tag:blogger.com,1999:blog-35364652.post9220248282547424281..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: My new book on Algorithmic Trading is outErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger260125tag:blogger.com,1999:blog-35364652.post-53514626672926430272018-11-01T08:21:42.054-04:002018-11-01T08:21:42.054-04:00Hi Ernie,
Yes you are right. I am using Chrome. I...Hi Ernie,<br /><br />Yes you are right. I am using Chrome. I download all the files through IE successfully.<br />Thank you very much.<br /><br />SulfredSulfredhttps://www.blogger.com/profile/02294738139007345941noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-66608344900738740032018-10-30T11:23:07.671-04:002018-10-30T11:23:07.671-04:00Hi Sulfred,
I tried pressing Next on two different...Hi Sulfred,<br />I tried pressing Next on two different servers, and it advances to next page without problem. Are you using Chrome?<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-36581303032792551522018-10-30T10:24:25.502-04:002018-10-30T10:24:25.502-04:00Hi Ernie,
Thank you so much for your reply. I am ...Hi Ernie,<br /><br />Thank you so much for your reply. I am sorry about that I didn't make myself clear.<br /><br />I have pressed Next at the top right corner but it doesn't work. Seems the link is missing.<br /><br />Thank you very much.<br /><br />Best regards,<br />SulfredSulfredhttps://www.blogger.com/profile/02294738139007345941noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-56999492030736564592018-10-21T09:45:50.654-04:002018-10-21T09:45:50.654-04:00Hi Sulfred,
Please press Next (at top right corner...Hi Sulfred,<br />Please press Next (at top right corner) if you want to go to the next page on epchan.com/book2.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-68885146863599092292018-10-21T08:20:45.846-04:002018-10-21T08:20:45.846-04:00Hi Ernie,
I find the information about the websit...Hi Ernie,<br /><br />I find the information about the website from the book on page 199 but I found that only page 1 can be viewed and downloaded. Is there a way to get the contents of page 2 and 3.<br /><br />Thank you very much.<br /><br />Best regards,<br />SulfredSulfredhttps://www.blogger.com/profile/02294738139007345941noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-29164491397355221822018-07-12T14:27:02.926-04:002018-07-12T14:27:02.926-04:00Hi Alberto,
Please email me for that data.
ErnieHi Alberto,<br />Please email me for that data.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-71031208585161951972018-07-10T04:58:50.568-04:002018-07-10T04:58:50.568-04:00Hi Ernie,
I come back to you to seek help for a ...Hi Ernie, <br /><br />I come back to you to seek help for a technical problem. Many times in your Matlab codes and on your website, you use a dataset called USD_CAD. However, this dataset can't be found on your website. Could you please upload it or provide a way to find it? <br /><br />Thanks in advance, <br /><br />Best regards, <br /><br />AlbertoAnonymoushttps://www.blogger.com/profile/04069738447597233172noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-89730705070166020192016-07-23T12:03:02.903-04:002016-07-23T12:03:02.903-04:00Hi Brandon,
Thanks for your kind words.
All my Sh...Hi Brandon,<br />Thanks for your kind words.<br /><br />All my Sharpe ratio calculations are annualized, based on the entire period. I don't quite understand what you meant by getting 0.55 for an annual period. Which annual period? And why only that annual period?<br /><br />Ernie<br /><br />Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-35543276945093124402016-07-23T06:33:49.182-04:002016-07-23T06:33:49.182-04:00Ernie!!
Not sure if this comment will be seen! Bu...Ernie!!<br /><br />Not sure if this comment will be seen! But I've got a question for you about a set of examples in your book. In "Algorithmic Trading" example 2.8, the cointegration strategy between EWA, EWC, and IGE, you compute the sharpe ratio of the strategy = 1.4. Is this the annualized sharpe? Or is it the sharpe for the entire time period of the strategy? Because I get 1.4 when I compute it for the entire strategy period, but I get 0.55 for the annual period. <br /><br />Similarly, in example 3.1 with the spread strategy, you compute the sharpe as 0.59, which seems to be the annualized sharpe. Because when I do the backtest, I get 1.3 for annual sharpe, and 0.55 for the entire period.<br /><br />So the main question is: are you using annual sharpe to evaluate these strategies? Or are you using a different time period. Or is there something wrong in my calculations?<br /><br />Thanks a lot! Super glad I found your books.<br />Regards,<br /><br />--BrandonAnonymoushttps://www.blogger.com/profile/00407865918825244524noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-7131267395669217802016-06-30T07:33:35.874-04:002016-06-30T07:33:35.874-04:00Hi Sqrt Alpha,
If by "scaling window" yo...Hi Sqrt Alpha,<br />If by "scaling window" you meant the sampling frequency one should use for computing Hurst exponent, please see my recent article http://epchan.blogspot.com/2016/04/mean-reversion-momentum-and-volatility.html.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-27910063464292337352016-06-29T22:15:28.298-04:002016-06-29T22:15:28.298-04:00Thanks for your friendliness, Ernie.
What do you ...Thanks for your friendliness, Ernie.<br /><br />What do you recommend about scaling window?, please kindly refer to the link<br />https://www.researchgate.net/post/Can_anybody_help_with_Hurst-Exponent_algorithms_and_scaling_windowSqrt Alphahttps://www.blogger.com/profile/14496960785936577254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-66922510664649999132016-06-29T22:15:05.190-04:002016-06-29T22:15:05.190-04:00Thanks for your friendliness, Ernie.
What do you ...Thanks for your friendliness, Ernie.<br /><br />What do you recommend about scaling window?, please kindly refer to the link<br />https://www.researchgate.net/post/Can_anybody_help_with_Hurst-Exponent_algorithms_and_scaling_windowSqrt Alphahttps://www.blogger.com/profile/14496960785936577254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-75014885160684512832016-06-29T19:17:41.888-04:002016-06-29T19:17:41.888-04:00Hi Sqrt Alpha,
Yes, variance ratio test is a good ...Hi Sqrt Alpha,<br />Yes, variance ratio test is a good significance test for the Hurst exponent. We should compute that in addition.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-92111067182954236532016-06-29T13:20:11.441-04:002016-06-29T13:20:11.441-04:00Hi Ernie,
I found some guys discussed on window l...Hi Ernie,<br /><br />I found some guys discussed on window length when computing hurst exponent. Some say the value makes sense strongly. Does it mean the max value of $\tau$ chose when calculating variance? <br /><br />In plus, is just hurst exponent enough to judge MR or Momentum? I found that you mentioned statistical significance of the exponent. It hints that we should do variance ratio test, not just look at the exponent value, correct?Sqrt Alphahttps://www.blogger.com/profile/14496960785936577254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-42376464890545395442016-06-29T13:19:15.761-04:002016-06-29T13:19:15.761-04:00Hi Ernie,
I found some guys discussed on window l...Hi Ernie,<br /><br />I found some guys discussed on window length when computing hurst exponent. Some say the value makes sense strongly. Does it mean the max value of $\tau$ chose when calculating variance? <br /><br />In plus, is just hurst exponent enough to judge MR or Momentum? I found that you mentioned statistical significance of the exponent. It hints that we should do variance ratio test, not just look at the exponent value, correct?Sqrt Alphahttps://www.blogger.com/profile/14496960785936577254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-88230362996644335042015-01-07T08:48:14.986-05:002015-01-07T08:48:14.986-05:00Hi Zhou,
If the roll return is negative (i.e. cont...Hi Zhou,<br />If the roll return is negative (i.e. contango), we short the future to profit. Hence we are shorting in the same direction as the existing return. How is that not momentum?<br /><br />Also, I now disagree with my own writing on calendar spreads. The only way we can profit from trading it is if the forward curve has non-zero curvature. Just having non-zero roll returns will not be enough: the roll returns must differ at different maturities.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-16179543464847523052015-01-07T00:10:49.900-05:002015-01-07T00:10:49.900-05:00Hi Ernie,
I just do not understand why sho...Hi Ernie,<br /> I just do not understand why shorting a future in a contango situation is a momentum strategy since the price is higher than the spot and we are waiting for it to revert to the spot. And in the Mean Reverting calender spread chapter. It seems to me that using gamma as a signal is a momentum strategy.<br />And this is a great book. Thank You.Anonymoushttps://www.blogger.com/profile/14814122731497695150noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-68064869924991120032015-01-07T00:06:39.997-05:002015-01-07T00:06:39.997-05:00Hi Ernie,
while in a contango situation, w...Hi Ernie,<br /> while in a contango situation, why is shorting a future a momentum strategy? Since the price is higher than the spot. isn't it a mean reverting strategy? And in the Calender spread mean reverting strategy you use z>0 for signal. Isn't this a momentum one? Thank You<br />And it is a really great book.Anonymoushttps://www.blogger.com/profile/14814122731497695150noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-15915537328609441812015-01-07T00:01:14.452-05:002015-01-07T00:01:14.452-05:00Hi Ernie,
The book is great. And I have q...Hi Ernie, <br /> The book is great. And I have questions about mean reversion.<br />In the Calender spread mean reverting chapter, you used roll return for signals for trading. Isn't that the strategy a momentum one? I just don't understand why in a contango situaton shorting futures is momentum. Since the Futures price is higher than the spot. Isn't that a mean reversion in the price? I understand the strategy and I agree with the strategy. However this conceptual problem has been with me for a long time.Anonymoushttps://www.blogger.com/profile/14814122731497695150noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-57847678286718569322014-08-04T14:01:37.696-04:002014-08-04T14:01:37.696-04:00Hi Kinson,
Thank you for your kind words.
The user...Hi Kinson,<br />Thank you for your kind words.<br />The userid/password are on page. 199. If you can't find it, please email me.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-85051501124687308552014-08-04T12:44:57.469-04:002014-08-04T12:44:57.469-04:00Hi Ernie,
Nice book and great contents. However,...Hi Ernie, <br /><br />Nice book and great contents. However, I cant figure out the password for your site from example 1. May I know the username/password of your site pls?<br /><br />Thanks,<br />KLAnonymoushttps://www.blogger.com/profile/02667017958065492572noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-89971953353199513442014-04-25T14:19:39.886-04:002014-04-25T14:19:39.886-04:00Hi cheerful,
Please email me privately if you woul...Hi cheerful,<br />Please email me privately if you would like a link to the USDCAD data.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-47871569268569462622014-04-25T12:23:53.030-04:002014-04-25T12:23:53.030-04:00Dr Ernie,
Would give a short data on USDCAD? I ti...Dr Ernie,<br /><br />Would give a short data on USDCAD? I tired to use ratedat@GainCapital but run into simulation error at load(xxx) and y=cl(hhmm=1659). Variable tday not found, undefined function or variable 'hhmm'cheerfulhttps://www.blogger.com/profile/01799630668760078146noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-25371780551649597572014-03-24T09:22:05.823-04:002014-03-24T09:22:05.823-04:00Hi Ilseo,
Yes, you should rebalance portfolio ever...Hi Ilseo,<br />Yes, you should rebalance portfolio everyday.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-64015573388862233602014-03-23T20:59:12.172-04:002014-03-23T20:59:12.172-04:00Hi Ernie,
i recently read your books
in chapter...Hi Ernie, <br /><br />i recently read your books<br /><br />in chapter 3, when calculating the price spread, you recalculate the hedge ratio every day using a short look-back period.<br /><br />so, should i rebalancing the portfolio everyday with changin beta? Anonymoushttps://www.blogger.com/profile/15055657433087295250noreply@blogger.com