As a 17 year old student from the uk, algorithmic trading and quantitative techniques really interest me and I'd love to begin learning more. I'm sure Quantopian is definitely a step in the right direction however I feel a little unsure about how to get started. I'm a competent programmer and have a fair bit of experience writing algorithms, however I'm unsure where to start when it comes to writing trading strategies, if anyone is able to offer me some advice I'd be very grateful.
Hi Adam,
I'm a fan of doing projects to learn. If you're the same way, I would recommend reading a paper describing a strategy, and then implementing a version of it here. Reading a paper will give you a feel for how to think about a strategy, and then you can compare the results of your Quanotpian backtests to the paper as a kind of answer key. To see how to get started translating a paper into code, there are many threads on the forums where people have worked on implementing papers together. A few favorites:
- Rules based sector rotation strategy based on Mebane Faber research
- On-Line Portfolio Selection with Moving Average Reversion
- Google Search Terms predict market movements
If you prefer to learn by reading a book, I always recommend Ernie Chan's books. Ernie does a great job introducing important concepts, but you'll want to follow up to learn more details. His examples are all in Matlab code, so it is hard to run them yourself, but they are also really good to re-implement here - here's his EWA/EWC pair trade implemented on Quantopian.
One very tactical bit of advice: use record function to understand your algorithm's behavior. Often a time-series of intermediate values like a moving average or a signal will help you find problems faster than just logging.
And of course, keep asking questions! Quantopian is a friendly place and members will help with both technical and financial questions.
have fun,
fawce
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Hello Adam,
I would suggest a couple of books:
"High Probability Trading Strategies: Entry to Exit Tactics for the Forex, Futures, and Stock Markets" by Robert C. Miner
and
"New Trading Systems and Methods, 4th Edition" by Perry J. Kaufman
The 'new' in the latter title denotes a new version of the book not new systems and methods. Both can be previewed prior to purchase in the usual way.
P.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.