You're reading from Learn Algorithmic Trading

Product typeBook

Published inNov 2019

Reading LevelIntermediate

PublisherPackt

ISBN-139781789348347

Edition1st Edition

Languages

Python

Concepts

Financial Technology

Authors (2):

Sebastien Donadio

Sourav Ghosh

View More author details

Evaluating what the value of time is

As we saw in the previous parts of this chapter, backtester accuracy is critical when we build a trading strategy. The two main components creating discrepancies between the paper trading of your trading strategy and the actual performance are as follows:

The market behavior that we face when the trading strategy goes live
The trading system that you use to trade

We saw that the market impact can be medicated by making assumptions regarding the manner in which the market will respond. This part is very challenging because it is just based on assumptions. As regards the second cause of discrepancies, the trading system itself, we can find an easy solution. We will be able to use the trading system as it is to be the backtester. We will get all the main trading components together and we will have them communicate between one another as if they...

The rest of the page is locked

You have been reading a chapter from

Learn Algorithmic Trading

Published in: Nov 2019Publisher: PacktISBN-13: 9781789348347

Authors (2)

Sebastien Donadio

Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.
Read more about Sebastien Donadio

Sourav Ghosh

Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.
Read more about Sourav Ghosh

Other recommended products

Related to this chapter

Hands-On Financial Trading with Python

This book focuses on key Python analytics and algorithmic trading libraries used for backtesting. With the help of practical examples, you will learn the principle aspects of trading strategy development. The 14 profitable strategies included in the book will also help you build intuitions that will enable you to create your own strategy.

BookApr 2021360 pages

Python Algorithmic Trading Cookbook

Ever wondered what it takes to be an algorithmic trading professional? Look no further, this recipe-based guide will help you uncover various common and not-so-common challenges faced while devising efficient and powerful algo trading strategies. You will implement various Python libraries to conduct key tasks in the algorithmic trading ecosystem.

BookAug 2020542 pages

Algorithmic Short Selling with Python

This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short algorithmic traders. Along the way, we will explore several key concepts, such as trading edge, frequency, signal processing, trading psychology, capital efficiency, risk management, and asset allocation, one stumbling block at a time.

BookSep 2021376 pages

Mastering Python for Finance

This book enables you to develop financial applications by harnessing Python’s strengths in data visualization, interactive analytics, and scientific computing. You will be using popular libraries such as TensorFlow, Keras, scikit-learn, and so on to extend the functionalities of your financial applications by using smart machine learning techniques.

BookApr 2019426 pages

Learning Quantitative Finance with R

This book covers applications of quantitative finance in R. It starts with the basics of quantitative finance and goes to complexity at the end of the book along with a varying degree of R complexity. This will guide you to implement different trading strategies for various financial instruments using basic to complex techniques along with its optimization and keeping the risk of financial instruments in check.

BookMar 2017284 pages

Machine Learning for Algorithmic Trading

This thoroughly revised and expanded second edition demonstrates on over 800 pages how machine learning can add value to algorithmic trading in a practical yet comprehensive way. It has four parts that cover how to work with a diverse set of market, fundamental, and alternative data sources, design ML solutions for real-world trading challenges, and manage the strategy development process from idea to backtesting and evaluation.

BookJul 2020822 pages

Hands-On Python for Finance

With this book, you will learn and implement various Quantitative Finance concepts using popular Python libraries like Numpy, pandas, Keras and more. We provide techniques to apply statistical methods used for data preprocessing and predict some of the best real-world case scenarios like stock prediction, sales prediction and many examples as such.

BookMar 2019378 pages

Python for Finance Cookbook

Python is becoming the number one language for data science and also quantitative finance. This book provides you with solutions to common tasks from the intersection of quantitative finance and data science, using modern Python libraries.

BookJan 2020432 pages

Hands-On Machine Learning for Algorithmic Trading

With the help of this book, you'll build smart algorithmic models using machine learning algorithms covering tasks such as time series forecasting, backtesting, trade predictions, and more using easy-to-follow examples. By the end, you'll be able to adopt algorithmic trading in your own business and implement intelligent investigative strategies.

BookDec 2018684 pages

Hands-On Deep Learning for Finance

There is a growing interest in applying deep learning to finance but most of the available literature is technical and generally not related to the field. This book is for practitioners who wish to use deep learning in trading and asset management. It compares the merits of different frameworks and their application to quantitative fund management.

BookFeb 2020442 pages

Personalised recommendations for you

Based on your interests and search pattern

Et al.

Ever wonder why speech recognition systems don't understand the Scottish accent, or what would happen if an astronaut only ate mac 'n' cheese, or other spurious reflections you'd have at a bar? We did, then collated those deliberations into absurd research articles with fake figures and methodologies inspired by even more fictionally absurd studies.

BookAug 2023230 pages5

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

BookDec 2023360 pages4

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

BookDec 2023360 pages5

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

BookDec 2023360 pages1

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

BookDec 2023360 pages5

Mastering Tableau 2023

This book is a comprehensive resource to mastering your Tableau skills and becoming a BI expert. As you progress, you will learn how to build advanced dashboards and improve your storytelling to derive key business insight, as well as make you well-versed with advanced functionalities of Tableau in the business intelligence domain.

BookAug 2023684 pages

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

BookSep 2023258 pages5

Building AI Applications with ChatGPT APIs

This guide covers all ChatGPT API features for effortless creation of robust AI powered apps. With its help, you’ll be able to leverage ChatGPT’s cutting-edge NLP models to take your app development skills to the next level. You’ll also work on ten exciting projects that will give you the practical know-how that you can apply to your existing applications.

BookSep 2023258 pages2

Data Engineering with AWS

Embark on a journey to master data engineering pipelines on AWS! Our book offers a hands-on experience of AWS services for ingesting, transforming, and consuming data. Whether you're an absolute beginner or someone with basic data engineering experience, this guide is an indispensable resource.

BookOct 2023636 pages5

Modern Data Architecture on AWS

Every organization wants an agile, performant, and cost-effective data platform that meets all their current and future business needs. Purpose-built AWS analytics services and their features play a big part in building such a modern data platform. This book brings to you all the design and architectural patterns that’ll help you achieve this goal.

BookAug 2023420 pages5

Practical Guide to Applied Conformal Prediction in Python

Discover the power of Conformal Prediction with the "Practical Guide to Applied Conformal Prediction in Python." Master the latest techniques to quantify uncertainty in machine learning and computer vision models, and seamlessly apply them to your industry applications.

BookDec 2023240 pages

TinyML Cookbook

With over 70 project-based recipes, the TinyML Cookbook is a practical guide that will help you to get the most out of your microcontrollers. It provides a comprehensive understanding of the theoretical foundations while giving you hands-on experience training ML models for deployment on Arduino Nano 33 BLE Sense, Raspberry Pi Pico, and SparkFun RedBoard Artemis Nano microcontrollers.

BookNov 2023664 pages

You're reading from Learn Algorithmic Trading

Unlock this book and the full library FREE for 7 days

Authors (2)

Hands-On Financial Trading with Python

Python Algorithmic Trading Cookbook

Algorithmic Short Selling with Python

Mastering Python for Finance

Learning Quantitative Finance with R

Machine Learning for Algorithmic Trading

Hands-On Python for Finance

Python for Finance Cookbook

Python is becoming the number one language for data science and also quantitative finance. This book provides you with solutions to common tasks from the intersection of quantitative finance and data science, using modern Python libraries.

Hands-On Machine Learning for Algorithmic Trading

Hands-On Deep Learning for Finance

Et al.

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Generative AI with LangChain

This book is a comprehensive introduction to LLMs and LangChain, demystifying the basic mechanics of LangChain, its functionalities, and the myriad of applications it can be integrated into.

Mastering Tableau 2023

Building AI Applications with ChatGPT APIs

Building AI Applications with ChatGPT APIs

Data Engineering with AWS

Embark on a journey to master data engineering pipelines on AWS! Our book offers a hands-on experience of AWS services for ingesting, transforming, and consuming data. Whether you're an absolute beginner or someone with basic data engineering experience, this guide is an indispensable resource.

Modern Data Architecture on AWS

Practical Guide to Applied Conformal Prediction in Python

Discover the power of Conformal Prediction with the "Practical Guide to Applied Conformal Prediction in Python." Master the latest techniques to quantify uncertainty in machine learning and computer vision models, and seamlessly apply them to your industry applications.

TinyML Cookbook