tag:blogger.com,1999:blog-35364652.post2772177048893204902..comments2018-02-17T10:24:42.307-05:00Comments on Quantitative Trading: Interview with Euan SinclairErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger24125tag:blogger.com,1999:blog-35364652.post-78612075922385891512016-02-09T06:46:16.878-05:002016-02-09T06:46:16.878-05:00Well he asked me those ID to open an account, and ...Well he asked me those ID to open an account, and when I explained that to my banker he told me not to do it so I get confused.<br />Thanks again ErnieImane Charifa Beddiafhttps://www.blogger.com/profile/14925834226665952014noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-17613031133730153392016-02-08T17:04:03.275-05:002016-02-08T17:04:03.275-05:00Every broker requires personal id in order to even...Every broker requires personal id in order to even open an account. I am surprised you didn't have to supply those before. All brokers have to compile with Anti-money Laundering regulation s.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-37411950324247775052016-02-08T16:57:04.995-05:002016-02-08T16:57:04.995-05:00Hello, Thank you for all this informations.
Actua...Hello, Thank you for all this informations. <br />Actually I found a broker but he asked me a copy of my credit card (just showing the last 4 numbers, name and expiration date), a copy of my ID and some bank acount informations so that I can transfer my profits to my bank account. Is it normal? Should I do it or it's too risky?Unknownhttps://www.blogger.com/profile/14925834226665952014noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-37642637285228455112015-11-17T08:16:27.394-05:002015-11-17T08:16:27.394-05:00Copying from the latest version of their paper:
&...Copying from the latest version of their paper:<br /><br />"Gross annual ROE is calculated as ROE(i, t) =(1 + X(i,t)/Book(i,t-1)), where<br />X(i,t) is Net Income before Extraordinary Items (variable ib from the fundamentals file) and<br />Book(i,t-1) is the lag Book Value of Common Equity (variable ceq from the fundamentals<br /> file)."<br /><br />The fundamentals file is the Compustat Global and Compustat North America data.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-51357743710363271112015-11-17T01:36:19.349-05:002015-11-17T01:36:19.349-05:00Hi Ernie,
What is the definition of ROE and log(R...Hi Ernie,<br /><br />What is the definition of ROE and log(ROE) in Lyle and Wang's paper (cross section factors model)?<br /><br />Thanks.<br /><br /><br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-64776821929682069042015-11-10T10:01:46.264-05:002015-11-10T10:01:46.264-05:00Thank you for the clarification Ernie.Thank you for the clarification Ernie.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-1788315976744467192015-11-10T08:47:21.528-05:002015-11-10T08:47:21.528-05:00Hi,
If you read my website carefully, you will see...Hi,<br />If you read my website carefully, you will see that the returns are for the FX Managed Account only. QTS Partners, LP is our commodity pool, which trades more than 6 strategies, and its net return in August is 1.25%. <br /><br />We welcome investors to either the Managed Account (high leverage, high risk, high return, undiversified), or the commodity pool (low leverage, very low risk, low but very consistent return, diversified).<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-14021025168115077332015-11-10T07:34:50.031-05:002015-11-10T07:34:50.031-05:00Hi Ernie,
You mention that the return of the "...Hi Ernie,<br />You mention that the return of the "QTS Partners, L.P. has a net return of 1.25% in August (YTD: 10.44%)"' but on your website I see the fugure for August 2015 is -2.59%. is it an typo?<br />ThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-69462934037881484382015-10-20T09:33:29.873-04:002015-10-20T09:33:29.873-04:00Capacity of stock pairs trading depends on the uni...Capacity of stock pairs trading depends on the universe of stocks and the holding period. For stocks in the SPX, and holding period measured in weeks, the capacity can be hundreds of millions of dollars.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-38707530698153693712015-10-19T23:25:32.493-04:002015-10-19T23:25:32.493-04:00Hi Ernie,
How big is the capacity of stocks pairs...Hi Ernie,<br /><br />How big is the capacity of stocks pairs trading?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-32263213306167690322015-10-08T08:33:38.964-04:002015-10-08T08:33:38.964-04:00There are many different factor models and many di...There are many different factor models and many different pairs trading model, so I don't think a general statement can be made. However, factor model is typically for longer term investment, sometimes even long-only investment. You can't really hold long term investments in a pairs model.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-12971456514559553982015-10-08T08:22:20.474-04:002015-10-08T08:22:20.474-04:00Hi Ernie,
Is the performance of factor model bett...Hi Ernie,<br /><br />Is the performance of factor model better than pairs trading in stocks market?<br /><br />Thanks.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-15857386692568392442015-10-04T09:23:19.379-04:002015-10-04T09:23:19.379-04:00Compustat database has that information, though it...Compustat database has that information, though it may require a subscription.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-89880062928282899722015-10-02T09:11:11.959-04:002015-10-02T09:11:11.959-04:00Hi Ernie,
How do we find SIC codes for US stocks?...Hi Ernie,<br /><br />How do we find SIC codes for US stocks?<br /><br />Fama/French industry classification is based on SIC codes.<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-19583255364759545772015-09-28T08:25:31.006-04:002015-09-28T08:25:31.006-04:00Yes, you can trade with factor models, but the hol...Yes, you can trade with factor models, but the holding period tend to be longer. Search for keyword "factor model" on my blog. See in particular my reference to the paper by Lyle and Wang in http://epchan.blogspot.com/2015/07/time-series-analysis-and-data-gaps.html.<br /><br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-55171518606305704042015-09-27T21:24:07.124-04:002015-09-27T21:24:07.124-04:00Hi Ernie,
Could we trade based on factor model?
...Hi Ernie,<br /><br />Could we trade based on factor model?<br /><br />Would you please recommend some references?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-28892372366361653422015-09-21T13:43:02.219-04:002015-09-21T13:43:02.219-04:00Hi Royi,
I am afraid a zipped file of all the file...Hi Royi,<br />I am afraid a zipped file of all the files will exceed the maximum size that our web host permits.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-43227841399408990862015-09-21T13:22:37.055-04:002015-09-21T13:22:37.055-04:00Hi,
Could you please make you files available as Z...Hi,<br />Could you please make you files available as ZIP files on your file instead of one by one?<br /><br />Thank You.Royinoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-29487715106156628292015-09-21T12:03:27.212-04:002015-09-21T12:03:27.212-04:00Kelly formula is derived assuming compound returns...Kelly formula is derived assuming compound returns, hence it must use log returns. It is designed to maximize expected compound returns.<br /><br />In my book Algorithmic Trading p.177, I discuss numerical optimization of historical growth rate, not using analytical formula or making Gaussian assumptions. Hopefully that's what you are looking for.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-49053488098212095682015-09-21T10:52:20.749-04:002015-09-21T10:52:20.749-04:00Hi Ernie,
Thank you for the explanation.
Is this...Hi Ernie,<br /><br />Thank you for the explanation.<br /><br />Is this still Kelly formula?<br /><br />It seems Thorp's paper only provides closed form solution.<br /><br />Would you please recommend references which discuss Monte Carlo or historical methods in details? <br /><br />Thanks.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-15865068817643837452015-09-21T07:06:44.032-04:002015-09-21T07:06:44.032-04:00To measure the instantaneous compounded growth rat...To measure the instantaneous compounded growth rate of a portfolio, we compute its log return.<br />The log return is by definition log(1+R), where R is the "net" return (price(t)-price(t-1))/price(t-1). If we use R to denote the unlevered raw return, then fR is the levered raw return, where f is the leverage. Hence the log return per period of a levered portfolio is log(1+fR). The expected log return is therefore just the average of log(1+fR) over many periods, which is also called the expected compounded growth rate.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83188399711293992772015-09-20T22:14:21.161-04:002015-09-20T22:14:21.161-04:00Hi Ernie,
At page 175 in your new book, there is ...Hi Ernie,<br /><br />At page 175 in your new book, there is a formula.<br /><br />g(f) = < log(1+fR) >,<br /><br />May I ask where you get this formula?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83664195108880659262015-09-18T19:47:31.989-04:002015-09-18T19:47:31.989-04:00Yes, you are correct. Another reader has pointed t...Yes, you are correct. Another reader has pointed that out to me before. So this (Example 7.1) is actually a mean reverting strategy instead.<br /><br />Thanks,<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-90530354713991780072015-09-18T15:26:27.111-04:002015-09-18T15:26:27.111-04:00Hi Ernie,
why do you calculate the strategy retur...Hi Ernie,<br /><br />why do you calculate the strategy returns as ret=positions.*(op-cl)./op;<br />on your gapFutures_FSTX.m code? Isnt it supose to be (cl-op)./op? <br />This is from your second book.<br /><br /> Anonymousnoreply@blogger.com