How quant trading strategies are developed and tested w/ Ernie Chan
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- เผยแพร่เมื่อ 29 เม.ย. 2016
- EP 052: How quantitative trading strategies are created, scrutinized and introduced to the market w/ Ernie Chan
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seriously the best channel on youtube for trading relating information. this channel is the short cut to understanding an enormous amount of knowledge
Ernie is an absolute genius and quant rocket scientist. We are indeed fortunate that he graciously and generously chooses to share his exceptional intellect and insight.
+WallStWarLord - yeah, Ernie's great. I've also read one of his books, which was really good.
Ernie's books are the first to truly open me up to modern finance and trading. before his books there was nothing but heavy fog in my understanding. I'm really lucky that I landed on his material
does anyone know his performance stats?
Speak for yourself. I hate when ass kissers speak for others. He's a smart guy obviously but look at the facts and his success as trader rather than whatever his IQ or insights are. He knows what he's talking about it seems but at the end of the year people want the bottom line performance, regardless of intelligence level. Calm down cheerleader.
@@ChatWithTradersPodcast what's his books?
Absolutely hooked to this channel!
Excellent interview, thanks for posting and the lengthy duration.
Damn!! That was a great discussion. Love hearing Ernie talk candidly about quant trading
In no way a discussion, but Ernie was great to listen to as always.
He is so humble.
I like that he gets straight to the point in his books.
The value in this interview is ridiculous. Thanks
Thank you. The divisions made between mean reversion and momentum based approach was enlightening for me in addition to discretionary benefits compared to algorithmic. I am moving deeper into this area of trading I look forward to focusing on the data more and testing.
How did it go
Glad Ernie is willing to share his expertise
Of course though.. sharing expertise NOT the same as sharing "the system"..
I'm so glad I found this channel. I read Ernies book Algorithmic Trading the day I finished by degree. It was fantastic and the matlab coding examples are still available online even after all this time.
Have you developed a quant model to trade so far?? if yes how did it go
@@kwekuodum7271 Many many many.
Most of them failed due to classic over-engineering issues, others failed due to being too dependent on specific regimes.
I am managing a sizable sum of cash still but it's a mixture of approaches
1. Long/Short equity options portfolios (with some futures options added in)
2. My own Rebalancing portfolio designs with ETFs. ETFs are the best instrument, if you can imagine it, there is an ETF for it.
@louis Dwyer have you thought of using python machine learning and data structures to derive news feed from Bloomberg and other resources to influence your trading decisions or better put develop algo’s & quant models to trade on your behalf on the forex exchange market, because it very volatile and I think there’s a lot of potential there , that’s where Renaissance technologies capitalized more
are u saying quantifying news sentiment ?
Brilliant question mate 18:20
I really appreciate this episode. It is difficult with this channel sometimes. You interview a mix of very intelligent traders that provide valuable information; And charlatans.
Can you differentiate the charlatans? Curious how you know.
@@90deltaderivatives35 There's no rigid criteria - have to decide for yourself. Some heuristics could be: Do they have something to sell, from which they derive a majority of their income? Are they excessively self-promoting in the podcast? Do they lack relevant employment experience?
Extensive employment at well-known firms - like Ernie here - would be a good indicator of honesty.
@@We_Have_Ignition MAYBE.. BUT one could be blinded by the "job history " OR "accreditation" of the subject.. this type of charlatan is one that often gets over on "intelligent" people!
@@amgineco exactly my friend, that was kinda what I was getting at. I would consider myself to have a very good bullshit detector, but until someone gets extremely in depth into a subject you kind of truly never know, especially if they have a good tenure.
@@amgineco of course there are “vibes” and intuitive feelings into this as well.
Ep 52
Ernie
Position sizing is key.
Even if you're learning from someone you look up to, don't copy 100% because the teacher could withheld some crucial information.
If you want to get into quant start by automating and backtesting the simplest setups you know of.
Very honest discourse.
Awesome ... you asked very good questions!
Genius man.
Thanks!
Whats the historical performance of their strategies? Benchmark , Sharp ratio, etc?
"Fit well -> Over-fitting but lack of prediction power.
Make sure it's simple enough and sensible"
Causality ?
this is an excellent interview thank u for posting. is there a way that ernie provides training etc?
+Mr International - thanks, I'm glad you liked the interview. I believe Ernie does some workshops, he also writes on his blog and has a couple books. You can find links to all of this in the show notes here: chatwithtraders.com/ep-052-ernie-chan/
@@ThomasCCook I took a look at the EPAT program from your link. Having probably completed it by now, do you still recommend it? Any negatives? Thanks!
@@immortalsofar7977 YES. I highly recommend it. They have an incredible program for the cost. They have several free courses you can try via Quantra to get an idea of the quality of content. But yes, I highly recommend their program.
*47:25** ; **48:23*
*50:04** ; **50:31*
*52:52* ; *50:46*
I'd be interested in metrics of top level algo developer vs top level discretionary trader.
easy. just look at performance systematic funds like citadel vs [primarily] prop shops like jane st and family owned hedge funds.
in my exp, systematic beats discretionary except when discretionary has insider info
Insider info is against the rules of trade and shouldn’t be considered in a comment such as yours unless jealousy is a factor. Sometimes a group of intelligent traders may outperform algos in a server farm; that’s no reason to throw rocks in the glass house. Market is ever changing.
Good
Technical
1. General; advice - strategy
Isn’t the solution to having a model that works in practice is to dry test the model live in prod, seems like that is almost table stakes before running a strategy with live funds, assuming your strategy itself does not modify the market measurably
He mentions MatLab what about the Wolfram Language (a.k.a. Mathematica)?
Wow... i need this translated.
Here's some gold:
"Because of the lack of diversification for a discretionary trader, it is very likely that your Sharpe ratio will not be as high as a well diversified algorithmic trading portfolio"
In other words, algo trading is way harder than you originally anticipated.
how is that the implication from that statement? it is ideal to want a higher sharpe ratio
Seems rather intuitive - can't replace a book with a podcast but eh nice nonetheless
2022
wooo
All the Chinese were best on my MSc in financial mathematics course
🙏❤️
Can you add Turkish subtitles please
please, turn on CAPTION
Turned on.
he only spoke of backtest ,what about forward test,don't quants do in sample and out of sample testing ?
Yes, many of us do forward (validation) testing as well. For banking it is required.
@@DimitriBianco hello
Severn year old AI is like talking about Model T cars.
Harold?
Nope. Chinese Kumar.
for the fuck sake plz enable caption subtitle
I WANT TO LEARN QUANT TRADING
There is nothing to learn, u only need to experiment everything
@@raymondphilip6232 you tried everything
@@prashantpatadia2586 yep i tried everything and made my own system
@@raymondphilip6232 that's great
what lanaguages do you need to learn
Interest narrowed because of pile of money Ernie can earn.
Really wanted to know People without Maths Background Can they learn Quant Trading??
They just learn enough math to do it. It's quite small amount to learn.
NO
@@NM-ex4jk Not All , You need to cover Stochastic , Markov Chains , Complex Analysis ,Group Theory .....(and many other that I forget to mention)
@@NM-ex4jk All the info are avaible online for free , there's a reason why top Bank only hire PhD student for those job , and even in quant curriculum those course are clearly stated.
@@NM-ex4jk You was referencing about Quant and mention KhanAcademy (that's complete nonsense) , I do trade using Price Action not Quant and yes I'm aware that's only 5% of Trading but for this discussion, the remaining 95% doesn't matter as we are talking about Quant foundation , KhanAcademy can't provide you that , which real experience do you need for that (common sense perhaps...)?
Smart cat
Haha typical sign of failure in brownian motion, weiner process, ito lemma
ERNIE CHAN WORK FOR STARTRADERS.COM ASK DAVID LAUER. THANKS CLARENCE A WHITE.