Presentation on theme: "How to Succeed in Quant Trading Business with a lot of trying"— Presentation transcript:
1How to Succeed in Quant Trading Business with a lot of trying Ernest Chan, Ph.D.QTS Capital Management, LLC.
2About me Cumulative Profits > $2MM B.Sc. (Physics, U of T) Ph.D. (Physics, Cornell)IBM Research (Statistical pattern recognition, NY, 1994)Morgan Stanley (Data mining, NY, 1997)Cumulative Profits = N/ACredit Suisse (Stat Arb, NY, 1998)Mapleridge Capital (Futures, Toronto, 2002)Millennium Partners (Stat Arb, NY, 2003)Maple Securities (Stat Arb, NJ, 2003)Cumulative Profits < -$2MME.P. Chan & Associates (Everything, Toronto, 2006)EXP Capital Management (Everything, Toronto/Chicago, 2008)QTS Capital Management (Forex, Niagara-on-the-Lake, 2011)Cumulative Profits > $2MMCould you please raise your hand if you are already a reader of my book or my blog?
3Along the way … Quantitative Trading blog epchan.blogspot.com, 2006). “Quantitative Trading” book published by John Wiley & Sons, 2008.Ongoing workshops in London, Hong Kong, Singapore.
4The 10,000-hour rule“10,000 hours of practice is required to achieve the level of mastery associated with being a world-class expert” – Malcolm Gladwell : after about 10,000 hours of trading research and practice, I finally reached consistent profitability!
5Key ingredients Learn from others: Blogs, books, papers, magazines, online forumsPartners, clients (!), spouse (!)Readers (!)Workshop participants (!)Emotional detachment from daily profits.Look for fundamental principles of financial marketsE.g. mean-reversion and cointegration, seasonality at different time scales, Kelly formula, linearity, etc.
6Key ingredients Most importantly: “Make things as simple as possible, but not simpler”-Albert Einstein
7Key ingredients in details Ideas generationMainly from the aforementioned sources!The easiest part!BacktestingChoose a suitable platform for yourself.Be aware of numerous pitfalls such as data snooping bias, look-ahead bias, survivorship bias, noisy/erroneous data, etc.Paper tradingWhich platform allows you to fully automate?
8Key ingredients in details Live TradingAlways starts small.Position sizing, capital allocation, and risk management using Kelly formula.Beware of execution costs.Continuous improvement and refinement of strategy.Improvement in strategy and/or execution technology.Can have dramatic impact on returns and Sharpe ratio!
9Raising capital Your own savings should be the seed capital. No pain no gain!Friends and family?Would be better if they are familiar with trading.Proprietary trading firmsMay impose too many restrictions.May not allow full automation.May be a good source of start-up capital.Profit share goes from 10%-100%.
10Raising Capital Starting your own fund. Aforementioned PR is very helpful.Investors always approach me, never the other way around.Finding a good lawyer is important.
11Keep in touch!ThroughThrough my blog: epchan.blogspot.comThrough my website: