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