Bias-Free Backtesting, Part 2: The Big Saturday Interview with Ernest Chan

• August 7, 2009
• David Penn

To access Part 2 of our Big Saturday Interview with trader Ernest Chan, click here.

In the first half of our conversation with Dr. Ernest Chan, author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading), talks about how he was among a number of physicists and statisticians whose skills were greatly sought after by Wall Street starting in the mid-1990s. After spotting the key differences between statistics in the world of science and statistics in the world of trading, Ernest Chan began developing and helping others to develop trading systems and strategies that took advantage of real-world edges created by real-world traders.

In the second half of our Big Saturday Interview, Dr. Chan focuses on issues critical to traders looking to test their trading systems. From some basic rules of thumb when compiling data to the role of the Sharpe ratio in helping determine the validity of backtests, we also cover high frequency trading – much in the news these days – and how he has fared over the course of the bear market and bounce since the early spring of 2009.

To access Part 2 of our Big Saturday Interview with trader Ernest Chan, click here.

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