Trading System Design
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This document outlines the agenda for a two-day Amibroker AFL programming workshop in Bangalore. Day 1 covers introduction to trading system design concepts, Amibroker programming, backtesting, and other testing methods. Day 2 focuses on intraday and dynamic trading strategies, dashboards, position sizing, and rotational systems. The workshop also discusses components of trading systems, different types of traders and systems, and important considerations like risk management and system validation.
Trading System Design
- 1. AFL 2015 Amibroker AFL Programming Workshop Bangalore © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 2. Day 1 - Agenda • Introduction to Trading System Design and Design Concepts • Basics of Amibroker AFL Programming and Advance Looping Concepts • Backtesting, Optimization and Key Backtesting Metrics • Custom Backtesting, Walk Forward Testing, Monte Carlo Simulation © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 3. Day 2 - Agenda • Symphony Fintech on Algo Trading • Creating Intraday Trading Strategies and Dynamic Trading Strategies • Designing Trading System Dashboard and Alerts • Position Sizing, Scale In and Scale Out • Timing Models and Rotational Trading System © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 4. What I do? • Running a Financial Services Start-up • Financial Blogger and Author of www.marketcalls.in since Sep 2007 • Passionate About Trading Analytics and Systems. • System Trader. • More www.marketcalls.in/about © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 5. INTRODUCTION Introduction to Trading System Design And Design Concepts © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 6. COMPONENTS OF TRADING SYSTEM Trade Data Volatility Trading Software Trading Rules Emotions Testing & Validation Risk Control Market Participants Position Sizing © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 7. What Kind of Trader You are? • Intraday Trader • Positional Trader • Short Term • Medium Term • Long Term © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 8. What Matters • Emotional Quotient • Your Belief about your Trading System • Quality Data feed • Stable Trading Solution • Low Cost Brokerage • Lower Impact Cost • Better Money Management © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 9. Trading Software • Amibroker • Ninjatrader • Multicharts, Multicharts.Net • Esignal • Metastock • Metatrader • Wealth-Lab Pro © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 10. Free Data Providers for Amibroker © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in Google Finance (EOD, Intraday) Yahoo Finance (EOD, Intraday, Fundamental) ASCII (csv, txt) MSN Money (EOD) Quandl (EOD)
- 11. Authorized Data Vendors for Amibroker © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in Globaldatafeeds Neotradeanalytics Esignal (Platform + Data feed) True Data Interactive Brokers (Brokerage + Data feed )
- 12. Type of Trading System • Mechanical Trading System – Absolutely No Human Decision Making - Trend Following - Mean Reversion - Statistical Arbitrage • Discretionary Trading System – Human Decision Making Involved © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 13. Disadvantages of Trend Following • Always Lagging the trend • Whipsaws even in Trending Market • Loss Making in Sideways Market • Extreme Volatility is Dangerous for Trend Following © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 14. Disadvantages of Mean Reversion • Extreme Volatility • Unlimited Downside © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 15. Stages in Trading System Design Analysis Design ImplementTesting Evaluate © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 16. SYSTEM HEALTH Time Drawdown Confidence © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 17. Equity Curve © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 18. Drawdown © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 19. Why Not to Loose More Money © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 20. SYSTEM EXPECTANCY Helps to understand how winners, losers, gains and losses relate to each other over the long term. Expectancy = (Win Ratio * Average Win) - (Loss Ratio * Average Loss) © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 21. LISTEN TO VOLATILITY © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 22. Listen To Market Dynamics (Discretionary) • Volatility • Market Participants • Macro Economics • Currency • Commodities • Global Market Sentiments © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 23. Trading System Adoption © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 24. Trading System Once Broken is Broken Don’t Try to Fix it! © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 25. Aware About Unseen Risk Try to Avoid! © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 26. Beware of Stop Hunting A strategy that attempts to force some market participants out of their positions by driving the price of an asset to a level where many individuals have chosen to set their stop-loss orders. - investopedia © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 27. Mid Day Stop Hunting • Most of the Days 50% of Volume Happens in first or last 30min • Liquidity Dry Up during mid of the day • Very less volume is required to move the stock during mid-day • Weak Longs/Short Removed from the Market © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in
- 28. A trader always has too much size on when wrong, too little on when right. Avoid Too Much of Leveraged Positions © Copyright 2015 Marketcalls Financial Services Pvt Ltd · All Rights Reserved www.marketcalls.in