Upload
bryan-downing
View
3.071
Download
0
Embed Size (px)
DESCRIPTION
How to start a hedge fund quant trading business by Ernie Chan Popular author present to our Meetup.com/quant-finance Get more info at http://quantlabs.net/blog/2012/11/how-to-start-a-hedge-fund-quant-trading-business-by-ernie-chan-microsoft-powerpoint-free-download/
Citation preview
How to Succeed in Quant Trading Business with a lot of trying
Ernest Chan, Ph.D.QTS Capital Management, LLC.
1
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 < -$2MM
E.P. Chan & Associates (Everything, Toronto, 2006)EXP Capital Management (Everything, Toronto/Chicago, 2008)
QTS Capital Management (Forex, Niagara-on-the-Lake, 2011)
Cumulative Profits > $2MM
About me
2
Quantitative Trading blog epchan.blogspot.com, 2006).
“Quantitative Trading” book published by John Wiley & Sons, 2008.
Ongoing workshops in London, Hong Kong, Singapore.
Along the way …
3
“10,000 hours of practice is required to achieve the level of mastery associated with being a world-class expert” – Malcolm Gladwell
1998-2007: after about 10,000 hours of trading research and practice, I finally reached consistent profitability!
The 10,000-hour rule
4
Learn from others:◦ Blogs, books, papers, magazines, online forums◦ Partners, clients (!), spouse (!)◦ Readers (!)◦ Workshop participants (!)
Emotional detachment from daily profits. Look for fundamental principles of financial
markets◦ E.g. mean-reversion and cointegration,
seasonality at different time scales, Kelly formula, linearity, etc.
Key ingredients
5
Most importantly:“Make things as simple as possible, but not simpler”
-Albert Einstein
Key ingredients
6
Ideas generation◦ Mainly from the aforementioned sources!◦ The easiest part!
Backtesting◦ Choose 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 trading ◦ Which platform allows you to fully automate?
Key ingredients in details
7
Live Trading◦ Always 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!
Key ingredients in details
8
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 firms◦ May impose too many restrictions.◦ May not allow full automation.◦ May be a good source of start-up capital.◦ Profit share goes from 10%-100%.
Raising capital
9
Starting your own fund.◦ Aforementioned PR is very helpful.◦ Investors always approach me, never the other
way around.◦ Finding a good lawyer is important.
Raising Capital
10
Through email: [email protected] Through my blog: epchan.blogspot.com Through my website: www.epchan.com
11
Keep in touch!