AlgoTrading101 – AT101 Algorithmic Trading Immersive Course

About Course:

AT101 Algorithmic Trading Immersive Course

Chapter 1 > Here’s What You Are in for!

• AT101 is Revamped!
• What are Trading Robots? (And why should I build them?) (Part 1)
• What are Trading Robots? (And why should I build them?) (Part 2)
• The First Step – How to Start Your Journey?
• MT4 Installer Direct Download
• MT4 for Mac
• Downloading Our Software (MT4)
• Introduction to MT4
• MT4 Basic Guide
• Download Template
• Structure of a Trading Robot (Part 1)
• Structure of a Trading Robot (Part 2)
• Structure of a Trading Robot (Part 3)
• Why choose MT4 over other software?
• Our Holy Grail – Secret to Successful Trading Robots

Chapter 2 > Programming Basics: Variables and Conditions

• The 3 Types of Code
• Syntax – The ABCs of Coding (Part 1)
• Syntax – The ABCs of Coding (Part 2)
• Reserved Words – Words you cannot use!
• Variables – The basic building blocks!
• Download Code for Expressions
• Expressions and Operations (Plus, Minus, Multiplication and Division)
• Operations and Precedence – Who comes first
• Conditional – If this then that (Part 1)
• Conditional – If this then that (Part 2)
• Chapter 2 Summary

Chapter 3 > Robot 1: Adeline – Our First Robot!

• Background to our Asset Class
• Chart Reading 101
• Download Codes for Adeline
• Theory behind Robot Adeline
• Coding Adeline (Part 1)
• Coding Adeline (Part 2)
• Understanding Shift
• Dry Run! – Our Robot Testing System (Part 1)
• Dry Run! – Our Robot Testing System (Part 2)
• 3 Types of Testing Method (Simple)
• Chapter 3 Summary
• Don’t worry about not understanding the code!

Chapter 4 > Uncommon Common Sense: Design Effective and Logical Robots

• Trading Robot Development Guide – Everything You Need to Succeed (Part 1)
• Trading Robot Development Guide – Everything You Need to Succeed (Part 2)
• Trading Robot Development Guide – Everything You Need to Succeed (Part 3)
• Pros and Cons of Trading Robots – Nothing is Perfect
• Calculating Long Term Expected Payout of a Robot
• Useful Resources
• Chapter 4 Summary
• Let’s Make the Course More Awesome
• Start Coding Your Own Trading Strategies
• Moving to Python?

Chapter 5 > Garbage In, Garbage Out. Understanding Data

• Data Sources and Storage
• Data Management
• Download Dirty Data
• Cleaning Data (Part 1)
• Cleaning Data (Part 2)
• Cleaning Data (Part 3)
• Trading on Bad Ticks – Avoid the Scammers in the Markets
• We are giving away 10GB of data! + Other Data Sources

Chapter 6 > Programming Basics 2: Loops

• Loops – Running a piece of code many times (Part 1)
• Download Code for Loops
• Loops – Running a piece of code many times (Part 2)

Chapter 7 > Robot 2: Belinda – Utilising Volatility!

• Quantifying Volatility – How Big are Average Price Movements?!
• Introducing our 2nd Robot: Belinda
• Download Belinda
• Coding and Testing Belinda

Chapter 8 > To Buy Big or Small? Position Sizing and Money Management

• Enable Macros for Excel
• Coin Flip Game – Understand Bet Sizing by Flipping Coins
• Theory behind Bet Sizing (aka Position Sizing/Money Management)
• Download Codes for this Chapter and the Next

Chapter 9 > Robot 2A: Belinda 2.0 (No Gambler’s Ruin for Me!)

• Coding our Sizing Algorithm!
• Upgrade time! – Adding Sizing Algos to Belinda
• Sizing Algo for Deposit Currency
• Brief Note – Market Opportunities in Forex vs CFDs!
• A Note on Simple Price Action – Adeline and Belinda

Chapter 10 > Where to Start? Idea Generation and Expectations

• Expectation of Strategies and Equity Curves (Part 1)
• Expectation of Strategies and Equity Curves (Part 2)
• Preliminary Research – First step to building Robots (Part 1)
• Preliminary Research – First step to building Robots (Part 2)
• Sources of Ideas!
• Strategy Creation Thought Process (Part 1) – A Closer look at Market Prudence
• What are Leading and Lagging Indicators
• Strategy Creation Thought Process (Part 2) – Think of Relationships
• Understanding Entries and Exits
• David vs Goliath – Can we outwit the big Funds?
• Don’t trade solely with Indicators
• Does this course suck? Or is it adding value to you?

Chapter 11 > Programming Basics 3: Functions, Time and Self-Learning

• Still lost at programming? Self-Learning Methods
• Types of Errors! And Common Coding Problems!
• Download Code
• Debugging Demonstration – Understanding the Thought Process
• Functions – Little Factories
• Coding User-Defined Functions
• When 2 lines cross – Creating a Cross Function
• Functions with No Output – Returning Void
• What is #Define
• Understanding Time and Dates
• Coding Practice!

Chapter 12 > Relevant Statistics 101!

• Statistical Significance and Law of Large Numbers – More is better
• Minimum Sample Size and Application to Trading
• Optional Readings on Statistics
• Minimum Sample Size vs Live Performance (Good Backtest! = Good Live Results)

Chapter 13 > Understanding Robot Behaviour and Robustness: Backtesting!

• The Aim of Backtesting – We are NOT trying to build the Ultimate Strategy
• Volatility and Timeframes
• 4 Main Types of Market Conditions
• Downloading Codes for Chapter 13
• Checking Trades – Ensuring Accuracy in the Codes
• Swap Rates – Overnight Costs
• Carry Trade – Earning from Interest Differentials
• 3 Types of Testing Method (Detailed)
• Modelling Quality – A Meaningless Number?
• Every Tick Testing Issue – Once Upon a Bar (Part 1)
• Every Tick Testing Issue – Once Upon a Bar (Part 2)
• Robustness – Staying Effective through Change
• Reminder: Don’t try to build the ultimate robust robot
• Fractals – Timeframe Robustness (NOT referring to candlestick patterns)
• Period and Timeframe Robustness
• Period Robustness (Part 2) – Market Prudence
• Seasonal Robustness – Repetitive Behavior in the Markets
• Seasonal Effects: Best Times to Trade
• Instrument Robustness Analysis
• Black Swans – Stress Testing our Robots through Tough Times
• Strategic Market Conditions (Part 1) – Building Robots for Specific Market Types
• Strategic Market Conditions (Part 2) – Recap, Market Prudence and Identifying SMC
• Parameter Value Selection: A Glimpse into Curve Fitting Bias
• Butterfly Effect: Start Point Phenomenon
• Robustness – A Summary
• Pass or fail? Backtest Performance Analysis
• Quick Technical Guide: Running your trading robot live

Chapter 14 > Programming Basics 4: Arrays and Indicators

• Mentality towards Technical Indicators – Not Magic Numbers
• Math behind Technical Indicators (Part 1)
• Math behind Technical Indicators (Part 2)
• Arrays – Invisible Tables of Data
• Download Codes for Arrays
• Programming Arrays (Part 1)
• Programming Arrays (Part 2)
• Programming Practice! – Arrays
• Buffers – Special Arrays for Indicators
• Structure of Indicators (Part 1)
• Structure of Indicators (Part 2)
• Explaining Indicator Code (Part 1)
• Explaining Indicator Code (Part 2)
• New Indicator Code and Property Strict
• Indicator Coding Practice 1: Replicating an Indicator Manually
• Indicator Information
• Indicator Coding Practice 2: Multiple Buffers
• Calling Self-Made Indicators – Using iCustom
• Indicator Code Resources

Chapter 15 > Robot 3: Clarissa – Playing with Time

• Download Code for Datetime Script and Clarissa
• Understanding the Datetime Data Type
• Coding for Seasonal Effects – Managing Date and Time (Part 1)
• Coding for Seasonal Effects – Managing Date and Time (Part 2)
• Introducing our 3rd Robot: Clarissa
• Coding and Testing Clarissa (Part 1)
• Coding and Testing Clarissa (Part 2)
• Coding and Testing Clarissa (Part 3)

Chapter 16 > What A Mess – Managing Trades, Orders and Positions

• Mixing it up: Multiple Order Types
• Understanding Market Makers – Can We Trade Like Them?
• Download Codes for Clarissa Modified and Falcon Template
• Managing 4- and 5-Digit Brokers
• Adjusting for Yen Pairs
• Order Limitations: Stop and Freeze Levels
• Upgrade Time: Introducing Falcon Template 1.0
• Order Functions
• Managing Orders with Code
• Market vs Instant Execution
• Upgrade Time: OrderSend Function Falcon 1.0
• Understanding Spread
• 4 More Order Types – Send Pending Orders
• Managing Multiple Positions with One Robot
• Closing Positions and Orders
• Breaking it up – Closing Orders Partially
• Risk Management – Limiting Trades when Things Go South
• Understanding Slippages and Requotes
• Handling Errors in Falcon

Chapter 17 > Robot 4: Desiree – Turtles

• History of the Turtle Traders Experiment – Converting Beginners to Top Traders
• Introducing our 4th Robot: Desiree
• Download Code for Donchian and Desiree
• Coding Our Turtle Indicator – Donchian Channels
• Coding and Testing Desiree (Part 1)
• Coding and Testing Desiree (Part 2)
• Coding and Testing Desiree (Part 3)
• Coding and Testing Desiree (Part 4)
• Let’s Make the Course More Awesome (Again!)

Chapter 18 > Design Theories I – Improving Robots by Manipulating Time, Entries and Exits

• Modelling Transaction Costs: Commissions, Spreads and Slippages
• Why We Dislike Lower Timeframes
• Same Robot. Different Timeframes. Different Performances.
• Understanding Stop Loss – Prudence and Noise Buffer
• Adaptive Components in Strategies
• Which should I use – Stops vs Trailing Stops
• Which is more Important – Entries vs Exits (Trade Management)
• Asymmetrical Rules – Long Short Bias

Chapter 19 > Add A Twist to Your Orders – Advanced Order Management

• Executing Trades Immediately – “Every tick” Backtesting
• Don’t Get Targeted – Hidden Stop and Take Profit (Part 1)
• Don’t Get Targeted – Hidden Stop and Take Profit (Part 2)
• Pseudo Logic: Breakeven Stops
• Optional Content
• Download code for Chapter
• Coding Hidden Stop and Take Profit (Part 1)
• Coding Hidden Stop and Take Profit (Part 2)
• Coding Hidden Stop and Take Profit (Part 3)
• Hidden Functions and “Every tick”
• 5 Types of Trailing Stops
• Coding Trailing Stops
• Coding Hidden Trailing Stops (Part 1)
• Coding Hidden Trailing Stops (Part 2)
• Coding Volatility Trailing Stops (Part 1)
• Coding Volatility Trailing Stops (Part 2)
• Coding Hidden Volatility Trailing Stops
• Manage Uncertainty – Limiting Trades When Volatility Spikes
• Adaptive Volatility Trailing Stops

Chapter 20 > Robot 5: Desiree 2.0

• Download Code for Desiree 2.0
• Coding Desiree 2.0

Chapter 21 > Buff Up Your Robot Responsibly – Optimisation Without Curve Fitting

• Introduction to Optimisation
• What To Aim For – Understanding Objective Functions
• Optimisation in MT4 (Part 1)
• Optimisation in MT4 (Part 2)
• Genetic Algorithm in English
• Optimisation in MT4 – A Look behind the Scenes
• Past Doesn’t Predict Future – Understanding Curve Fitting
• Optimising for the Future – 10 Ways to Minimise Curve Fitting
• Limitations in MT4’s Optimisation
• Types of Limitations
• Too Much Freedom is Bad – Understanding Degrees of Freedom
• Fuzzy Definition of Degrees of Freedom
• Setting up your Optimisation – Understanding Parameters
• In and Out-of-Sample Data – Training and Testing
• Optimisation Evaluation – Parameter Space Analysis (Part 1)
• Optimisation Evaluation – Parameter Space Analysis (Part 2)
• Independent Variables Optimisation – Breaking the Process Apart (Part 1)
• Independent Variables Optimisation – Breaking the Process Apart (Part 2)
• Quiz on Optimisation – Maximising Performance the Right Way
• Speeding Up Your Optimisations! Don’t Run Irrelevant Tests
• 3 Big Mistakes of Backtesting/Optimisation – 1) Overfitting 2) Look-Ahead Bias 3) P-Hacking
• Solution to the 3 Big Mistakes in Backtesting/Optimisation

Chapter 22 > Perfect Your Bet Sizing – Advanced Position Sizing Methods

• Enable Macros for Excel
• Beyond Risk = 2% – Optimising Risk Per Trade
• Download Code for Advanced Position Sizing
• Our Sizing Trilemma – The Impossible Trinity of Sizing
• Check Your Sizing – Ensuring Lot Size Compatibility
• Be Nimble Not Clunky – Breaking Down Large Orders
• Reference Hidden/Trailing Stops – Modifying Our Sizing Algo
• A Proposed “Optimal” Bet Sizing Algo – The Kelly (Part 1)
• A Proposed “Optimal” Bet Sizing Algo – The Kelly (Part 2)
• Kelly Criterion Resources
• Coding the Adaptive Kelly Sizing Algorithm (Part 1)
• Coding the Adaptive Kelly Sizing Algorithm (Part 2)
• Coding Hit Rate and Reward Ratio Functions
• Notes on Adaptive Sizing
• Adaptive Position Sizing – Tailoring to Target Factors (Part 1)
• Adaptive Position Sizing – Tailoring to Target Factors (Part 2)
• Coding an Adaptive Volatility Sizing Model
• Formulating Adaptive Sizing Algorithms
• Coding an Adaptive Hit Rate Sizing Model
• Summary – Reviewing our 3 Sizing Methods
• Is this course of good value?

Chapter 23 > Robot 6: Elizabeth and the Ugly Martingale

• Elizabeth – Martingale and Myths (Part 1)
• Elizabeth – Martingale and Myths (Part 2)
• Elizabeth’s Rules
• Download Elizabeth
• Coding Elizabeth (Part 1)
• Coding Elizabeth (Part 2)
• Elizabeth Upgraded – Introducing Elizabella
• Programming Elizabella (Part 1)
• Programming Elizabella (Part 2)
• Programming Elizabella (Part 3)

Chapter 24 > Programming Basics 5: Clean Up Your Codes! Simple Is Fast!

• MT4’s Global Variables (Not referring to global scope!)
• Download Code for Programming Basics 5
• Coding Simple Global Variables
• Coding Global Variables (Spread)
• Coding Global Variables In an Indicator (Highest Spread)
• Cleaner Code 1 – Record Backtest Timings
• Cleaner Code 2 – Coding Principles!
• Cleaner Code 3 – Once a Bar
• Cleaner Code 4 – Partial Once a Bar + Once an Entry/Exit
• Cleaner Code 5 – Efficient Indicators
• Include vs Import
• Coding with the Include method
• Coding with the Import method
• Dynamic Link Library (DLL)
• Code Robustness – Write Good Code

Chapter 25 > Garbage In, Garbage Out Again. Advanced Data Cleaning (Part 1)

• Offline Testing and Multiple MT4 Instances
• Backtesting – Designated vs Actual Period
• Download Code for Advanced Data Management (Part 1)
• Creating Custom Timeframes
• Backtesting with Custom Timeframes
• Different Data, Different Output – Reconciling Backtest Results
• Clean Data, Biased Output – Backtesting vs Live Trading Results
• 1 Min Intrabar – Behind the Scenes

Chapter 26 > Excel VBA – Using Excel Magic to Improve Our Trading

• Check out the VBA Course

Chapter 27 > Garbage In, Garbage Out Again. Advanced Data Cleaning (Part 2)

• Managing Time Zone Difference between Data and Broker
• Understanding Date and Time in Excel
• Download Code and Files for this Chapter
• Modifying Dates and Time of our Data (Part 1)
• Modifying Dates and Time of our Data (Part 2)
• Data Cleaning Series – Definition of Clean Data
• Data Cleaning Series – Problems with Dirty Data (Generic)
• G in G Out Framework (Theory) – The Mega Data Cleaning Framework (Part 1)
• G in G Out Framework (Theory) – The Mega Data Cleaning Framework (Part 2)
• G in G out Framework (Practical) – Listing and Scanning for Errors
• G in G out Framework (Practical) – Basic Error Visualisation
• Excel How-To: Scatter Plot and Histogram
• G in G out Framework (Practical) – Fixing Errors using Clean Reference Data
• Limitations of Excel – Dealing with Large Dataset
• A Glimpse into Advanced Data Chapter (Part 3)

Chapter 28 > I Like Colors and Shapes – Adding Graphics

• Download Code for Chapter
• Building Dashboards with Comments
• Building Dashboards with Comments (Falcon 2.5)
• Building Dashboards – Indicators vs Scripts
• Creating and Deleting Graphical Objects – Shapes, Arrows, Lines, Words (Part 1)
• Creating and Deleting Graphical Objects – Shapes, Arrows, Lines, Words (Part 2)
• Creating and Deleting Graphical Objects – Immovable Words
• Modifying Objects (Properties) – Thicker lines, changing colours etc (Part 1)
• Modifying Objects (Properties) – Thicker lines, changing colours etc (Part 2)
• Displaying Your Information – Dashboard (Indicator)
• Creating Buttons and Dealing with Chart Events (Part 1)
• Creating Buttons and Dealing with Chart Events (Part 2)

Chapter 29 > Ring Ring! Notify Yourself When Something Goes Wrong (Or right)

• Introduction to MT4 Notifications
• Download Code for Notifications Chapter
• Coding Notifications – 6 Case Studies
• Trade Notifications with no coding!
• MetaTrader 4 General Alerts

Chapter 30 > Robot 7: Faye – Semi-Automated Trading

• Download Code for Faye
• Programming Faye 01 – Trade + Alerts
• Faye 02 Theory – Semi-Automated Robot
• Programming Faye 02 – Semi-Automated Robot (Alert Only)

Chapter 31 > Connect with the outside world – Importing and Exporting Data out of our Trading Platform

• Expanding our Trading Options – Reasons for Reading and Writing Data
• Download Code
• One number – Read and Write data (Part 1)
• Multiple numbers – Read and Write data (Part 2)
• Write to the end + Error Management – Read and Write data (Part 3)
• Storing Files – Non-tester vs Tester
• Recording Spreads: Bid-Ask Spread Logger

Chapter 32 > Programming Basics 6: Trading Platform Nuances

• Download Code for Programming Basics 6
• The Little Details – MT4 Nuances (Part 1)
• The Little Details – MT4 Nuances (Part 2)
• Modifying Function Inputs – Multiple Outputs and Arrays
• Backtest Accuracy – Different Quote and Deposit Currencies
• Fixing with Custom Tick Values (Programming) – Different Quote and Deposit Currencies
• Testing Features and Limitations in MT4

Chapter 33 > Design Theories II – The “Secret Sauce”

• Mindset behind Strategies: Prudence-Behavioural Framework (Fundamentals vs Statistics)
• Types of Alpha (Introduction)
• Alpha Type 1: Data (Numbers, Images and Text)
• Alpha Type 2: Global Macro
• Alpha Type 3: High-Frequency Trading
• Alpha Type 4: Market Microstructure
• The Hybrid Model – Semi-Algorithmic Trading (Algo + Manual)
• Practical Understanding of Commissions, Volatility and Shift
• 5 Realities of Algorithmic Trading – All Strategies Die Eventually
• Crowd Behaviour – Outwitting the Masses

Chapter 34 > Walk Forward Optimisation – The Most Important Step in Testing

• What is Walk Forward Optimisation and Why I Do Need it?
• Wthout WFO – Wrong Way to Optimise. Making 2700%
• WFO Demonstration
• Download Code and File
• Recording Results, Expectations and Automation
• WFO Does Not Eliminate Curve Fitting – Look-Ahead and P-Hacking
• Profit is Not Enough – Customising Objective Functions
• Coding Customised Objective Functions (Part 1)
• Coding Customised Objective Functions (Part 2)
• Size of In and Out-of-Samples + Overall Duration
• Walk Forward Robustness and Performance Analysis

Chapter 35 > Trading Non-Forex CFDs with MT4 (Stocks, Commodities, Fixed Income and Crypto)

• MT4 EAs for CFDs – Understanding the difference with Forex EA
• Download code for this chapter
• Demo accounts for CFDs

Chapter 36 > Trading on External and Alternative Data with MT4

• External Information Inputs – Adding Alpha to Our Strategies
• Download Code for Chapter

Bonus Chapter!

• Falcon Template – Our Main Robot Template