Quantitative trading

This is the note on all the things i learned while reading the book Quantitative Trading by Ernest Chan

What is Quantitative trading

Trading of stock through algorithmic strategy automated by programming.

Basic

how to find the right strategy for me

work hours

automation can turn a seemingly full time endeavour to part time.

programming skill

need some programming expirence to trade in high frequency. Otherwise stick to once a day trade.

Trading capital

Preferabily 50,000+, 100,000+ is consider high capital Capital also determines how you are going to trade.

def

Information Ratio =

Average of excess returns
/
Standard Deviation of Excess Returns

def

Excess Returns =

Portfolio returns


Benchmark Returns

Benchmark returns are market index of security you are trading belong