How quant trading strategies are developed and tested w/ Ernie Chan

EP 052: How quantitative trading strategies are created, scrutinized and introduced to the market w/ Ernie Chan

[schrodingerscat]

seriously the best channel on youtube for trading relating information. this channel is the short cut to understanding an enormous amount of knowledge

[WallStWarLord]

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.

[android]

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.

[purpledragon]

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.

[cetilly]

Damn!! That was a great discussion. Love hearing Ernie talk candidly about quant trading

[agedvagabond]

I like that he gets straight to the point in his books.

[RandyJohnson]

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.

[AshCampbell]

The value in this interview is ridiculous. Thanks

[Random_dudebro]

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.

[joecaldor]

Glad Ernie is willing to share his expertise

[DatDereBlueRidge]

I'd be interested in metrics of top level algo developer vs top level discretionary trader.

[M.G.R...]

*47:25** ; **48:23*
*50:04** ; **50:31*
*52:52* ; *50:46*

[datascify]

"Fit well -> Over-fitting but lack of prediction power.
Make sure it's simple enough and sensible"

[als]

Excellent interview, thanks for posting and the lengthy duration.

[answerth]

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.

[shoylu]

Whats the historical performance of their strategies? Benchmark, Sharp ratio, etc?

[trashwebsite_user]

Awesome ... you asked very good questions!

[revenge]

this is an excellent interview thank u for posting. is there a way that ernie provides training etc?

[kerrylitvin]

He mentions MatLab what about the Wolfram Language (a.k.a. Mathematica)?

[hamisintunzwenimana]

Good
Technical
1. General; advice - strategy