JayneshKasliwal

@JayneshKasliwal

18 Tweets • 2022-07-15 12:30:37 UTC •  See on Twitter

rattibha.com 

4 Steps to Create A Systematic Trading Strategy

A Thread Covering basics of Rules Based Trading

[1/17]

Traders gather past historical data and try to

identify profitable trading opportunities, backtest
their logic and develop profitable trading strategies
[2/17]
What matters is only data and what the data is
trying to tell you.
In rules based trading you don’t take trades based
on what you think is going to happen , rather you
follow the rules that you have created
[3/17]
A Systematic Trading consists of four major
components:
- Finding a
strategy and exploiting an edge.
- Obtaining
data and analysing strategy performance across
years .
[4/17]

- Linking to a
brokerage, automating the trading system and
minimising transaction costs.
- Optimal capital
allocation , strategy diversification and design .
[5/17]
What are the Pros and Cons of Systematic Trading
[6/17]

.
All quantitative trading processes begin with an
initial period of research. This research process
encompasses finding a strategy, seeing whether the
strategy fits into a portfolio of other strategies you
may be running.
[7/17]
 .
The goal of is to provide evidence
that the strategy is profitable when applied to
historical data.

This sets the expectation of how the strategy will

perform in the " ".
[8/17]

Where can you backtest Strategies ?

You can use , ,
for Backtesting Index Option
Strategies and , ,
to custom code and backtest all
other strategies
[9/17]

An is the means by
which the list of trades generated by the strategy
are sent and executed by the broker
[10/17]
The key considerations when creating an execution
system are
A.
B. Minimisation of
(including commission, slippage and spread)
[11/17]

C. of the
live system from backtested performance.

Example : You can use ,

, , or directly use
Python to deploy our strategies
[12/17]

Came across this start-up called Investmint

@investmintclub .They seem to have some
quantitative strategies for retail users. I joined their
beta group where I found two intraday strategies,
seems they are on to something interesting.
[13/17]
 . :
Risk management encompasses
, strategy diversification
and inbuilt limits for losses within a strategy
[14/17]

This is the means by which capital is allocated to a

set of different strategies and to the trades within
those strategies
Example : 2 Lakh per lot for Option Selling ,
keeping buffer cash for drawdown and MTM Losses
[15/17]
In Summary
How to / a strategy ?

Idea/Hypothesis
Specify entry,exit, SL
Position Sizing and Risk Mgt.
Trade log and Backtest Report
Test in diff. market conditions
Optimise the strategy
Track Real Time performance
Deploy
[16/17]

References :

[17/17]

https://financetrain.com/quantitative-
trading-vs-algorithmic-trading
https://www.investopedia.com/articles/active-
trading/112614/steps-becoming-quant-
 trader.asp
If you like this thread please retweet the first tweet
and follow me for more!

These pages were created and arranged by Rattibha services

(https://www.rattibha.com)
The contents of these pages, including all images, videos,
attachments and external links published (collectively referred
to as "this publication"), were created at the request of a user
(s) from Twitter. Rattibha provides an automated service,
without human intervention, to copy the contents of tweets from
Twitter and publish them in an article style, and create PDF
pages that can be printed and shared, at the request of Twitter
user (s). Please note that the views and all contents in this
publication are those of the author and do not necessarily
represent the views of Rattibha. Rattibha assumes no
responsibility for any damage or breaches of any law resulting
from the contents of this publication.