A quantitative trading system consists of four major components:

Strategy Identification - Finding a strategy, exploiting an edge and deciding on

trading frequency
Strategy Backtesting - Obtaining data, analysing strategy performance and removing
biases
Execution System - Linking to a brokerage, automating the trading and minimising
transaction costs
Risk Management - Optimal capital allocation, "bet size"/Kelly criterion and
trading psychology

The maximum drawdown characterises the largest peak-to-trough drop in the account
equity curve over a particular time period (usually annual). This is most often
quoted as a percentage.
LFT strategies will tend to have larger drawdowns than HFT strategies, due to a
number of statistical factors.

The second measurement is the Sharpe Ratio, which is heuristically defined as the
average of the excess returns divided by the standard deviation of those excess
returns. Here, excess returns refers to the return of the strategy above a pre-
determined benchmark, such as the S&P500 or a 3-month Treasury Bill.

An execution system is the means by which the list of trades generated by the
strategy are sent and executed by the broker. Despite the fact that the trade
generation can be semi- or even fully-automated, the execution mechanism can be
manual, semi-manual (i.e. "one click") or fully automated. For LFT strategies,
manual and semi-manual techniques are common. For HFT strategies it is necessary to
create a fully automated execution mechanism, which will often be tightly coupled
with the trade generator

The key considerations when creating an execution system are the interface to the
brokerage, minimisation of transaction costs (including commission, slippage and
the spread) and divergence of performance of the live system from backtested
performance

written in a high performance language such as C++ in order to do any real HFT

MATLAB, Excel and Tradestation are good for lower frequency, simpler strategies

statistical arbitrage is a heavily quantitative and computational approach to

equity trading. It involves data mining and statistical methods, as well as
automated trading systems.

Data mining is the computing process of discovering patterns in large data sets
involving methods at the intersection of machine learning, statistics, and database
systems.
The overall goal of the data mining process is to extract information from a data
set and transform it into an understandable structure for further use

In finance, mean reversion is the assumption that a stock's price will tend to move
to the average price over time.[1][2]

Using mean reversion in stock price analysis involves both identifying the trading
range for a stock and computing the average price using analytical techniques
taking into account considerations such as earnings, etc.

Trexquant is a quantitative investment firm focused on developing and trading

statistically-based medium-frequency equity strategies.

High-frequency trading (HFT) is a program trading platform that uses powerful

computers to transact a large number of orders at very fast speeds. It uses complex
algorithms to analyze multiple markets and execute orders based on market
conditions