Ernest P. Chan > Quotes

“Risk management always dictates that you should reduce your position size whenever there is a loss, even when it means realizing those losses.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“dark-pool liquidity”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“The maximum drawdown duration is the longest it has taken for the equity curve to recover losses.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“plus-tick rule was eliminated by the SEC in June 2007, and it was replaced by an alternative uptick rule (Rule 201) in February 2010.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“if the strategy is a long–short dollar-neutral strategy (i.e., the portfolio holds long and short positions with equal capital), then 10 percent is quite a good return, because then the benchmark of comparison is not the market index, but a riskless asset such as the yield of the three-month US Treasury bill (which at the time of this writing is just about zero percent).”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“If you are trading S&P 500 stocks, for example, the average transaction cost (excluding commissions, which depend on your brokerage) would be about 5 basis points (that is, five-hundredths of a percent).”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“we have a large number of “gamblers” (read: traders) playing a risky game, and as long as the average return is positive, the economist suggests that this risky game is worthwhile,”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“how deep and how long a drawdown will you be able to tolerate and not liquidate your portfolio and shut down your strategy?”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“trade futures or foreign currencies. This would be a serious limitation”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“financial contagion”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“Retail versus Proprietary Trading”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“slippage is the difference between the price that triggers the trading signal and the average execution price of the entire order.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“capital weight of a stock is proportional to the fourth root of its market cap,”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“maximum historical one-day loss is about 20.47 percent, which occurred on October 19, 1987—“Black Monday.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“easy to trade a million-dollar portfolio with nothing more than a few thousand dollars' initial investment”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“Constructing a trading strategy is essentially a matter of determining if the prices under certain conditions and for a certain time horizon will be mean reverting or trending, and what the initial reference price should be at any given time.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“human traders who are not psychologically prepared will often override their automated trading systems' decisions, especially when there is a position or day with abnormal profit or loss.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“if a fundamental analysis of a company reveals that it is currently overvalued, its stock price will likely gradually decrease”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“true Sharpe ratio is equal to or greater than 0, you need a backtest Sharpe ratio of 1 and a sample size of 681 data points (e.g., 2.71 years of daily data).”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“slippage,”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“highly mean-reverting manner.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“Regulation T.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“pass the FINRA Series 7 examination”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“(API)”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“basket trader”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“free historical intraday futures data.”)”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“SUMMARY”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“half-Kelly betting.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“Issues”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“sharpeRatioTestset # -3.378513”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business