STA Monthly Meeting – September 2020
Tail hedging does not necessarily involve options and the annoying time decay of premium. Dr Chan will discuss how his fund utilizes a simple intraday trend-following strategy called Tail Reaper to generate enormous alpha during market crises, and explain how machine learning can help reduce premium burn.
Ernie is the Managing Member of QTS Capital Management, LLC., a commodity pool operator and trading advisor. He is the author of “Quantitative Trading: How to Build Your Own Algorithmic Trading Business” and “Algorithmic Trading: Winning Strategies and Their Rationale”, both published by Wiley. He maintains a popular blog “Quantitative Trading” at epchan.blogspot.com.
Next STA Meeting
STA Monthly Meeting – October 2023
The main reason for ineffective strategy construction which leads to non-reproducible results in real time and hence inconsistent performance is due to not knowing the 3 critical strategy stats. To overcome this challenge and construct sustainable, scalable and reproducible strategies in a quantitative manner, the Smart Money Framework was developed by the quants in the 1960s. With this framework we will have the 3 critical stats to help us construct optimal entries, stop loss and exits. When this is further combined with volume, our probability of capturing the bigger runners increases. All of the above will be explained further in detail by the presenter.
Future STA Meetings
STA Monthly Meeting- November 2023
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