Trading sys: math formulas + high-speed program => determine trading strategies
timing, price, volume => trading instructions
- market making
- inter-market spreading
- 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.
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
Backtesting: can you understand why your code does?
Optimization: minimizing overfitting bias etc.
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)
What is trading bots? And why to build them
MT4 for Mac
Structure of a trading bot
moving averages; channel breakouts; price level movements...
Index fund rebalancing
math models: delta-neural trading strategy