Algo-Trading

Trading sys: math formulas + high-speed program => determine trading strategies

timing, price, volume => trading instructions

strategies:

  • market making
  • inter-market spreading
  • arbitrage
  • pure speculation

High turnover, high order-to-trade ratios

order routing; order reporting

Black-Scholes option pricing model

Latency: lower bound determined by the speed of light

How to become a day trader?

Day trading requires a professional software platform and a high-speed Internet connection.

It is possible to design and build your own trading platform.

buy, sell

Indicators

The key: techniques to determine the entry and exit points.

The success rate for day traders: 10%

How to code your own algo trading bot?

day trading: buying and selling of a security within a single trading day.

leverage; capitalize on small prize movements in highly liquid stocks or currencies.

An algorithmic trading bot generates and execute buy and sell signals in financial markets.

Entry rules; Exit rules; Position sizing rules

MT4: Electronic trading platform

  • Macro-economic news
  • fundamental analysis
  • Statistical analysis
  • Technical analysis
  • Market microstructure

Personal risk profile, time commitment, and capital => strategy

Market inefficiency

Backtesting: can you understand why your code does?

Optimization: minimizing overfitting bias etc.

Live execution!

Menu of algotrading101:

Chapters - Full List (These are Sections NOT Lectures!)

  • Programming Basics 1: Variables and Conditional
  • Robot 1: Adeline - Our First Robot!
    • Uncommon Common Sense. Design Effective And Logical Robots
    • Garbage In, Garbage Out. Understanding Data
  • Programming Basics 2: Loops
  • Robot 2: Belinda - Utilising Volatility!
    • To Buy Big or Small? Position Sizing and Money Management
    • Robot 2A: Belinda Upgraded (No Gambler's Ruin for Me!)
    • Where To Start? Idea Generation and Expectations
  • Programming Basics 3: Functions, Time and Self-Learning
    • Relevant Statistics 101!
    • Validating Your Robot: Backtesting!
  • Programming Basics 4: Arrays And Indicators
  • Robot 3: Clarissa
    • What A Mess - Managing Trades, Orders and Positions
  • Robot 4: Desiree
    • Design Theories - Improving Robots By Manipulating Time, Entries and Exits
    • Add A Twist To Your Orders - Advanced Order Management
  • Robot 5: Desiree 2.0
    • Programming Basics 5: Clean Up Your Codes! Simple Is Fast!
    • Garbage In, Garbage Out Again. Advanced Data Cleaning
  • Robot 6: Elizabeth
    • Perfect Your Bet Sizing - Advanced Position Sizing Methods
    • Buff Up Your Robot Responsibly - Optimisation Without Curve Fitting
    • I Like Colors And Shapes - Adding Graphics
  • Robot 7: Faye
    • Try And Try Again - Monte Carlo And Applications
    • Not Rocket Science - Understanding Market Behaviour
    • Breaking It Down - Testing Inefficiencies and Robots Separately
  • Robot 8: Grace
    • Understanding Performance - High Returns Are Meaningless!
    • When Robots Fail - How, Why And Is It My Fault?
  • Robot 9: Haley
    • Walking Forward - Advanced Optimisation
    • Let's Academise This! - Advanced Statistics And Econometrics
  • Robot 10: Iris
    • I Want Numbers! - Quantifying Market Behaviors
    • Ring Ring! Notify Yourself When Something Goes Wrong (Or Right)
  • Robot 10A: Iris 2.0
    • Looking To The Future! - Advanced Optimisation 2.0
    • Time For Equities, Commodities And Bonds
    • Everything is Relative - Relative Value Strategies
  • Robot 11: Judy
    • Many Robots One System - Running A Portfolio Of Robots
  • Robot 12: Kate
    • Cash Is King! - Running Robots With Real Money
    • Watch Her Well - Monitoring Your Robot(s)
    • Buy This Robot, It Makes 100% A Month! - Evaluating Commercial Robots
    • Skynet - Robots That Think For Themselves
  • Robot 13: Lynda (Skynet)

Course

What is trading bots? And why to build them

MT4 for Mac

Structure of a trading bot

moving averages; channel breakouts; price level movements...

arbitrage

Index fund rebalancing

math models: delta-neural trading strategy