Quantitative Trading: How To Build Your Own Algorithmic Trading Business

The book brings up key topics in developing quantitative models such as problems of overfitting and regime shifts. However, I doubt anything in the book would result in consistent profits. The author puts forth cointegation as a useful way too model price behavior; however, his metric in analyzing whether time series are cointegrated doesn't look right. Nevertheless, it is a good primer to developing quantitative trading models.