Tag Archives: Ernie Chan

Example URL links of long term mean reverting strategy code with Ernie Chan

Notes

Notes on Ernie Chan lomg term vs short term coding

cointegration diverges between pairs over long term while co-relation comove in same direction
cointegration is long term and about price
correlation is short term and about returns
basic mean reversion strategy bollinger bands -> enter into position only when price deviates by more than a std deviation and exit when price reverts
consider commission fees to stay profitable

More helpful links while researching

http://epchan.blogspot.com/2016/04/mean-reversion-momentum-and-volatility.html

https://www.forexfactory.com/showthread.php?t=262827

Machine learning in trading: Predicting multiple trade outcomes using a linear regression model

FX-Trader Magazine Article: Function based trailing stop mechanisms

http://adrianboeing.blogspot.com/2010/03/alpha-beta-filters.html

https://robotwealth.com/demystifying-the-hurst-exponent-part-1/

https://robotwealth.com/demystifying-the-hurst-exponent-part-2/

http://www.jurikres.com/catalog1/ms_cfb.htm#top

https://www.researchgate.net/publication/266672524_Can_we_predict_the_unpredictable

very useful

https://dailypriceaction.com/free-forex-trading-lessons/mean-reversion-guide-to-market-timing/

Lots of Python code examples

https://www.datacamp.com/community/tutorials/finance-python-trading

Half life test mentioned in Ernie Chan’s video above

View at Medium.com

More

View at Medium.com

Complete pairs trading example

View at Medium.com

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Premium Data & Algo Trading with Ernie Chan | Live in Toronto

Join us live in the heart of Toronto as we team up with professional quant traders Dr. Ernest Chan* and Bryan Downing* to bring you a FREE algorithmic trading event utilizing FXCM data and technology. Ernie Chan will present on how to use FXCM’s tick data combined with his Order Flow methodology to enhance your trading strategy and help predict where you should position yourself in the market to take advantage of future price action.

 

Where: Courtyard Marriott Downtown Toronto | 475 Yonge St, Toronto, ON M4Y 1X7, Canada

When: Tuesday, May 22 2018

Time:  6:00PM to 9:00PM

*Check in begins at 6. First talk will begin promptly at 6:15!

 

 

·         Learn how alternative data can be used to improve your trading strategy
·         Network with local quantitative traders in your area and hear from quant experts
·         Discover FXCM’s REST API and learn about the product landscape.
·         Gain exclusive access to FXCM’s premium data

 

Seating is limited, so register now!

 

 

REGISTER HERE ONLY:

or

*** Friedberg Direct is a division of Friedberg Mercantile Group Ltd., a member of the Investment Industry Regulatory Organization of Canada (IIROC), the Canadian Investor Protection Fund (CIPF), and all Canadian Exchanges. Friedberg Mercantile Group Ltd. is headquartered at 181 Bay St., Suite 250, Toronto, ON M5J 2T3, Canada.

Accounts are opened with and are held by Friedberg Direct which clears trades through a subsidiary of the FXCM group of companies [collectively the “FXCM Group”]. Customers of Friedberg Direct may, in part, be serviced through subsidiaries of FXCM Group. The FXCM Group does not own or control any part of Friedberg Direct and is headquartered at 20 Gresham Street, 4th Floor, London EC2V 7JE, United Kingdom.

Trading forex/CFD’s on margin carries a high level of risk and may not be suitable for all investors as you could sustain losses in excess of deposits. Leverage can work against you. Do not speculate with capital that you cannot afford to lose. Be aware and fully understand all risks associated with the market and trading. Prior to trading any products offered by Friedberg Direct, carefully consider your financial situation and experience level. Friedberg Direct may provide general commentary which is not intended as investment advice and must not be construed as such. Please seek advice from a separate financial advisor. Friedberg Direct assumes no liability for errors, inaccuracies or omissions; does not warrant the accuracy or completeness of the information, text, graphics, links or other items contained within these materials. Please read and understand the “Terms and Conditions” on Friedberg Direct’s website prior to taking further actions.

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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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Quant strategy development and test with w Dr Ernie Chan

Quant strategy development and test with w Dr Ernie Chan

This Chatting with Traders is an awesome series you should know about

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Ernie Chan’s comparison of Matlab R Python for algo trading

Dr Ernie Chan’s comparison of Matlab R and Python for trading

If you have not seen this video posted on futures.io, you may want to visit Dr. Ernie Chan’s view on which programming platform is best for researching models. In this video, he covers all three major platforms including Python, Matlab and R. You may want to watch this to see what one the good doctor recommends.

 

Check it out here

Quant Elite Analytics PRO

In yesterday’s email I did make a statement about how Matlab can be very different in your automated trading. An actual fact I do believe it will give you trading edge over the other languages. Because of my new upcoming service focusing on trading analytics instead of trading platforms, I can now put all my attention into generating very unique data sets and charts that no one else does.
You can get more info on this new service here
As stated, some of my video coding demonstrations will be permanently removed in the next few months. I have not put together a hard set date yet depending upon my progress on my current software development of my system but that will come in due time. As a result, I highly recommend you to check out my Quant Elite membership.
You could always join here

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Predicting volatility by Dr Ernie Chan

Predicting volatility by Dr Ernie Chan

From Quantopian but very good for what I need

Thanks to Sholom B for sending this

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Predicting Volatility by Dr. Ernest Chan

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Meet the DIY Quant like Dr Ernie Chan

Meet the DIY Quant like Dr Ernie Chan

This articles talks about his firm and partner

In the high desert plain of New Mexico, Roger Hunter monitors automated trades on hog futures and currency pairs.

To read the entire article, go to http://bloom.bg/1pKcUTU

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How to start a hedge fund by Dr Ernie Chan

How to start a hedge fund by Dr Ernie Chan

Have you seen this PDF presentation by our friend? Check it out

Join my FREE newsletter to learn more about how I accomplish this hand coding with Redis and the trading model (I already done that remember?)

 

 

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According to Ernie Chan, Quora is a cool place for HFT and quant trading

According to Ernie Chan, Quora is a cool place for HFT and quant trading

This came from the Man who says there are some real deal ex investment bankers on this.  This seems decent as compared to those annoying admin nazis found on Stackover flow.

http://www.quora.com/search?q=ernest+chan+#

my profile even thought I post a big fat nothing

http://www.quora.com/Bryan-Downing-4

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Ernie Chan presents Beware of Low Frequency Data video playback

 Dr Ernie Chan presents Beware of Low Frequency Data video playback

This was presented at a recent webinar we held
Bryan
P.S. Don’t forget I have posted 60+ questions for my Knowledgebase on quant automated trading and HFT

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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!