SYLLABUS
Quantitative Trading and System Development​

COURSE DESCRIPTION

The use of automated trading systems has grown enormously in the past decade. Trading volumes from financial institutions and proprietary trading firms is now driven primarily by computer algorithms. This growth has been driven by the availability of modern technologies, The challenge for traders is how to use the modern technologies to their advantages and to build robust quantitative trading systems.
 
This course aims to remedy this by providing students who have trading experience a foundational knowledge of systematic trading that will enable them to develop automated trading systems grounded in quantitative finance and risk management principles. Upon completion of this course students will have learned how to design a robust trading system for a variety of markets and will have developed a working trading system of their own design. They will also have gained ‘real world’ trading knowledge which will further them along their career as a quant trader, analyst or system developer.  

Key ‘takeaways’ and topics to be covered in this course:
  • Develop a working trading system of your own design
  • Be able to perform in-sample and out-of-sample tests
  • Learn how to properly optimize for stops and profit targets according to market type. 
  • Employ portfolio and risk management techniques such as position sizing, portfolio optimization, asset and risk allocation
  • Learn advanced trading concepts such as volatility trading, correlation (statistical arbitrage)
  • Utilize quantitative methods such as of autocorrelation, cointegration, and variance ratio tests to find statistical edges.

MODULES

Module 1. Introduction to Quantitative Trading
  • Why we should employ algorithmic trading: advantages, challenges, opportunities.
  • The history of algorithmic trading and current industry trends.
  • Programming languages and platforms  
  • How algorithmic systems are employed
  • Career path and how to prepare for a career: HFT prop, market making firms, HFT hedge funds, macro hedge funds, CTA firms, pension funds, insurers
 
Module 2. Characteristics of the Markets
  • How to characterize a market: trending vs. mean reverting
  • Tools used to identify the market types.
  • How to quantify market’s volatilities

Module 3. System Design
  • Entry system parameters 
  • Exit system parameters: stop losses, profit target
  • Parameter optimization
  • System validation: out- of- sample testing, walk forward testing, Monte Carlo simulation
 
Module 4. Risk Management and Position Sizing 
  • Position sizing in a single underlying
  • Position sizing in a portfolio of multiple underlyings, portfolio of systems: risk parity, volatility targeting
  • Portfolio optimization
  • Asset allocation / Risk allocation models
 
Module 5. Advanced Topics 
  • Advanced strategies: scalping, HFT, stat arbitrage, market making
  • Spread trading: correlation, cointegration
  • Quantitative methods applied to spreading, options, volatility 
 
Appendix and References
  • Mathematical concepts: correlation, autocorrelation, cointegration, variance, standard deviation, random process, Monte Carlo simulation

COURSE FORMAT

  • Course length: 5-10 weeks. Total class time: 20 hours (2 x 10 classes) + unlimited access to News vs. Noise trader chat room. 
  • Study modules accessible to students via a web-based learning management system and taught online via Skype.
  • Teaching modules vary from home-study modules to ensure an engaging, interactive class atmosphere. 
  • Classes held in a live trading environment whenever possible.
  • Student participation such as Q&A, trade review and critique is encouraged since active participation helps ensure effective reinforcement of course material. 

PRE-REQUISITE

A basic knowledge of Microsoft Excel is required for this course.

COURSE PRICE

$3750 USD​​

FEEDBACK ON SYSTEMATIC TRADING

Marco Ruiz
"In 2016, I took a Master in Trading course with Adam Jagiellowicz. He explained all the aspects of trading fundamentally andtechnically, making emphasis on Market Profile, price action and trading patterns. Adam made sure I understood all the subjects he explained, and to help me make continuous progress on my trading abilities, he continued to help me after the course. The market understanding and knowledge I got after the program is priceless and is something no school or university will provide"