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 -- How Good Is Your Programming Skill? -- Can Backtesting and Execution Use the Same Program? -- What Type of Asset Classes or Strategies Does the Platform Support? -- Does the Platform Have Complex Event Processing? -- 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 -- Volatility Futures versus Equity Index Futures: Redux -- 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.