# Quantitative Momentum Strategies by Dr Ernie Chan

Quantitative Momentum Strategies by Dr Ernie Chan

LIVE

Maximum number of attendees: 6.
Total hours: 12.
Fee: \$1,890.
Dates and times: December 2, 3, 4, 5:30-9:30 pm ET.

SOLD OUT!

This is an online workshop conducted in real-time through Adobe Connect conducted by Ernest Chan (www.epchan.com). The workshop focuses on the theories and practical implementation of momentum strategies using MATLAB. Free MATLAB trial licenses will be arranged for extensive in-class exercises. No prior knowledge of MATLAB is assumed, but some programming experience is necessary. The math requirement assumed is basic college-level statistics.

 Maximum number of attendees: 6.

 Total hours: 12.

Course outline:

1. Causes of momentum

a. Persistence of futures roll returns.

b. Slow diffusion of news.

c. Forced sales and purchases by funds.

d. HFT market manipulation.

2. Tutorial to MATLAB

a. Quick survey of syntax.

b. Exercises: building some utilities useful for trading and plotting simple graphs.

c. Using toolboxes

3. Roll returns as driver of momentum

a. Backwardation vs. contango.

i. Exercise: Estimating spot and roll returns.

b. Time-series vs cross-sectional momentum.

c. Arbitrage between future and spot returns.

i. The case of VX-ES.

d. Statistical tests for time-series momentum.

e. Example futures time-series momentum strategy.

i. Indicators for TS momentum.

f. Example futures cross-sectional momentum strategy.

g. Example stock cross-sectional momentum strategy.

i. Indicators for CS momentum.

ii. News sentiment.

h. The phenomenon of “Momentum Crashes”.

i. The S&P DTI index.

4. Event-driven momentum

i. The shortening of momentum horizon.

b. Other momentum-inducing events.

i. Research from Ravenpack on corporate events.

ii. Macro-economic events.

5. Forced sales and purchases due to funds

a. Hedge funds.

b. Mutual funds.

i. Example strategy using Pressure indicator.

c. Index funds.

d. Levered ETFs.

i. Example strategy.

6. High frequency momentum strategies

b. Ticking.

c. Flipping.

d. Stop hunting.

e. Order flow.

7. Exit Strategies

I will be basing my forecasting model types on the results of this survey

Here they are but this is sort of important for people to understand the direction I plan to go

# Here is my Google Android mobile app details: Learn how to build financial trading models and strategies with the R language

Here is my Google Android mobile app details: Learn how to build financial trading models and strategies with the R language

1. Title

2. Description

Are you ready to learn financial trading model development and strategy development using R, the open source statistical programming language?

R is free to use and just as powerful as the very expensive Matlab if you understand how to deploy it properly. And Quantlabs.net is the only website that teaches you how R fits into next generation quant analysis and quant trading.

Learn automated, systematic and algorithmic-based systems including high frequency trading (HFT) for stocks, futures, options and forex.

Quantlabs.net features regular tutorials on all these topics — check out every one as it’s published with this handy app that links to the Quantlabs.net blog feed.

3. Promo text

Learn how to build financial trading models and strategies with the R language

# Learn how to do trading with R to build financial models, strategies, models, HFT, forex in our Google Android App

Learn how to do trading with R to build financial models, strategies, models, HFT, forex in our Google Android App

This should be on the Google Android Play app store soon.

Find out when this app is ready to go via our newsletter.