Advanced Trading Algorithms (Coursera)

Advanced Trading Algorithms (Coursera)

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.

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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.

Course 3 of 5 in the Trading Strategies in Emerging Markets Specialization.

Syllabus

WEEK 1
Strategy - Accruals
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.

WEEK 2
Strategy - Betting against Beta
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.

WEEK 3
Strategy - Momentum & Momentum Crashes
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.

WEEK 4
Strategy - G Score
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.

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