012: Ernest Chan talks quantitative trading, momentum, stop losses, minimising drawdown and maximising returns, automated trading and competing with the big firms
Better System Trader
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What Is a Momentum Crash?
In your book, you mentione a phenomenon called momentum crashes can you explain a little bit about what that is? Yes, a momentum crash is a phenomenon where a in the immediate aftermath of a financial crsis a, oftentimes momentum carge, perform very poorly. And the reason is actually quite obvious. It's very simple to explain. When the market is crashing and youare shot in the market, you know, ers, no question that you are going to urge generate profits. If you only run along side, you are protected from that sort of drobber.
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