Reading notes on Quantitative Trading: How to Build Your Own Algorithmic Trading Business by Ernest Chan

Summary of chapter 2 Fishing for Ideas (p28-29)

  • How much time do you have for baby-sitting your trading programs?
    • several hours daily
  • How good a programmer are you?
    • skilled but not experienced
  • How much capital do you have?
    • very little
  • Is your goal to earn steady monthly income or to strive for a large, long-term capital gain?
    • steady monthly income
Strategy namebenchmark (1)Sharpe ratio (2)drawdown (3)survivorship (4)freshness (5)niche (6)
example Cyesyesnoyesnoyes
example Byesyesnoyesnoyes

Datasets (file, not as web-services)

Accessing data

Summary of chapter 3 Backtesting (p66-67)

Strategy nameDataPerformance measurementLook-ahead biasData-snooping biasTransaction costStrategy refinement
example B1yesnonoyesnoyes
example B2yesyesyesyesyesyes

To do

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