Quantitative Trading Quotes

“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

“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

“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

“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

“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

“financial contagion”
― 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

“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

“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

“trade futures or foreign currencies. This would be a serious limitation”
― 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

“Retail versus Proprietary Trading”
― 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

“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

“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

“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

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

“Risk management then required that it sell off liquid stock positions in their portfolio that might, up to that point, be unaffected by the subprime debacle.”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

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

“Backtesting also won't reveal the operational difficulties,”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“(Interactive Brokers, for example, has a special web page that allows programming consultants to offer their services.)”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

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

“ran the trading algorithm, and wrote out a list of orders into an order file that can be over 1,000 lines”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“Spread trader”
― 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

“upload this order file to your brokerage's basket trader or spread trader”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“dynamic data exchange (DDE) link”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

“retrieve the appropriate data from a broker (such as Alpaca or Interactive Brokers),”
― Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business