Michael Halls-Moore has joined me for this week’s episode. Michael runs QuantStart.com, a well-known site by many algorithmic traders.
Before diving into trading, Michael was a student of computational fluid dynamics and the co-founder of a tech startup, eventually becoming involved with a modest equity fund as a quant developer where his chief purpose was cleansing data.
Michael now independently trades his own short-term algorithmic strategies, is a consultant for hedge funds on machine learning and quant infrastructure, and is fascinated by space exploration.
We cover a variety of subjects, including; the demand for quality data, how to approach risk from a portfolio level, trading multiple automated strategies, how common sense plays a part in parameter optimization, the process of learning to program, and more.
What’s Covered in This Interview:
- Michael describes his experiences as a startup founder prior to trading and how he became involved with an equity fund as a quant developer—with a primary focus on data cleansing.
- Reasons why risk management models not only restrict losses and drawdowns, but also supply traders the ability to make more money.
- What Michael thinks about risk from a portfolio level and why he trades a series of fully-automated, short-term trend following, and mean reversion strategies.
- Michael explains what could be the most complex area of quantitative trading; parameter optimization, and when common sense beats raw numbers.
- Machine learning techniques, cross-validation in particular and how Michael uses them, as well as artificial intelligence’s place in the future of trading.
- The best programming language for developing an algorithmic strategy, how to master a language as a non-programmer, and the best resource to turn to when you get lost.
Links and Resources:
- [Articles] Time series analysis – A great compilation of all the articles Michael has written about time series analysis, as well as the article mentioning satellite imagery.
- Anaconda by Continuum Analytics – Install Anaconda to get started using Python, which includes many popular data science packages.
- Quantocracy.com – One of Michael’s favorite resources – this website is a link aggregator for quantitative trading articles and content from around the web.
- StackOverflow.com – The best online community for answers to programming questions and troubleshooting code error messages.
- QuantStart.com – Visit QuantStart, where Michael writes about all aspects of algorithmic trading from beginner to advanced topics.
- @MHallsMoore – Tweet Michael about this episode and follow him on Twitter!
- tradovate – Commission-free futures trading is finally here. Trade unlimited contracts for a flat price with tradovate!
