Stock Quantitative trading Beginner record------Resource Collection

Seeking alpha:http://www.nuclearphynance.com/

Nuclear phunace:http://seekingalpha.com/

ssrn:http://www.ssrn.com/en/

First, information

Introduction to Nuggets Quantitative trading: http://forum.myquant.cn/t/topic/74

When doing system backtesting, be sure to quantify the performance of the system. The "industry standard" measure of the quantitative strategy is the maximum drawdown versus Sharpe ratio.

Maximum drawdown: A period of time (usually one year) the maximum decrease in the account's financial curve from peak to trough, often expressed as a percentage. Due to a large number of statistical factors, the LFT strategy is more expensive than the HFT strategy. The historical backtesting will show the biggest drawdown in the past, which can more closely reflect the future drawdown of the strategy.

The second metric is the Sharpe ratio: it is defined by heuristic as "the ratio of the excess return to the standard deviation of the excess return". Here, excess income means that the strategy proceeds exceed a predetermined benchmark, such as the $500 or March short-term Treasury bond (earnings) limit. Note that people do not usually use the annual income indicator because it ignores the impact of the volatility of the strategy, which is taken into account by the Sharpe ratio.

If backtesting, the sharp ratio of the strategy is very high and its largest capital drawdown has been minimized, it can be considered to be unbiased.

Recommended Books : http://forum.myquant.cn/t/quant/345

Quantitative Investment Books:

• "Quantitative Trading" Author: Ernie Chan This is a more comprehensive introduction, from the idea, back to the test, the establishment of trading system to the transaction;
• "Options, Futures, and other derivatives" John c. hull is known as the "Bible" in the field of financial derivative products, mainly about derivatives pricing, tools and methods;
• "Applied quantitative Methods for Trading and investment" Author: Dunis, Christian L./Laws, Jason/naim, Patrick a book written by a mentor is also recommended here. , Christian is a French old man, Jason is a British handsome, have more investment experience, applicable to investment practice books;
• "Statistical arbitrage" Author: Andrew Port Many innovative information, the introduction of the model is very beautiful, absolutely can extrapolate role;
• "Quantitative investment," the author: Dingpeng Quantitative Investment introduction of universal class, there are examples of theory, and domestic development is quite in line with;

To read and read at leisure:

• "Big Short" author: Michael Lewis Financial Market reshuffle period of reflection;
• "Extremely wealthy" author: Sebastian Mallaby hedge fund history;
• "Scott Patterson" Author: A book on the Alternative life of Wall Street's top number of financial masters;

Behavioral Finance, Trading psychology study " video ": http://forum.myquant.cn/t/topic/1656

Code naming rules for exchanges and securities in the Nuggets quantitative platform: http://forum.myquant.cn/t/topic/71

Market microstructure and high-frequency trading research paper: http://forum.myquant.cn/t/topic/1653

Interesting short-term tutu: http://forum.myquant.cn/t/topic/1566

What is a quantitative strategy? : http://myquant.cn/docs/what_is_it/

How do I develop a strategy? : http://myquant.cn/docs/how_to_do/

Strategic risk Control: http://myquant.cn/docs/risk_control/

Stock Quantitative trading Beginner record------Resource Collection