I've recently read a book on quantitative trading, appropriately named "Quantitative Trading" by Ernie Chan. This is great book for those with some prior knowledge of math based trading, and Matlab.
It discusses in detail the two main trading strategies: 1) Trend-based algorithms, which try to find and trade in the direction of the trade, and 2) Mean-reverting strategies, which basically says that all securities (stocks, futures, forex) will eventually return to a mean value.... basically this is the good old "What goes up must come down" theory!
The two strategies are somewhat opposing, and Ernie even discusses a mathematical way of defining a market in trend vs. a market good to trade for mean-reverting strategies.
I have also been reading his blog epchan.blogspot.com, which I would recommend highly to traders interested in quantitative methods of trading.
I know I haven't posted in a while on trading topics, but I've been really busy studying for the Level 2 CFA exam coming up in June.... I promise more posts to come after my exam.
Happy Trading!
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