+100
Ernie Chan claims that statistical arbitrage is better than momentum like trend
- Thread starter GloriaBrown
- Start date
I cannot see that at all, may be you have some special six sense.
OK, if momentum traders make money it means stat arb traders lose. Someone has got to lose. But they do not admit it. Momentum is the name of the game now. Use the sense you got.
didnt read whole thread but you could watch correlating indexes to yours, find the s/r areas, often they all hit and turn to gether,sometimes they all hit and extend,but you will have a better chance of winning if you enter at supp/res with a stop, when they are all in sinc,and you wont have to arb or pay the double comish, you are on the right track
That's not true. For momentum trader, if he wins then just means a momentum trader that short the same thing loses or a fundamental long term holder loses. Stat arb normally means holding two or more stuff at the same times, so it can be two different things in two different market. Basically you cannot say someone in Earth wins then an alien in Mars lose, it is two different kind of games in two different kind of worlds.
if Ernie Chan made a single dime trading his own money or institutional money then he would not have to write retarded books for retail trading wannabees and he would not waste all his time on his blog posts, or have you heard or seen a single blog written by any of the successful hedge fund managers? I have not, their lawyers would scream at them day and night to not expose anything in public domain that they may later be held liable in a law context. So, relax, Ernie is a failed quant (PhD or not PhD makes actually zero difference at Wall Street) and now peddles books and, guess what, trading courses, lol.
I think I know who you are. Don't you live (or lived) in the Tokyo Tamachi area (roughly)? 
lol, momentum is the name of the game now? Then how come all momentum funds in aggregate are up a paltry 3-4% YTD? And most of the midsized momentum funds are down by about -2% YTApril (sorry I dont have newer figures). Fact is unless you trade options or futures trading is not a zero-sum game, so it can happen that many players in aggregate lose. Wall Street does badly (low volume), hedge funds do badly, especially macro because the rate curve literally threw a curve ball at most who looked to time the Fed correctly. Retail hurts because hft is still a big player in equities and increasingly so in fx. Does not matter you take a momentum or mean reversion approach, markets right now are incredibly hard to trade because there is simply too much intervention by regulators, central banks, and governments. Then you have the uncertainties in China (growth leveling off), you have inflationary tendencies in some markets, deflationary in others, you have sky high debt levels (keep in mind all that happens by the end of the year is that the Fed plans to stop purchasing assets (debt) while Japan will go on a binge and Europe as well.
Nowadays, it takes one sentence by an influential central banker to completely throw markets off track FOR YEARS, to kill any and every healthy and natural transfer of risk and reward reckless trading and investing behavior. Look at the correlation between EUR and CHF before and after the 2011 intervention (Here is what SNB said without having had to pay a whole lot ever after to maintain the semi-peg: "With immediate effect, it will no longer tolerate a EUR/CHF exchange rate below the minimum rate of CHF 1.20"). That is the current state of markets and anyone who tries to time market based on rational thoughts or historical behaviors will pay a price until markets are again what they were: Still markets with incomplete information, markets where still reckless participants partake, markets that are still abused by some, but overall at least markets where there is a natural and healthy supply and demand for assets and transfer of risk by market participants that are in the business of transferring risk. (No single central bank in the world has a mandate to transfer risk, to take on risk, or to even mitigate risk, if you dont believe me then read the mandates that each market imposes on their central banks).
Until then forget about trying to identify a specific market segment that performs better or worse in current market conditions because the ones that do well today will hurt tomorrow.
Nowadays, it takes one sentence by an influential central banker to completely throw markets off track FOR YEARS, to kill any and every healthy and natural transfer of risk and reward reckless trading and investing behavior. Look at the correlation between EUR and CHF before and after the 2011 intervention (Here is what SNB said without having had to pay a whole lot ever after to maintain the semi-peg: "With immediate effect, it will no longer tolerate a EUR/CHF exchange rate below the minimum rate of CHF 1.20"). That is the current state of markets and anyone who tries to time market based on rational thoughts or historical behaviors will pay a price until markets are again what they were: Still markets with incomplete information, markets where still reckless participants partake, markets that are still abused by some, but overall at least markets where there is a natural and healthy supply and demand for assets and transfer of risk by market participants that are in the business of transferring risk. (No single central bank in the world has a mandate to transfer risk, to take on risk, or to even mitigate risk, if you dont believe me then read the mandates that each market imposes on their central banks).
Until then forget about trying to identify a specific market segment that performs better or worse in current market conditions because the ones that do well today will hurt tomorrow.
He tries pretty hard to do matlab marketing.
how does that fact relate to him making or not making money trading. Do you want to learn to write quantitative trading code from someone who has not produced a single verified track record in generating returns? I do not.