From someone with no background in quantitative trading I thought it provided a good introduction to the topic. However, I would have liked to have seen more design and implementation details of an algorithmic trading platform. The tools used in the book to describe the implementation of trading strategies are mostly primitive (e.g. excel) and not necessarily going to provide you a sustainable, semi or fully automated solution for trading quantitatively.
I guess I had preconceived ideas about what Quantitative Trading actually involved before picking up the book. In my mind in order to build an algorithmic trading business a degree of automation from the platform is required. I didn't get the design details for such a system from this book.
So unfortunately for me I may be on my own in designing this system.
A few other key points I took away were:
- Risk management is a key ingredient to preventing a strategy from sending you broke. How this is done seems straight forward and Ernie introduces the Kelly formula for this purpose.
- The last few pages of the book rationalise why independent traders can succeed over institutional managers and hedge funds. I am not going to repeat the reasons here as they reflect on Ernie's past working for hedge funds and now as an independent trader. What it did do is leave me with a feeling that I could one day be successful in this field.
- The model-based pairs trading strategy resonated with me. Certainly I am hopeful it will be possible to find co-integration between stock pairs fairly quickly
- As a discretionary stock trader there were many new concepts and techniques I picked up from the book that I haven't seen disclosed in other stock market / trading books (although I have only read a handful). This gives me some comfort that quantitative trading offers an edge over traditional methods.
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