reversion or stationarity, and for detecting cointegration of a portfolio of instruments
    Simple techniques for trading mean-reverting portfolios—linear, Bollinger band, and Kalman filter—and whether using raw prices, log prices, or ratios make the most sense as inputs to these tests and strategies
    Mean-reverting strategies for stocks, ETFs, currencies, and futures calendar and intermarket spreads
    The four main drivers of momentum in stocks and futures, and strategies that can extract time series and cross sectional momentum
    Newer momentum strategies based on news events and sentiment, leveraged ETFs, order flow, and high-frequency trading
    Issues involving risk and money management based on the Kelly formula, but tempered with the author's practical experience in risk management involving black swans, Constant Proportion Portfolio Insurance, and stop losses

    Mathematics and software are the twin languages of algorithmic trading. This book stays true to that view by using a level of mathematics that allows for a more precise discussion of the concepts involved in financial markets. And it includes illustrative examples that are built around MATLAB© codes, which are available for download.

    While Algorithmic Trading contains an abundance of strategies that will be attractive to both independent and institutional traders, it is not a step-by-step guide to implementing them. It offers a realistic assessment of common algorithmic trading techniques and can help serious traders further refine their skills in this field.

  6. #6
    Thank you very much for posting this! Really appreciate it.

    Quote Originally Posted by sriganeshh View Post
    From the Inside Flap

    In his well-received first book Quantitative Trading, Dr. Ernest Chan addressed the essential techniques an algorithmic trader needs to succeed at this demanding endeavor. While some useful example strategies were presented throughout, they were not the main focus of the book.

    With this in mind, Dr. Chan has created a practical guide to algorithmic trading strategies that can be readily implemented by both retail and institutional traders alike. More than an academic treatise on financial theory, Algorithmic Trading is an accessible resource that blends some of the most useful financial research done in the last few decades with valuable insights Dr. Chan has gained from actually exploiting some of those theories in live trading.

    Engaging and informative, Algorithmic Trading skillfully covers a wide array of strategies. Broadly divided into the mean-reverting and momentum camps, it lays out standard techniques for trading each category of strategies and, equally important, the fundamental reasons why a strategy should work. The emphasis throughout is on simple and linear strategies, as an antidote to the over-fitting and data-snooping biases that often plague complex strategies. Along the way, it provides comprehensive coverage of:

    Choosing the right automated execution platform as well as a backtesting platform that will allow you to reduce or eliminate common pitfalls associated with algorithmic trading strategies
    Multiple statistical techniques for detecting "time series" mean reversion or stationarity, and for detecting cointegration of a portfolio of instruments
    Simple techniques for trading mean-reverting portfolios—linear, Bollinger band, and Kalman filter—and whether using raw prices, log prices, or ratios make the most sense as inputs to these tests and strategies
    Mean-reverting strategies for stocks, ETFs, currencies, and futures calendar and intermarket spreads
    The four main drivers of momentum in stocks and futures, and strategies that can extract time series and cross sectional momentum
    Newer momentum strategies based on news events and sentiment, leveraged ETFs, order flow, and high-frequency trading
    Issues involving risk and money management based on the Kelly formula, but tempered with the author's practical experience in risk management involving black swans, Constant Proportion Portfolio Insurance, and stop losses

    Mathematics and software are the twin languages of algorithmic trading. This book stays true to that view by using a level of mathematics that allows for a more precise discussion of the concepts involved in financial markets. And it includes illustrative examples that are built around MATLAB© codes, which are available for download.

    While Algorithmic Trading contains an abundance of strategies that will be attractive to both independent and institutional traders, it is not a step-by-step guide to implementing them. It offers a realistic assessment of common algorithmic trading techniques and can help serious traders further refine their skills in this field.

  7. #7
    adelzadeh's Avatar
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    {2017} Ernest Chan {Machine Trading}

    [Only registered and activated users can see links. ]

    Dive into algo trading with step-by-step tutorials and expert insight
    Machine Trading is a practical guide to building your algorithmic trading business. Written by a recognized trader with major institution expertise, this book provides step-by-step instruction on quantitative trading and the latest technologies available even outside the Wall Street sphere. You'll discover the latest platforms that are becoming increasingly easy to use, gain access to new markets, and learn new quantitative strategies that are applicable to stocks, options, futures, currencies, and even bitcoins. The companion website provides downloadable software codes, and you'll learn to design your own proprietary tools using MATLAB. The author's experiences provide deep insight into both the business and human side of systematic trading and money management, and his evolution from proprietary trader to fund manager contains valuable lessons for investors at any level.

    Algorithmic trading is booming, and the theories, tools, technologies, and the markets themselves are evolving at a rapid pace. This book gets you up to speed, and walks you through the process of developing your own proprietary trading operation using the latest tools.

    Utilize the newer, easier algorithmic trading platforms
    Access markets previously unavailable to systematic traders
    Adopt new strategies for a variety of instruments
    Gain expert perspective into the human side of trading
    The strength of algorithmic trading is its versatility. It can be used in any strategy, including market-making, inter-market spreading, arbitrage, or pure speculation; decision-making and implementation can be augmented at any stage, or may operate completely automatically. Traders looking to step up their strategy need look no further than Machine Trading for clear instruction and expert solutions.

    [Only registered and activated users can see links. ]
    Personality and Trading Systems:
    The idea that using a methodology that suits your personality is an essential component of trading success also helps explain why most people lose money using trading systems they bought. Why is that true? Is it because most trading systems don’t work on data not used in their development? I am not implying that.Actually, I have no idea what percentage of trading systems sold to the public provide a market edge. But even if I assumed that more than 50 percent of the systems sold would be profitable if applied as instructed, I would still expect over 90 percent of the buyers of those systems to lose money trading them.
    Why? Because every trading system, regardless of the strategy employed, is going to hit periods when it does poorly. Now, if you buy a system, by definition, it has nothing to do with your personality or beliefs.In many, if not most, cases, you won’t even have any idea what drives the system’s signals. Consequently,the first time the system hits a bad period, you are not going to have the confidence to stay with the system,and you will stop trading it. That is why, invariably, most people who buy systems will end up losing:
    They will stop using the system when it goes through a bad period, and they won’t be there when the system recovers.


    Lessons from the Greatest Traders
    Book by Jack D. Schwager

  8. #8
    @mod,

    pls. put this post to the "old" Ernest Chan thread:

    [Only registered and activated users can see links. ]

    Sixer

  9. #9
    the link is dead. please upload

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