Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading)

Excellent introductory book

Very well known book that is very straightforward and offers good dose of reality. I’d highly recommend this book if you shifting more quant focused.

The book gives a high level overview of the quantitative trading world. You won’t find any information not available on Investopedia. What you get is the opinion of author on various topics and approaches and promotion of other products Mr. Chan develops. Many of the topics listed on the Contents are just briefly touched.Personally I can’t say this is a must read book, but wouldn’t call it a waste of time either as you still may pick up a few insights.

Lots of math speak but great info on how to get setup and start a new business. Good read to get started

This book essentially condensed and shaved off years of trial and error on the pursuit to becoming a quant. BEAUTIFUL!

The book contains everything you need to start testing quantitative strategies while going over common pitfalls. As a 20 year wall street veteran working at major banks and $50b+ hedge funds I can say this is one of most practical and applicable bookes I’ve read along with Tulchinsky’s Finding Alpha. Keep it simple.

On the plus side, I learn quite a bit about basics of trading terminology and concepts (e.g., Sharpe Ratio, Kelly criterion), and the math underneath.However, the accompanied code snippets would require much more improvements:* Not all code or referenced excel files are available for download. (i.e., broken links in some case)* The code looks scrappy. Not consistently indented and often contains commented out lines of code.I would urge the author should get these fixed, because at the end of the day you want to execute these trading algorithms to backtest or even trade in the real world, and see how they perform.Besides, I also found some mathematical deductions to be a bit hand wavy (e.g., why in practice it's OK to simply the covariance matrix), as in the reasoning for some theories are not super convincing, although seems reasonable at a high level. I guess it's just a matter of fact you couldn't possibly include all mathematical deductions in a book which is supposed to be friendly to novice.Anyhow, I will try to implement some strategies described in the book and see how well they backtest, and potentially revisit my 3-star rating here.

So far, most of the links to the examples, or references, are broken links.