Ernest Chan, Ph.D. QTS Capital Management, LLC.

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B.Sc. (Physics, U of T) Ph.D. (Physics, Cornell) IBM Research (Statistical pattern recognition, NY, 1994) Morgan Stanley (Data mining, NY, 1997)

Cumulative Profits = N/A
Credit Suisse (Stat Arb, NY, 1998) Mapleridge Capital (Futures, Toronto, 2002) Millennium Partners (Stat Arb, NY, 2003) Maple Securities (Stat Arb, NJ, 2003)

Cumulative Profits < -$2MM
E.P. Chan & Associates (Everything, Toronto, 2006) EXP Capital Management (Everything, Toronto/Chicago, 2008) QTS Capital Management (Forex, Niagara-on-the-Lake, 2011)

Cumulative Profits > $2MM
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Quantitative Trading blog epchan.blogspot.com, 2006). “Quantitative Trading” book published by John Wiley & Sons, 2008. Ongoing workshops in London, Hong Kong, Singapore.

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“10,000 hours of practice is required to achieve the level of mastery associated with being a world-class expert” – Malcolm Gladwell 1998-2007: after about 10,000 hours of trading research and practice, I finally reached consistent profitability!

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Learn from others:
◦ ◦ ◦ ◦ Blogs, books, papers, magazines, online forums Partners, clients (!), spouse (!) Readers (!) Workshop participants (!)


Emotional detachment from daily profits. Look for fundamental principles of financial markets
◦ E.g. mean-reversion and cointegration, seasonality at different time scales, Kelly formula, linearity, etc.

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Most importantly:
“Make things as simple as possible, but not simpler” -Albert Einstein

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Ideas generation
◦ Mainly from the aforementioned sources! ◦ The easiest part!

Backtesting
◦ Choose a suitable platform for yourself. ◦ Be aware of numerous pitfalls such as data snooping bias, look-ahead bias, survivorship bias, noisy/erroneous data, etc.

Paper trading
◦ Which platform allows you to fully automate?

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Live Trading
◦ Always starts small. ◦ Position sizing, capital allocation, and risk management using Kelly formula. ◦ Beware of execution costs.

Continuous improvement and refinement of strategy.
◦ Improvement in strategy and/or execution technology. ◦ Can have dramatic impact on returns and Sharpe ratio!

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Your own savings should be the seed capital.
◦ No pain no gain!

Friends and family?
◦ Would be better if they are familiar with trading.

Proprietary trading firms
◦ ◦ ◦ ◦ May impose too many restrictions. May not allow full automation. May be a good source of start-up capital. Profit share goes from 10%-100%.

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Starting your own fund.
◦ Aforementioned PR is very helpful. ◦ Investors always approach me, never the other way around. ◦ Finding a good lawyer is important.

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  

Through email: ernest@epchan.com Through my blog: epchan.blogspot.com Through my website: www.epchan.com

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