If you want to build a real algorithmic trading strategy.. please pick up a real textbook such as Qian's Quantitative Equity Portfolio Management. You should u

If you want to build a real algorithmic trading strategy.. please pick up a real textbook such as Qian's Quantitative Equity Portfolio Management. You should understand the following concepts at a minimum: - Markowitz portfolio optimization (mean-variance analysis) - Beta-neutral portfolios (i.e. using MSCI BARRA, sector ETFs or PCA factors, etc) - Alpha decay - Time series analysis (autocorrelation, GARCH, ARMA processes) - Basic price-based signals (momentum, volatility, value, etc) - etc, etc.