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I unfortunately can't point you to a great book on the exact subject that you're describing. The closest thing for beginners is "Quantitative Trading". It's a reasonable introduction, but I really wouldn't recommend it as a primary source. The author is at best incomplete (if not misleading) on a number of issues.

My favorite book at the moment is Expected Returns by Antti Ilamen with a foreward by Cliff Asness of AQR. This really gets into the strategies employed by most quantitative managers, and presents it in a framework that allows you to move forward in your own investigations. That said, while it can serve as a model, it won't directly address methodological issues.

At the end of the day, nothing beats self-understanding. If you want to succeed in quantitative investing, spend the time to understand statistical methods. You can get reasonably far by understanding basic finance (modern portfolio theory, etc.), but a deeper understanding requires knowledge of economics and statistics.

Of course, this site (along with Willmott and NuclearPhynance) can serve as a guide. See "key risks in strategy development" for starters.

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