Algorithmic Trading by Chan, Ernest P. -- Read -- Imperial Library of Trantor

Index

ALGORITHMIC TRADING CONTENTS PREFACE CHAPTER 1 Backtesting and Automated Execution

The Importance of Backtesting Common Pitfalls of Backtesting

Look-ahead Bias Data-Snooping Bias and the Beauty of Linearity Stock Splits and Dividend Adjustments Survivorship Bias in Stock Database Primary versus Consolidated Stock Prices Venue Dependence of Currency Quotes Short-Sale Constraints Futures Continuous Contracts Futures Close versus Settlement Prices

Statistical Significance of Backtesting: Hypothesis Testing When Not to Backtest a Strategy Will a Backtest Be Predictive of Future Returns? Choosing a Backtesting and Automated Execution Platform

CHAPTER 2 The Basics of Mean Reversion

Mean Reversion and Stationarity

Augmented Dickey-Fuller Test Hurst Exponent and Variance Ratio Test Half-Life of Mean Reversion A Linear Mean-Reverting Trading Strategy

Cointegration

Cointegrated Augmented Dickey-Fuller Test Johansen Test Linear Mean-Reverting Trading on a Portfolio

Pros and Cons of Mean-Reverting Strategies

CHAPTER 3 Implementing Mean Reversion Strategies

Trading Pairs Using Price Spreads, Log Price Spreads, or Ratios Bollinger Bands Does Scaling-in Work? Kalman Filter as Dynamic Linear Regression Kalman Filter as Market-Making Model The Danger of Data Errors

CHAPTER 4 Mean Reversion of Stocks and ETFs

The Difficulties of Trading Stock Pairs Trading ETF Pairs (and Triplets) Intraday Mean Reversion: Buy-on-Gap Model Arbitrage between an ETF and Its Component Stocks Cross-Sectional Mean Reversion: A Linear Long-Short Model

CHAPTER 5 Mean Reversion of Currencies and Futures

Trading Currency Cross-Rates Rollover Interests in Currency Trading Trading Futures Calendar Spread

Roll Returns, Backwardation, and Contango Do Calendar Spreads Mean-Revert?

Futures Intermarket Spreads

Volatility Futures versus Equity Index Futures

CHAPTER 6 Interday Momentum Strategies

Tests for Time Series Momentum Time Series Strategies Extracting Roll Returns through Future versus ETF Arbitrage

Cross-Sectional Strategies

News Sentiment as a Fundamental Factor Mutual Funds Asset Fire Sale and Forced Purchases

Pros and Cons of Momentum Strategies

CHAPTER 7 Intraday Momentum Strategies

Opening Gap Strategy News-Driven Momentum Strategy

Post–Earnings Announcement Drift Drift Due to Other Events

Leveraged ETF Strategy High-Frequency Strategies

CHAPTER 8 Risk Management

Optimal Leverage

Kelly Formula Optimization of Expected Growth Rate Using Simulated Returns Optimization of Historical Growth Rate Maximum Drawdown

Constant Proportion Portfolio Insurance Stop Loss Risk Indicators

CONCLUSION BIBLIOGRAPHY ABOUT THE AUTHOR ABOUT THE WEBSITE INDEX