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ALGORITHMIC TRADING
FOR FUN AND PROFIT
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DISCLAIMERS
This talk is intended for educational purposes only
This talk is not a demonstration of how to trade
This talk is not intended as investment advice and must not be
relied upon
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WHAT IS ALGORITHMIC TRADING?
“The use of a predefined set of rules written into
computer code to automate the process of
buying or selling.” - AutomatedTrader.net
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ALGORITHMIC TRADING PROCESS
1. Formulate objective and hypothesis
2. Develop trading strategy
3. Backtesting with historical data
4. Measure and optimize
5. Deploy to production
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FEEDER
Fetch financial data feed from external sources
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FEEDER - DATA SOURCES
Free Commercial
1. Yahoo/Google Finance
2. Quandl
3. Twitter/StockTwits
1. DTN IQFeed
2. QuantQuote
3. EODData
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TYPHOEUS + CSV/JSON/NOKOGIRI
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STRATEGY
Take market data as input and generate trading signals as output
based on the rules defined
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STRATEGY - ANALYSIS TECHNIQUES
Fundamental
Technical
News
Sentiment
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Red line - Fast Moving Average (15 days)
Green line - Slow Moving Average (50 days)
Technical Indicators
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def moving_average bars, lookback_period
if bars.length < lookback_period
raise "insufficient number of bars"
end
sum_of_prices = bars.last(lookback_period)
.inject(0.0) { |sum, bar| sum + bar[:adj_close].to_f }
sum_of_prices / lookback_period
end
fast_ma = moving_average bars, 15
slow_ma = moving_average bars, 50
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Fast MA > Slow MA = Long Signal (Uptrend)
Fast MA < Slow MA = Short Signal (Downtrend)
Moving Average Crossover
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PORTFOLIO
Make trading decisions based on signals generated by strategy
Keep track of cash, market positions and holdings
Assess returns and risks
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BROKER
Execute trade by placing order in the market
Notify Portfolio when order gets filled
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THE LOOPS
loop do
# Feeder gets next bar
break if bar.nil?
loop do
# Dequeue from event queue
break if event.nil?
case event.type
when :market
# Strategy analyzes market data
# Portfolio updates holdings
when :signal
# Portfolio places order
when :order
# Broker executes order
when :fill
# Portfolio updates holdings
end
end
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INTRODUCING HOMMA
https://github.com/sushengloong/homma
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THANK YOU <3