Algo Trading Roadmap and Resources:
(“Almost all are resources are free, when I never paid then why should I let you hehe”- Nakshatra!!)
Step 1 -> Probability and Statistics (advance as much as you can!!)
Step 2 -> Time Series Analysis (very important!!)
Step 3 -> Feature Engineering (trust me, it’s all a game of features!!)
Step 4 -> Develop Trading Hypothesis (research papers!)
Step 5 -> Get the Suitable Data (need not to pay until and unless you are a quant
firm!!)
Step 6 -> Code and Backtest the Hypothesis (be extremely careful while backtesting,
never take it lightly!!
Carefully choose your evaluation metrics (read their use-case too!!) -
(i) Sharpe Ratio (vi) Win Rate (xi) VaR and CVaR
(ii) Sortino Ratio (vii) Avg Winning/Losing Trade (xii) Skew and Kurtosis
(iii) Calmar Ratio (viii) Account Size Required (Kelly Criterion)
(iv) Max Drawdown (ix) Max Consecutive Winning/Losing Trades
(v) Net Profit/Loss (x) Profit %
Common Mistakes in Backtesting -
(i) Look-ahead Bias (eg -> back-filling missing values or live market OHL data to forecast C)
(ii) Survivorship Bias
(iii) Not considering Transaction costs, slippage and data-feed latency
(iv) Congruence Bias
(v) Curve Fitting (eg -> tweaking parameters to get good performance in in-sample data!!)
(vi) Not performing Stress Testing on Strategy (different market scenarios or simulations)
(vii) Data Snooping Bias
(viii) Incorrect Data or Timing of the data or testing it on a single time frame
(ix) Not keeping market Regime Shifts in Mind!! (evolving patterns)
(x) Using some random black-box model that overfits the market’s low signal-noise ratio data
easily by capturing random non-repeating patterns rather than actual predictive signals!!
(only use NN etc for features building only and build your model on statistics or interpretable
models only)
Step 7 -> Proper Out-of-sample testing and then deployment
Books:
1. Learn Statistics and Probability:
Basic Concepts -
A First Course in Probability 9th [Link]
Advance Concepts -
[Link]-math-cs.blog_.ir_.pdf
2. Learn Financial Market Concepts:
Home – Varsity by Zerodha
[Link]
3. Financial Time Series Analysis: Analysis of Financial Time Series - Ruey S. Tsay
4. Algorithmic Trading:
Algorithmic Trading Ernest P [Link]
5. Machine Learning for Algo Trading:
Stefan Jansen - Machine Learning for Algorithmic Trading_ Predictive models to extract signals from market and
alternative data for systematic trading strategies with Python, 2nd Edition-Packt [Link]
Blogs:
For Strategies - [Link]
For Code Implementation - [Link]
For Quant Research Papers - [Link]
If you love maths! - [Link]
Discussion Forums:
Reddit - [Link]
Babypips - [Link]
Quantra - [Link]
YouTube:
1. Darwinx Backtest and Optimise Playlist (Must check!!! Highly underrated but most recommended), Channel is
also very good - [Link]
2. ChatWithTraders - [Link]
3. Quantopian - [Link]
4. QuantPy (Quant with Python) - [Link]
5. Lazy Programmer (3 videos on Mistakes in Forecasting Models) -
Common Mistakes in Stock Price Prediction: Train-Test Split (Episode 22)
[Link]
[Link]
India Market Data (Free):
1. Options Data Scraping from NSE (hehehe) - [Link]
2. Nifty 500 1 minute time frame OHLCV data (Feb 2015- Nov 2024) -
[Link]
select=ABFRL_minute.csv
3. Nifty and Banknifty Futures and Options Data (2020-2024) -
[Link]
4. Nifty 50 Stocks Daily Update Data - [Link]
master-data-24
Udemy Course (personally tried):
1. Algorithmic Trading A-Z with Python, Machine Learning & AWS (Alexander Hangmann):
[Link]
couponCode=UPGRADE02223
Can Check other Courses by Alexander if needed, and the best part is, he updates it regularly!!! (lastest
updates being Nov and Dec 2024!!!) - [Link]
2. Thames and Hudson (btw not Hudson River Trading!!): [Link]
quantitative-research/
