Algorithmic Trading for Fun and Profit (Red Dot Ruby Conf 2014)

Transcript

1. ALGORITHMIC TRADING FOR FUN AND PROFIT
3. 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
4. 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
5. 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
6. FEEDER Fetch financial data feed from external sources
7. FEEDER - DATA SOURCES Free Commercial 1. Yahoo/Google Finance 2. Quandl 3. Twitter/StockTwits 1. DTN IQFeed 2. QuantQuote 3. EODData
10. TYPHOEUS + CSV/JSON/NOKOGIRI
11. STRATEGY Take market data as input and generate trading signals as output based on the rules defined
12. STRATEGY - ANALYSIS TECHNIQUES Fundamental Technical News Sentiment
13. Red line - Fast Moving Average (15 days) Green line - Slow Moving Average (50 days) Technical Indicators
14. 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
15. Fast MA > Slow MA = Long Signal (Uptrend) Fast MA < Slow MA = Short Signal (Downtrend) Moving Average Crossover
17. PORTFOLIO Make trading decisions based on signals generated by strategy Keep track of cash, market positions and holdings Assess returns and risks
18. BROKER Execute trade by placing order in the market Notify Portfolio when order gets filled
19. 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
21. INTRODUCING HOMMA https://github.com/sushengloong/homma
22. THANK YOU <3