Quantitative trading systems reading notes

Written by Keith McDonnell. Last updated on Thursday, April 04, 2013.

= Questions

What is a stock split?

What is a Donchian breakout?

What is the stochastic oscillator?

= Action points

Find other volatility measures, eg VXO, VXN

Compare the Sharpe & Treynor ratio

= Notes

Quantitative analysis is the application of mathmatically based trading system
models to financial data

Fundamental data is unusable due to its subjective nature
based on the premise that a security has an intrinsic underlying value

Technical analysis

Patterns must

Financial time series are difficult to model because trading systems affect the
market in which they operate. The market learns about a trading
system and adapts to negate the effect of that system.


Trading system overview

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