# Evening networking event and Q&A session with Dr. Ernest ‘Ernie’ Chan

• October 25, 2013 · 6:00 PM
• This location is shown only to members

Fellow systematic traders, we are once again very honoured to be able to welcome Dr. Ernest ‘Ernie’ Chan for this networking event and Q&A session.

Please note that Dr Chan’s attendance has not yet been fully confirmed at this point in time, we shall be keeping you updated with regards to his international schedule.

Dr. Chan is well known for his highly regarded quantitative trading books including his latest title: “Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading) 2013”. As previously mentioned, his blog posts and associated reader comments are also exceptionally relevant for LST members:

http://epchan.blogspot.co.uk/

Subject to any last minute changes we are certainly looking forward to this great event.

Dan & Jeremy

• ##### ken j.

I am measuring the 'speed' of the mean reversion using Ornstein-Uhlenbeck as per Chan's book (also in the Vidyamurthy book).
e.g. for a ‘fast and narrow’ channel the ‘mean life’ might be 9 bars and for a ‘slow and wide’ channel it might be 65 bars.

If I rank (the trading opportunities) by ‘mean life’ then the ‘fast’ channels get preference.
i.e. 9 bars is preferable to 65 bars.

But this does not incorporate the magnitude of the reversion to the mean.
i.e. if you enter a trade at 1 stdev and exit at the mean then how far has the price moved? 1%? 5% 20%?
I tried incorporating this factor into the ranking.
My calculation was ‘1 stdev divided by mean life’
e.g. 2% per 9 bars, 20% per 65 bars, etc.

It selects a lot of trades I do not like – too many ‘wide’ channels.
I suspect that my maths is incorrect.

My problem statement is: given the ‘mean life’ (or ‘half life’) of each stationary series and the magnitude of 1 stdev, which series are preferred for trading?

October 31, 2013

• ##### ken j.

I put a question to Dr. Ernie Chan about the dismal performance of the well known trend followers in recent years. I was referring to this information:

[His response was that momentum strategies perform poorly for several years after major crises]

October 28, 2013

• ##### Ben F.

That would make sense as trend following tends to be a much slower moving signal and to not like volatility as much

October 28, 2013

• ##### Richard B.

Engaging and informative speaker; interesting and pleasant attendees; well organised event. Well worthwhile.

October 27, 2013

• ##### Harry

Great evening. Very helpful information from Dr Chan. Great to see some oldfriends again.

1 · October 26, 2013

• ##### Michael

Good to see everyone. See you all again soon!

2 · October 26, 2013

• ##### Ben F.

Sorry for the late notice, something came up and I can't make it.

October 25, 2013

• ##### William

If anyone is interested in moving to Singapore to work as senior associate quant trader let me know. 1 to 4 yrs work experience.have 10positions! They will also look at graduates with MS or Ph.D.

October 25, 2013

• ##### Daniel R.

Members,

We are very pleased to confirmation that Ernie is speaking on Friday night.

Ernie will be conducting a Q&A session on his new book – Algorithmic Trading (link below).

We will be starting drinks from 6 pm. Ernie will be talking from about 7 pm.

Thanks

October 22, 2013

• ##### Alex S.

I would like to invite you to the Market Technicians Association (MTA) UK Chapter Monthly Meeting.

SPEAKERS: Linda Raschke - LBR Asset Management & Nelson Freeburg - Formula Research

DATE: 12th of September 2013, 18:00
VENUE: City University, Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ.

> How can I get the details of the event ?
http://www.meetup.com/Market-Technicians-Association-UK-Chapter/events/137140312/

kindest regards

Alex Spiroglou

September 4, 2013

• ##### NicolasVitale

Hi Dan & Jeremy,
very well done! Would be great to have Dr Chan at LST!
Will be here for sure!
Nicolas

1 · August 28, 2013

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