Algorithmic Trading book cover by Ernest P. Chan
Book

Algorithmic Trading

Winning Strategies and Their Rationale

Ernest P. Chan

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Algorithmic Trading is Ernest P. Chan's book of mean-reversion and momentum examples, with the testing and implementation problems attached. ChartClub lists the May 2013 Wiley edition. An example strategy is not a live business.

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Listing facts checked 2026-10-10.

Author
Ernest P. Chan
Publisher
Wiley
Year
2013
Pages
224

Key takeaways

  • This is the May 2013 edition, not Quantitative Trading.
  • Examples include the reasons a rule can fail.
  • A backtest in the book is not the reader's performance.
Wiley dates ISBN 978-1-118-46014-6 to May 2013, 224 pages. The subtitle is Winning Strategies and Their Rationale. Chan walks through why a rule might have worked, how he would test it, and what breaks in implementation. The cover of this edition also marks companion website material. The examples are teaching cases from the period of the book. Regime change, costs, and data errors are part of the text for a reason. ChartClub does not treat a published backtest as a result the reader will earn. This is a different book from Chan's Quantitative Trading. Read this one for strategy rationale. Read that one for the business of running a systematic process.

Tags

  • algorithmic-trading
  • quantitative-trading
  • backtesting

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