quant me

if you can

o Development of Thailand’s Quant

o Keep in Mind Quant ≠ Technical

o Choosing the Right Model + Right Modeler

o Recommended Properties of a Quant Modeler

o Back Test + Forward Test + Live Test ≠ Real Trade

SiamQuant Conference 1st : Kickstarting The Quant Era

Chonladet Khemarattana - Managing Director of Apple Wealth Securities

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Development of Thailand’s Quant

Past Present FutureSemi-automated

Niche marketExpensive

AutomatedBroader market

Cheaper

Automated+Mass market

Cheapest

Stakeholder: Investor + Modeler + Broker + Vendor + Regulator

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Vision (or Dream?) of our Future Quant

… Social Network of Quant Modelers

… Social Trading for Investors with Self Services

… Lower Bid/Offer Spreads and Lower Commission Rate

… More Variety of Model Concepts and Instruments

… Market Efficiency… Quant Ecosystem

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Keep in Mind Quant ≠ Technical

• Stock Universe Selection• Quant Value Screening /

Scoring

Fundamental Analysis

• Buy-Hold-Sell Market Timing• Money Management Execution

Technical Analysis

Quant Modeler

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Historical Price of SCBJa

n-06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8

Jan-

09

Jul-0

9

Jan-

10

Jul-1

0

Jan-

11

Jul-1

1

Jan-

12

Jul-1

2

Jan-

13

Jul-1

3

Jan-

14

Jul-1

4

Jan-

15

Jul-1

50

50

100

150

200

250

-20%

0%

20%

40%

60%

80%

100%% UpsideMarketTargetEntryExit

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Trade Lists of our Simple Model on SCB

Buy Date Buy Price Sell Date Sell Price Profit Days09-Jan-07 49.50 18-Jan-07 60.00 21.21% 903-Jul-08 73.50 11-Aug-08 82.50 12.24% 3916-Sep-08 70.00 02-Apr-09 59.25 -15.36% 19808-Feb-10 78.25 16-Mar-10 89.25 14.06% 3628-Apr-10 79.50 05-Aug-10 93.00 16.98% 9921-Jan-11 97.50 25-Apr-11 118.50 21.54% 9407-Jun-11 104.50 25-Jul-11 126.50 21.05% 4814-Sep-11 110.50 02-Feb-12 124.50 12.67% 14124-Jun-13 152.50 19-Sep-13 174.00 14.10% 8730-Sep-13 148.00 07-Mar-14 159.00 7.43% 158

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Choosing the Right Model + Right Modeler

• Model Concept• Fundamental vs Technical• Momentum vs Reversal• Lab Testing Results• Real Trading Results

Right Model

• Mindset & Attitude• Hard Skills & Soft Skills• Teamwork• Historical Performance

Right Modeler

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Properties of a Quant Modeler

Mindset & Attitude

IT

Financial Engineering SkillsFundamental | Technical | Math

Programming SkillsIT Infrastructure

Open-minded | Energetic | Passionate !

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Recommended Quant Software

quant me

if you canChonladet KhemarattanaManaging Director of Apple Wealth Securities

Back Test + Forward Test + Live Test ≠ Real Trade

BackTesting

Forward

TestingLive

TestingReal

Trading

Commission + Expected Slippage

Market Depth

Market Impact

Optimized Results .. Right after Click Paper Trading Real Trading

High CAGR with Low Drawdown Real World !

quant me

if you can

SiamQuant Conference 1st : Kickstarting The Quant Era

Chonladet Khemarattana - Managing Director of Apple Wealth Securities

Big Thankschonladet@gmail.com