012: Ernest Chan talks quantitative trading, momentum, stop losses, minimising drawdown and maximising returns, automated trading and competing with the big firms

Dr Ernest Chan talks about many aspects of quantitative trading, including how market crises impact momentum strategies and how to manage the impacts, when to use stop-losses and when they don't make sense, automating trading, managing funds in a portfolio of strategies and a simple money management approach which aims to limit drawdowns while maximising returns.

Topics discussed

• Where to find trading ideas
• The first aspect of a market to identify before building a strategy for it
• Momentum crashes and the performance of momentum strategies after a financial crisis
• How to manage the times when momentum strategies aren’t working
• When stop losses should be used and when they don’t make sense
• How to limit drawdowns while maximising growth
• Factors to consider when automating your trading
• How independent traders can avoid competing with the big trading firms
• When you need to worry about market microstructure and when it doesn’t matter
• Managing funds for a multi-strategy portfolio
• The hardest part of trading