Advanced Trading Algorithms
Indian School of Business
Coursera
list 4 sequences
assignment Level : Intermediate
label Finance
chat_bubble_outline Language : English
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Users' reviews
4.3
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3 reviews

Key information

credit_card Free access
verified_user Fee-based Certificate
timer 20 hours in total

About the content

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.

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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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Intructors

Prasanna Tantri
Senior Associate Director
Center for Analytical Finance

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Content designer

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.
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Platform

Coursera is a digital company offering massive open online course founded by computer teachers Andrew Ng and Daphne Koller Stanford University, located in Mountain View, California. 

Coursera works with top universities and organizations to make some of their courses available online, and offers courses in many subjects, including: physics, engineering, humanities, medicine, biology, social sciences, mathematics, business, computer science, digital marketing, data science, and other subjects.

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Best review

Thanks for putting together a truly remarkable course.. loved every bit of it.. lucid explanation, right amount of material, covers top research papers.. hats offcant wait for the - text analytics based strategies

Published on November 10, 2017
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on the January 21, 2018
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Good material, emphasizes how to "think" when constructing trading strategies. However, there seems to be a disconnect between what is conveyed in class vs what is asked on quiz. The explanation for several of the calculations could be more clear.

on the November 10, 2017
starstarstarstarstar

Thanks for putting together a truly remarkable course.. loved every bit of it.. lucid explanation, right amount of material, covers top research papers.. hats offcant wait for the - text analytics based strategies

on the March 22, 2017
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The course is excellent! Straight to the point, both professors can explain the subject in a very easy way. The course was a pleasant surprise!! I strongly recommend!