Basic Program on Algorithmic Quantitative Trading

Program

Algorithmic trading has taken the world by storm. Not only in financial markets, are we seeing widespread use of algorithms across different industries and in our day-to-day lives. The power of algorithms is that even simple algorithms or “rule-based” decision making have shown to perform well v/s the majority of manual portfolio managers, traders or investors who have to constantly deal with various challenges such as handling their emotions well and decision making under uncertainty. Artificial intelligence (AI) is the next big leap in technology revolution, and algorithms are the stepping stone to understand how AI works.

The Objective of this program is to lay the foundation blocks of algorithmic trading and to introduce participants to the fascinating world of “System Trading”. The participants will study some of the styles of Ed Seykota, Richard Dennis (of “Turtle Traders” fame), Linda Raschke, Ray Dalio who have successfully made above average market returns for more than 20+ years, using systems and rules, and made billions for themselves and their clients. The Program will cover aspects right from strategy ideation, design, development, testing and making the system live. It will touch upon aspects of technical analysis, fundamental analysis and derivative analysis which will go as inputs while making systems. This program will be covering analysing systems and test them for their robustness and their probability of success, and how to continuously upgrade and refine the systems. We will be showcasing live examples using Excel spreadsheet to make it hands-on and interactive.

Day 1
Session Topic
Session I
  • Introduction to Algorithmic Trading
  • Difference between High, Medium and Low Frequency Algorithms
  • Introduction to types of Algos : Alpha Generation v/s Execution
  • Types of Strategies : Trend-Following, Mean-Reversion, Statistical Arbitrage, Event-Based
  • Session II
  • Defining a system for trading or investing
  • Advantages of Systematic Trading
  • Limitations of Systematic Trading
  • How to “Think like a Quant”
  • Role of Back-Testing a strategy
  • Key Parameters while selecting a system:-
  •     Winning Ratio
        Profit Ratio & Profit Factor
        Consistency of Returns
        Sharpe Ratio
    Session III Creating a moving average cross-over system in Excel and analyzing ratios
    Learning from “The Greats”
  • Ed Seykota – Market Wizard
  • Ray Dalio’s algorithmic journey
  • Trading psychology and investor/trader behaviour
    Adding filters to the moving average cross-over system
    Dealing with Implementation in Real-World Slippage, transaction costs & taxes Importance of data and it’s management
    Session IV
  • Introduction to Execution Algos
  • Importance of Execution to Success of Algo
  • Types of Execution Algos- VWAP, TWAP
  • Monitoring Back-test v/s Live Trading
  • Improving Models continuously
  • Real-world experiences in Execution and how to improve Algo performance

  • Day 2
    Session Topic
    Session I
  • Introduction to Correlation and Ratio Charts
  • Creating a Pairs Trading Strategy in Excel
  • Introduction to Mean-Reversion
  • Creating a Mean Reversion Strategy in Excel
  • Introduction to Options Strategies
  • Creating an Options Strategy in Excel
  • *All Excel strategies will involve use of macross
    Session II
  • Introduction to Optimization
  • Optimization of parameters for Mov. Avg Strategy
  • Optimization v/s Curve Fitting
  • Dangers of Over-Fitting
  • Advanced Back-testing parameters
  • Risks of building Complex algorithms
  • What are limitations of a Single Strategy
  • How to create a portfolio of strategies
  • Session III
  • Trading Technology Architecture
  • DMA / Algo –Trading/ One-touch DMA
  • SEBI guidelines for Algo Risk Management and Algo Approval process
  • Importance of Infrastructure
  • Creating a Algo Trading Business Plan
  • Vendor/Broker selection decision matrix
  • Session IV
  • Getting automated market data
  • Designing a market data feed handler
  • Designing an order routing system
  • Going for Paper-Trading and testing the Algo Live trading with minimal capital
  • Gradual Scale-Up
  • Feedback process and Repeat loop for continuous monitoring and improvisation
  • Advantages of attending the program?
  • Learn to trade your ideas objectively and minimizing emotions
  • Understanding the concepts of System Trading using Excel
  • Understanding the Nature and Risk involved in following a trading system
  • Become Independent in using Excel for System Trading.
  • Know your Edge and capitalize on it through Strategy based Trading
  • Understanding the Concepts of Automated trading and ability to independently Auto-trade

  • Who should attend?
    The workshop is ideal for:
  • Traders
  • Investors
  • Brokers
  • Sub-brokers
  • Dealers
  • Fund Managers
  • Corporate Executives
  • Journalist
  • Students
  • IT Professionals
  • Anyone who wants to learn Algorithm Trading.
  • 2 days (16 hours)
    10.00 am to 5.30 pm

    Rs. 9,000.00 + Applicable Taxes per participant inclusive of tuition fees, and (morning / evening) refreshments only.

    For further details regarding contents,
    E-mail: training@bseindia.com