Getting started with algo-trading.

Hey everyone, I recently uploaded a Youtube video giving advice on getting started algo-trading.

It will be a first in a series of videos. What I want to do is walk you through the process of development from idea to deployment and provide advice along the way.

1. Think about outcomes, and build algorithms for the outcomes you want.

   1. Your outcomes could be consistent profits, low correlation to other portfolios, crisis alpha etc. You must have a desired outcome for your portfolio before you begin development.

2. Classify strategies that you can use to get the outcomes you desire.

   1. If you are getting started its helpful to classify strategies based on their characteristics. For example, you can classify strategies as trend following, mean reverting or Others. Others can be many other complex strategies, but you don't need to know them right now.

3. Combine strategies to make a balanced portfolio

   1. No one strategy will be a holy grail, so you must combine strategies to reduce the negative effects of each strategy and achieve the overall portfolio outcome.

4. Expand your strategy set.

   1. If your first combination of strategies didn't yield the desired outcome expand the strategy set. Try different type of trend following systems, for example, a moving average cross over or buy/sell on a 20 day high/low. Try different mean reverting systems like RSI reversals or Bollinger band reversals.

5. Put it all together.

   1. Combine the strategies and test them again for your desired outcomes. Keep repeating this until you have a combination that you like.

   2. This is where it gets hard though, because you need to think about position sizings, correlations, different markets etc. But generally, once you get to this point you can feasibly figure out how to structure the portfolio.

I challenge anyone to actually do this, build portfolios with multiple strategies and see if this works. I will do this for an upcoming video, but trust me it's not hard.