Algorithmic Trading

Ernest Chan writes for practitioners, not academics. This book is less about theory and more about what actually works at the retail level — which is refreshing.

What I took away

The chapters on backtesting bias — look-ahead bias, survivorship bias, overfitting — are worth the price of the book alone. Chan is rigorous about these pitfalls in a way most trading books aren't.

Limitations

Some of the specific strategies feel dated, and the code examples are in MATLAB which is less useful today. But the underlying methodology transfers cleanly to Python.