Algorithmic Trading - Winning Strategies and their Rationale : Review
The book broadly deals with two strategies, “mean reversion” and “momentum”.These strategies cover six chapters of the book, out of which four of them are on mean reversion and two of them are on momentum strategies. Besides these six chapter, there is one chapter on backtesting strategies and there is another on risk management.
Given the importance of backtesting in any strategy, the first chapter starts off with some of the pitfalls of backtesting.