Must-Watch: Dr. Ernest Chan’s Ultimate Guide to Mean Reversion Trading!
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- Опубликовано: 13 июл 2024
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Mean Reversion Trading Strategy: Mean reversion trading strategies, similar to short volatility strategies, perform well in calm and bullish markets but face significant tail risks and can suffer greatly during financial crises. In this tutorial, Dr. Chan discusses how their fund, QTS Capital Management, both benefited and suffered from a mean reversion strategy, and the steps they took to mitigate such tail risks.
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This is the first webinar of our #10YearsOfQuantInsti series.
Mean Reversion Trading Strategy: These strategies share characteristics with short volatility strategies, excelling in calm and bullish markets but suffering in financial crises. In this session, Dr. Chan will discuss the experiences of QTS Capital Management with mean reversion trading and how they mitigated tail risks.
About Dr. Ernest Chan: Dr. Chan is a globally renowned speaker on computerized trading. He has conducted numerous educational sessions worldwide and authored three books on Quantitative, Algorithmic, and Machine Trading, forming primary literature for traders and aspiring quants.
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About the speaker: Dr. Ernest Chan is the Founder & CEO of PredictNow.ai Inc and a Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Dr. Chan received his PhD in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He was a co-founder and principal of EXP Capital Management, LLC, a Chicago-based investment firm.
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Chapters:
0:00 - Speaker Introduction
1:27 - Tutorial Overview
2:27 - FX Mean Reversion Strategy
8:47 - Characteristics of Mean Reversion Strategies
14:27 - Risk Mitigation of Mean Reversion Strategies
20:57 - Tail Hedge Strategies
22:57 - Diversification
29:33 - Achievement
30:17 - Conclusion
32:03 - Q&A about Mean Reversion
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![Basics of Mean Reversion Trading Strategy | By Dr. Ernest Chan [For Beginners]](http://i.ytimg.com/vi/5G7YdjnRvVI/mqdefault.jpg)
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🎁Python Basics | With Illustrations From The Financial Markets - bit.ly/48hqCCW
No quant fund manager has shared so much as Dr Chan! For me who has no financial background, i am thankful that he shared his knowledge generously, this has given me confidence that my intuition of having both mean reversion and momentum driven strategy is the right path.
Thank you for the kind words, Darren! 👍
Aboslutely
I highly recommend all Algo traders to watch this video twice per month…
Thank you so much, I’m always amazed how much knowledge is freely available online, especially in this presentation.
damn 10 comments? this is gold content
Amazing. Infirmative but also therapeutical!
Thank you for your kind words 🙌✨
Interesting talk. Wish he would have expanded on machine learning for regime detection at about 46:40.
Thanks @Quantinsti and Dr. Chan for always sharing valuable information.
We're happy to know that you liked it, Stanley. :)
If you feel like it, do check out our blogs on countless topics that we believe you might find useful too: blog.quantinsti.com/
Happy Learning!
Normal Hosting Server + Python + Back testing with Ratios = Mean Reversion + Momentum TF
I always wanted to learn algorithm/ quant trading but did not have any skills needed. Being an actuarial student, now here I come with strong computer skills, coding, ML and grasp of Ai, with. All mathematics and economics plus with already a trading background.
I now understand this all. I think I might try quant trading. My current skills are highly transferable to be a quant trading?
P.s: Thank you doctor Chan for such a brilliant content. Followed you on twitter.
Hey! It's fantastic to hear about your journey and the impressive set of skills and background you've accumulated. It appears like you tick many of the boxes to be a quant trader.
Thank you for your kind words regarding Dr. Chan's content. It's always a pleasure to see someone so enthusiastic about learning. If you're interested in pursuing quant trading, you might also want to consider further education or networking with professionals in the field.
If you're looking for additional guidance or resources, consider reaching out to our guidance counsellors. They can provide valuable insights and advice tailored to your unique background and goals.
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We hope this helps! Happy Learning😊
I always wondered why Ernie said with his momentum strategies he ups the leverage by 5x to the latter mean reversion strategy , I now understand why...
Gems...
22:55 Interesting right at the end there
Thanks I really liked this
We're glad that you found this helpful. Thanks for your comment. 🙂
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Nice not to see a 20-something year old complete with a baseball cap giving lessons