Quantitative trading accounts for over half of the trading volume in the United States. There are dozens of books on the advanced mathematics utilised by institutional traders in this area. However, there are less resources available for retail traders seeking to utilise these techniques. Is it possible for an individual retail trader with limited resources and computing power to backtest and execute their own strategies? Many authors, including Ernest Chan in his book Quantitative Trading think so.
In the following series of posts, we will explore Chan's text and delve into the basics of quantitative trading. I will assume that the reader has a basic knowledge of statistics, programming and financial markets. The structure of the tutorials is as follows: