Successful Algorithmic Trading halls-moore (PDF)

 

Introduction to the Book

1.1 Introduction to QuantStart

QuantStart was founded by Michael Halls-Moore, in 2010, to help junior quantitative analysts

(QAs) find jobs in the tough economic climate. Since then the site has evolved to become a

substantial resource for quantitative finance. The site now concentrates on algorithmic trading,

but also discusses quantitative development, in both Python and C++.

Since March 2010, QuantStart has helped over 200,000 visitors improve their quantitative

finance skills. You can always contact QuantStart by sending an email to mike@quantstart.com.

1.2 What is this Book?

Successful Algorithmic Trading has been written to teach retail discretionary traders and trading

professionals, with basic programming skills, how to create fully automated profitable and robust

algorithmic trading systems using the Python programming language. The book describes the

nature of an algorithmic trading system, how to obtain and organise financial data, the concept of backtesting and how to implement an execution system. The book is designed to be

extremely practical, with liberal examples of Python code throughout the book to demonstrate

the principles and practice of algorithmic trading.

1.3 Who is this Book For?

This book has been written for both retail traders and professional quants who have some basic

exposure to programming and wish to learn how to apply modern languages and libraries to

algorithmic trading. It is designed for those who enjoy self-study and can learn by example. The

book is aimed at individuals interested in actual programming and implementation, as I believe

that real success in algorithmic trading comes from fully understanding the implementation

details.

Professional quantitative traders will also find the content useful. Exposure to new libraries

and implementation methods may lead to more optimal execution or more accurate backtesting.

1.4 What are the Prerequisites?

The book is relatively self-contained, but does assume a familiarity with the basics of trading in

a discretionary setting. The book does not require an extensive programming background, but

basic familiarity with a programming language is assumed. You should be aware of elementary

programming concepts such as variable declaration, flow-control (if-else) and looping (for/while).

Some of the trading strategies make use of statistical machine learning techniques. In addition, the portfolio/strategy optimisation sections make extensive use of search and optimization.

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