Advanced Trading Algorithms

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Description

When you enroll for courses through Coursera you get to choose for a paid plan or for a free plan

  • Free plan: No certicification and/or audit only. You will have access to all course materials except graded items.
  • Paid plan: Commit to earning a Certificate—it's a trusted, shareable way to showcase your new skills.

About 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…

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When you enroll for courses through Coursera you get to choose for a paid plan or for a free plan

  • Free plan: No certicification and/or audit only. You will have access to all course materials except graded items.
  • Paid plan: Commit to earning a Certificate—it's a trusted, shareable way to showcase your new skills.

About 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.

Who is this class for: This course is primarily aimed at individual investors and money managers who want to gain the skills required to develop their own trading strategies and make money using them

Created by:  Indian School of Business
  • Taught by:  Prasanna Tantri, Senior Associate Director

    Center for Analytical Finance
Basic Info Course 3 of 5 in the Trading Strategies in Emerging Markets Specialization Level Intermediate Commitment The estimated workload for this course is 4 to 5 hours per week Language English How To Pass Pass all graded assignments to complete the course. User Ratings 4.5 stars Average User Rating 4.5See what learners said Coursework

Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.

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Indian School of Business The Indian School of Business has successfully put India on the global map of management education by nurturing young leaders with an understanding of developing economies and the society at large. Through innovations in curricula and pedagogy to reflect the shifting business landscape, the ISB is committed to providing the best venue for management education to meet the growing need to develop young leaders who can manage global challenges.

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.


4 videos, 1 reading expand


  1. Video: Accruals - Introduction
  2. Video: Accruals - Calculation
  3. Video: Accruals - Ratios
  4. Video: Accruals - Strategy
  5. Reading: Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?

Graded: Quiz 1

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.


3 videos, 1 reading, 1 practice quiz expand


  1. Video: Betting against Beta - Introduction
  2. Video: Betting against Beta - CAPM
  3. Video: Betting against Beta - Strategy
  4. Reading: Betting Against Beta
  5. Practice Quiz: Practice Quiz

Graded: Quiz 2

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.


9 videos, 1 reading expand


  1. Video: Momentum - Introduction
  2. Video: Momentum - Lookback period
  3. Video: Momentum - Strategy
  4. Video: Momentum - Returns
  5. Video: Momentum crashes - Introduction
  6. Video: Momentum crashes - Options primer 1
  7. Video: Momentum crashes - Options primer 2
  8. Video: Momentum crashes - Abstract
  9. Video: Momentum crashes - Strategy
  10. Reading: Momentum

Graded: Quiz 3

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.


6 videos, 1 reading, 1 practice quiz expand


  1. Video: G Score - Back Ground
  2. Video: G Score - Economic Intuition
  3. Video: G Score - Strategy
  4. Video: G Score - Numerical Example
  5. Video: G Score - Closure
  6. Reading: Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis
  7. Video: Closure
  8. Practice Quiz: Practice Quiz

Graded: Quiz 4
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