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Dr Ernie Chan’s new machine learning book

Dr Ernie Chan’s new machine learning book

This will be a definite read I need to know for my intro to this popular topic

As I was poking on Dr. Ernie Chan’s website,I found this:

Ernie’s third and latest book Machine Trading: Deploying Computer Algorithms To Conquer the Markets covers a variety of advanced quantitative trading and investment techniques from state space models to machine learning, applicable to a variety of instruments from ETF’s to options. Readers will find most of the materials quite accessible to anyone who has some experience in a quantitative field.

This book can be treated as a continuation of my first two books, with coverage on topics that I have not discussed
before, but it can also be read independently. Software codes for all the described strategies can be found on epchan.com/book3.

Advance praise for Machine Trading:

“It is easy to make simple ideas complex. It is far more difficult to make complex ideas seem simple. In this book, Ernie has done exactly that. I cannot think of any trader who would not benefit from reading Machine Trading”   – Euan Sinclair, partner at Talton Capital Management and author of “Volatility Trading”.

Available for pre-order now at Amazon.com.

http://www.epchan.com/books/

Updated: Comment for this book on Bitcoin

Another surprise was a chapter on bitcoin which had possible trading strategies on the crypto-currency. One of the advantages of bitcoin for analysis is that the order book is open and each trade specifies whether it was a buy or sell.

https://www.amazon.com/Machine-Trading-Deploying-Computer-Algorithms/dp/1119219604/ref=sr_1_fkmr1_1?ie=UTF8&qid=1489334817&sr=8-1-fkmr1&keywords=ernie+chan+machine+learning

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Why Machine learning for quant trading by Dr Marcos Lopez de Prado

Why Machine learning for quant trading by Dr Marcos Lopez de Prado

He explains the importance of it for quant trading

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http://globalderivativeslive.com/machine-learning-with-marcos-lopez-de-prado/

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Dr Ernie Chan hold quant Bitcoin workshop?

Dr Ernie Chan hold quant Bitcoin workshop?

Someone via LinkedIn sent this to me

http://cointelegraph.com/news/113468/bitquants-announces-global-virtual-crypto-trading-workshop

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On Demand Backtesting for Trading Online Course by Dr Ernie Chan

On  Demand Backtesting for Trading Online Course by Dr Ernie Chan

Backtesting is the process of feeding historical data to an automated trading strategy and see how it would have performed. We will study various common backtest performance metrics. Backtest performance can easily be made unrealistic and un-predictive of future returns due to a long list of pitfalls, which will be examined in this course. The choice of a software platform for backtesting is also important, and criteria for this choice will be discussed. Illustrative examples are drawn from a futures strategy and a stock portfolio trading strategy.

This is a pre-recorded workshop conducted in Adobe Connect by Ernest Chan (www.epchan.com). This workshop focuses on the various practices and pitfalls of backtesting algorithmic trading strategies. 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.

REGISTER HERE

 Total hours: 7 hours of recorded session.

A. Overview of Backtesting

1. What is backtesting and how does it differ from “simulations”?

2. The importance of backtesting: Why is backtesting a necessary step for profitable automated trading?

3. The limitations of backtesting: Why is backtesting not a sufficient step to ensure profitability in automated trading?

4. What we can do to increase the predictive power of our backtest results: the avoidance of pitfalls.

5. How to identify good/bad strategies even before a backtest: a preview of various pitfalls through a series of examples.

B. Choosing a backtest platform

1. Criteria for choosing a suitable backtest platform.

2. A list of backtesting platforms.

3. Discussion of pros and cons of each platform.

4. Special note: integrated backtesting and automated execution platforms.

5. Why do we choose MATLAB?

C. Tutorial to MATLAB

1. Survey of syntax.

2. Advantage of array processing.

3. Exercises: building utility functions useful for backtesting.

4. Using toolboxes.

D. Backtesting a single-instrument strategy

1. Exercise: A Bollinger-band strategy for E-mini S&P500 futures (ES) as a prototype mean-reversion strategy.

E. Performance measurement

1. The equity curve.

2. Excess returns and the importance of the Sharpe ratio.

3. Tail risks and maximum drawdown and drawdown duration.

4. The importance of transaction costs estimates.

F. Choosing a historical database

1. Criteria for choosing a good historical database.

2. Equities data: split/dividend adjustments, survivorship bias.

3. Futures data: constructing continuous contracts, settlement vs closing prices.

4. Issues with synchronicity of data.

5. Issues with intraday/tick data.

G. Backtesting a portfolio strategy

1. Exercise: A long-short portfolio strategy of stocks in the S&P 500.

2. Relevance of strategy to 2007 quant funds meltdown.

3. The importance of universe selection: impact of market capitalization, liquidity, and transactions costs on strategies.

4. Strategy refinement: how small changes can make big differences in performance.

H. Detection and elimination of backtesting pitfalls and bias

1. How to detect look-ahead bias?

2. How to avoid look-ahead bias?

3. Data snooping bias: why out-of-sample testing is not a panacea.

4. Parameterless trading.

5. The use of linear models or “averaging-in”: pros and cons.

6. Exercise: linearization of the ES Bollinger band strategy.

7. Impact of noisy data on different types of strategies.

8. Impact of historical or current short-sale constraint.

9. The unavoidable limitation of backtesting: Regime change.

10. What to do when live performance is below expectations?

 

REGISTER HERE

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

LIVE Online with Dr Ernie Chan, Factor Models in Practice

Factors Models In Practice
Weds April 30 at 7 PM EST
From World Famous Dr. Ernie Chan!
Factor models are well-known among long-term investors who favor stock selection models. But there are some exotic factors from which shorter term traders can also benefit. This webinar will discuss the various factor modeling techniques and the more exotic factors that researchers have recently discovered.

Open Source High performing FIX
Better alternative than QuickFix
– what is Fix8? brief history of the project

– why do I need it? do I need it?
– is Fix8 a turnkey solution? a framework?
– what do I need to build a FIX adapter
– Windows – how?
– support and help? who can I ask?
– FIX versions; will Fix8 work with XYZ broker?
– Fix8MT
– what do you guys offer?
– QA – Bryan to lead this
Tuesday, April 22, 2014
Click to book your spot
Get your custom trading system
Full source code samples with hours of detailed walk through videos!

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Online Meetup with Dr Ernie Chan presents: Factor Models in Practice

 

[[firstname]] , the man who got me into all this is back for his fourth Meetup with us:

 

Online Meetup with Dr Ernie Chan presents: Factor Models in Practice – See more

This is one of the better YouTube channels out there to learn about options trading:

 

Tasty Trader talk High Frequency Trading HFT , Market Efficiency and the Individual Investor – See more

 

For anyone who does not know, we got our whole trading enchilada platform up for sale. Did we mention it includes

source code? This is the bedrock of how everything get based off of around here.
Have a nice Saturday,

 

Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Online Meetup with Dr Ernie Chan presents: Factor Models in Practice

Online Meetup with  Dr Ernie Chan presents: Factor Models in Practice

Factor models are well-known among long-term investors who favor stock selection models. But there are some exotic factors from which shorter term traders can also benefit. This webinar will discuss the various factor modeling techniques and the more exotic factors that researchers have recently discovered.

Wed April 30 at 6:30 PM EST

http://www.meetup.com/quant-finance/events/175328322/

http://www.meetup.com/R-Matlab-Users/events/175328282/

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Youtube video: Get your trading model algo or hft strategy answered by quant Dr Ernie Chan

Youtube video: Get your trading model algo or hft strategy answered by quant Dr Ernie Chan

http://www.meetup.com/quant-finance/events/124660992/#event-comments-section

http://www.meetup.com/R-Matlab-Users/events/124661562/

Post your questions here:

http://quantlabs.net/academy/forum/quant-academy-forum/got-question-for-ernie-chans-upcoming-webinar-on-aug-15-ask-it-here/

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Get your profitable trading model algo or hft strategy question answered by quant Dr Ernie Chan

Get your profitable trading model algo or hft strategy question  answered by quant Dr Ernie Chan

Post questions here:

http://quantlabs.net/academy/forum/quant-academy-forum/got-question-for-ernie-chans-upcoming-webinar-on-aug-15-ask-it-here/

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Dr. Ernest Chan is currently offering the online course Mean Reversion Strategies to a select number of traders and portfolio managers

This is being posted for a friend who I have a huge respect for:

 

“Dr. Ernest Chan is currently offering the online course “Mean Reversion Strategies” to a select number of traders and portfolio managers. This is an online workshop conducted in real-time through Webex. This 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 needed, but some experience with programming is necessary. The math requirement assumed is basic college-level statistics.

  • Maximum number of attendees: 4.
  • Total hours: 14.
  • Fee: $1,890.
  • Suggested dates and times: May 21-23. 5:30-10pm ET. (Final dates and times by collective agreement.)
  • Registration:  ernest (a t > epchan.com  <– Note proper email editing which is really at his to avoid any spam bots
Course outline is available for download here. “

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!