Ernest P. Chan
More books by Ernest P. Chan…
“how deep and how long a drawdown will you be able to tolerate and not liquidate your portfolio and shut down your strategy?”
― Quantitative Trading: How to Build Your Own Algorithmic Trading Business
― 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).”
― Quantitative Trading: How to Build Your Own Algorithmic Trading Business
― 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).”
― Quantitative Trading: How to Build Your Own Algorithmic Trading Business
― Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Is this you? Let us know. If not, help out and invite Ernest to Goodreads.























