Vom 2.-4. Oktober 2015 findet die diesjährige IFTA* Konferenz in Tokyo statt. Und ich habe die Ehre am 3. Okt. einen Vortrag zum Thema Algo Trading zu halten:
Mehr zum Vortrag und der Konferenz unter http://www.ntaa.or.jp/IFTA2015/contents/agenda3E.htm
How to develop, back-test, and optimize algorithmic trading strategies based on the broad spectrum of Technical Analysis means and methods
In order to be a successful technical analyst and systematic trader it is necessary to be honest to yourself and measure your performance. The basis for performance measurement is a set of clearly defined rules like when to buy or sell, when to increase or decrease the size of an open position and how to handle risk. At the end of this workshop, you should be able to develop your own multi-market trading strategy respectively your own portfolio of (non-correlated) trading strategies.
In this pre-program workshop you will learn, how to
– develop a systematic approach (algorithmic trading strategy) based on (self-developed) indicators and chart patterns
– back-test a strategy using in-sample and out-of-sample tests as well as walk forward tests
– qualify back-test results using criteria like Sharpe Ratio, Sortino Ratio and Maximum Drawdown
– find the right size of a position (fixed capital, volatility-adjusted, fixed fraction etc.)
– set stops (fixed, trailing, volatility-based etc.) and how to improve them by using techniques like Maximum Adverse Excursion
– test the robustness of an algorithmic trading strategy
– assemble a set of non-correlating strategies (returns of each strategy are non-correlated) to trade large baskets of stocks; especially useful for algorithmic portfolio managers
– easily start programming your own systematic strategies by using an EasyLanguage? like programming language
During the workshop, some examples will be presented from the field used by institutional traders from around the globe. This workshop has been specifically designed for beginners and veterans alike. All conference attendees are welcome, feel free to join the pre-program workshop!
EasyLanguage is a trademark of TradeStation Technologies, Inc.
Big in Japan!
*International Federation of Technical Analysts www.ifta.org