Part 4: Strategies, Performance Analysis, and Vistas

In previous parts, we gained sufficient knowledge to be able to develop a robust trading platform suitable for both backtesting and – with minimal modifications – live trading. We even coded a dummy strategy and as expected found that it could not make money if not tested properly.

Part 4 explains how to build a profitable trading strategy, from searching for trading ideas to implementing them in code. We will also learn how to generate the most important strategy performance data and analyze it to make the final verdict on whether such a strategy can be used in real life or not. Then, we will see how to correctly implement limit and stop orders and consider another trading strategy, based on a completely different trading idea. Finally, the last chapter suggests a few guidelines for further self-development in algorithm trading, with links to useful and valuable resources.

This part comprises the following chapters...