Advanced Trading Algorithms
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Advanced Trading Algorithms
This course is part of Trading Strategies in Emerging Markets Specialization
Instructor: Prasanna Tantri
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There are 4 modules in this course
This course will provide back test results for all the strategies in developed and emerging markets. The learner will also be taught scientific ways of back testing without succumbing to either look ahead (or) survival bias.
You will learn various methods of building a robust back testing system for the strategies discussed in the previous course. You will be taught how to differentiate between mere data mining and results based on solid empirical or theoretical foundation. Next, you will learn the ways and means of back testing the results and subjecting the back test results to stress tests. After which, you will learn the various ways in which transaction costs and other frictions could be incorporated in the back testing algorithm. Finally, you will learn techniques for measuring a strategies' performance and the concept of risk adjusted return. You will use some of the famous measures for risk adjusted returns such as Sharpe ratio, Treynor's Ratio and Jenson's Alpha. You will see how to pick an appropriate benchmark for a proposed fund.
After completing this module you will be able to understand the basics of accrual, build a trading strategy based on accruals and test the strategy that you have built.
What's included
4 videos1 reading1 assignment
4 videos•Total 58 minutes
- Accruals - Introduction•23 minutes
- Accruals - Calculation•12 minutes
- Accruals - Ratios•12 minutes
- Accruals - Strategy•11 minutes
1 reading•Total 60 minutes
- Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?•60 minutes
1 assignment•Total 40 minutes
- Quiz 1•40 minutes
After completing this module you will be able to understand the basics of beat, build a trading strategy based on beta and test the strategy that you have built.
What's included
3 videos1 reading2 assignments
3 videos•Total 31 minutes
- Betting against Beta - Introduction•16 minutes
- Betting against Beta - CAPM•5 minutes
- Betting against Beta - Strategy•11 minutes
1 reading•Total 60 minutes
- Betting Against Beta•60 minutes
2 assignments•Total 48 minutes
- Quiz 2•40 minutes
- Practice Quiz•8 minutes
After completing this module you will be able to understand the basics of momentum, build a trading strategy based on momentum & momentum crashes, and test the strategies that you have built.
What's included
9 videos1 reading1 assignment
9 videos•Total 89 minutes
- Momentum - Introduction•7 minutes
- Momentum - Lookback period•6 minutes
- Momentum - Strategy•7 minutes
- Momentum - Returns•10 minutes
- Momentum crashes - Introduction•11 minutes
- Momentum crashes - Options primer 1•12 minutes
- Momentum crashes - Options primer 2•7 minutes
- Momentum crashes - Abstract•14 minutes
- Momentum crashes - Strategy•15 minutes
1 reading•Total 60 minutes
- Momentum•60 minutes
1 assignment•Total 40 minutes
- Quiz 3•40 minutes
After completing this module you will be able to understand the meaning of G Score, build a trading strategy based on G Score and test the strategy that you have built.
What's included
6 videos1 reading2 assignments
6 videos•Total 56 minutes
- G Score - Back Ground•6 minutes
- G Score - Economic Intuition•18 minutes
- G Score - Strategy•6 minutes
- G Score - Numerical Example•9 minutes
- G Score - Closure•2 minutes
- Closure•15 minutes
1 reading•Total 60 minutes
- Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis•60 minutes
2 assignments•Total 68 minutes
- Quiz 4•40 minutes
- Practice Quiz•28 minutes
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Indian School of Business
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Reviewed on Jul 12, 2020
The formulas are not 100% accurate with the academic paper in certain examples.
Reviewed on Mar 6, 2021
The knowledge provided in this course is priceless
Reviewed on Sep 25, 2020
Sir is very knowledgeable. I would love to meet him in person and work under him.
Frequently asked questions
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