Preface ix
Chapter 1 Backtesting and Automated Execution 1
Chapter 2 The Basics of Mean Reversion 39
Chapter 3 Implementing Mean Reversion Strategies 63
Chapter 4 Mean Reversion of Stocks and ETFs 87
Chapter 5 Mean Reversion of Currencies and Futures 107
Chapter 6 Interday Momentum Strategies 133
Chapter 7 Intraday Momentum Strategies 155
Chapter 8 Risk Management 169
Conclusion 187
Bibliography 191
About the Author 197
About the Website 199
Index 201
ERNEST P. CHAN is the Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Chan received his PhD in physics from Cornell University and was a member of IBM's Human Language Technologies group before joining the financial industry. He was a cofounder and principal of EXP Capital Management, LLC, a Chicago-based investment firm. Chan is also the author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley) and a popular financial blogger at http://epchan.blogspot.com. Find out more about him at www.epchan.com.
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