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Robot Wealth Fundamentals of Algorithmic Trading
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Author:  longy [ Thu Jan 05, 2017 6:38 am ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Hello everyone. My name is Kris and I'm the founder of http://www.robotwealth.com which is a blog about algorithmic trading. I've been a member of the SHF forum for a while, but haven't been active yet.

By way of introduction, my background is in engineering and machine learning. I practised outside of finance for over a decade before getting into the industry full time. Since making the jump, I've been a prop trader and worked as a quant in a Sydney-based hedge fund. I currently run a boutique quant-focused consultancy, Quantify Partners - http://www.quantifypartners.com - that helps folks to get a handle on the machine learning and artificial intelligence revolution that we are currently living through.

Although Quantify takes up most of my time, I am passionate about working with individual DIY traders. Since making the leap into finance, I've been astounded at how much misinformation is out there for DIY traders trying to make a go of it. Some of this misinformation arises through a lack of knowledge, but a lot of it is deliberately misleading, which I find appalling.

Robotwealth.com started as a blog about my foray into algorithmic trading, but has morphed into something of a hub for individuals interested in the subject. As a counter to the misinformation out there, I wrote an introductory algorithmic trading course, which I am selling via my website. The course has a quantitative flavour, but is intended to be suitable as an introduction to the science of algorithmic trading more generally. When I was writing the course, I thought about the things that I would have found useful when I first started out with algo trading.

My tool of choice for the course is the Zorro Trading Automation Platform, which I believe has featured here on SHF in the past. I chose this tool because I think it is hands down the best tool for individual traders to develop serious trading algorithms. It performs fast and accurate simulations and is packed full of useful technical and quantitative tools packaged as pre-written functions. It can also access R libraries for machine learning, statistics, econometrics or any other tools available in that platform. It can be used to trade directly via broker API (Oanda, FXCM, and Interactive Brokers plugins included) or via any Empty4 terminal. For anyone who has laboured with MQL, Zorro's programming language, Lite-C, will be like a breath of fresh air.

You can check out the Zorro platform here: http://www.zorro-trader.com/

My course consists of the following modules:

1. Introduction to Algorithmic Trading Tools. This is essentially a 'learn to program' module designed to get new programmers up to speed with Lite-C as quickly as possible. If you are already a coder, this module will be a handy reference for Lite-C. If you are new to programming, this will provide a gentle but robust introduction.

2. Developing Trading Algorithms. This module focuses on robust strategy development through the use of sensible optimisation, out-of-sample testing and walk-forward analysis.

3. Understanding Automated Strategies. This module consists of 10 example strategies coded in Lite-C with explanatory notes. The intent is to provide a practical demonstration of how to set up different types of trading systems using Lite-C. Serious warning: I never intended anyone to trade these systems directly; rather the intent is to demonstrate how to accomplish certain tasks using Lite-C and Zorro. Having said that, I do think that it is possible to use parts of these systems in real trading applications - but that is up to the individual's discretion.

I was recently talking about the course to someone interested in taking it and described it thus:

1. It equips DIY traders with tools that give them the best chance of success.
2. It shows DIY traders some techniques that will nearly always prevent them from trading a system that shouldn't be traded.
3. It gives DIY traders a realistic insight into what it takes to succeed in algorithmic trading - no 'easy money' here.

Note the focus in point 2 above is on preventing bad systems from going live. I can't and won't guarantee that you will find a profitable system - that's really up to your skill and persistence - but if you apply the techniques in the course as they are intended, you will nearly always identify a poor system prior to going live.

The modules can be purchased individually or as a bundle. Purchased as a bundle, they sell at a slight discount for $299USD. You can also split the cost up over a number of months. There is also a 7-day, no-questions-asked money back guarantee - and I have no issue with folks using it to try out the course.

I am very keen to ensure that anyone who takes the course is able to put the tools and techniques to good use. To that end, I welcome any feedback, suggestions, requests for additional content and the like. You can email me directly via kris[at]robotwealth[dot]com or post your comments to this thread for all to see. I'll check in regularly.

One final note: as I mentioned, the course is very much focused on the 'Fundamentals'. Algorithmic trading, and quantitative trading in particular, are enormous fields of study which would be impossible to encapsulate completely into one course. My intention with this course is to introduce the statistical and programming tools that form the basis of successful algorithmic trading. It is intended as a solid foundation and stepping off point. There is a huge amount of further material I would like to provide and to that end in my spare time I am working on an Advanced Algorithmic Trading course, which will focus more on quantitative tools and further robust optimisation techniques, and a Machine Learning in Trading course.

To check out the course in more detail,please use this link: http://robot-wealth-algorithmic-trading ... 1_lpo2d2n_

If you've read this far, thank you for reading and all the best with your trading.

Cheers
Kris
Author:  SteveHopwood [ Sat Jan 07, 2017 3:02 pm ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
I endorse this thread.

Kris comes across to me as an honest individual genuinely wanting to help people make sense of the train-wreck that is retail Forex trading. I have read his course and can attest to his intelligence and expertise.

Zorro is a free, open-source project. It is developing an interface that allows users who have devised a trading strategy to write an algorithm (EA in our terms) and intelligently back test it to see if it might survive actual trading. Note my use of "intelligently back test". Zorro is as far removed from Empty4's Crapergy Tester as is chalk from a Ferrari.

There are pros and cons regarding the course.

Pros:
  • it teaches you the fundamentals of Lite-C, a language developed specifically for trading by people with firing synapses. It is brilliant. One line of Lite-C often replace a lot of CrapQl4 code.
  • you will be able to understand a lot of the code published at SHF because so much of the syntax is the same.
  • Tthe Zorro code editor can create files that can be run on our trading accounts but it is complicated and not the point of Kris' course..
  • the course is cheap.
  • it teaches you the process of 'robust' optimisation - a process involving in-sample data, out-of-sample data, and walk-through analysis. Not a clue what this means? Nor did I have any idea a week ago.
Cons:
  • Kris is typical of experts who are not used to explaining things to beginners. Something will suddenly appear in his writing and I had no idea where it came from, or what to do with it in the future.
  • you will need to spend time outside the course material if you do not have a background in stastics. Kris mentions things that will have statisticians nodding in approval, but which the rest of us will have to Google. I read the course from the point of view of a forum owner needing to decide whether to endorse a commercial product, not as someone taking the time to understand everything. I frequently had no idea what Kris was talking about.
  • I have yet to divine how to link the Zorro interface to my Global Prime account. There is nothing in the course to explain this, and the Zorro 'help' is rubbish in this respect.
  • Completing the course will give you an understanding of basic coding concepts. Lite-C is a compact language. Mql4 is a verbose one but you will have the ability to study the source codes published at SHF and learn to code your own EA's easily.

    Programmers fluent in writing code in any of the high level languages or CrapQl4 do not need part one of the course. You will quickly grasp the syntax, data types and built in functions.

    Non-programmers with a background in statistics, I recommend this course wholeheartedly.

    To the rest of you, what you will gain from the course is huge, but it will take you a while; don't expect to cover it in a week.

    Those of you who sign up, please leave feedback here. It will help Kris improve the course. Where something he has written makes as much sense as the burblings of an infant, whinge about it here and force Kris to explain. He can then rewrite the offending course material, which will help others in the future.

    Kris, it would be great if some of your former course members would come here and offer their endorsement of your product.

    :xm:

    Note: I will probably be editing this post in the future.
    Further note: yep. Already done so.
Author:  zentrader [ Sat Jan 07, 2017 6:25 pm ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
I have bought the course today and went quickly through first module.
I think that Kris is credible man who knows what he's talking about.
Course is laid out in clear and proper way. So far I am satisfied.

For me, the first and foremost important thing is credibility and competence of author.
I think that Kris comply with both. I am really fed up with internet marketers selling craps.
This course is breath of fresh air.

Thank you
Author:  4xBones [ Mon Jan 09, 2017 2:34 am ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Hi future coders,

I was one of Kris's first students, with zero programming skills apart from some basic Fortran 4 at university (a loooong time ago). I had been trying to teach myself Zorro for quite a while, to no avail using the included tutorials. I started Kris's course on 22 July 2016, and by 27 July had my first working algorithm, which was a daily pivot break out strategy, based on a profitable manually traded system that I used. By 3 August had programmed two additional strategies based on systems I was currently using.

I haven't looked back since, and have produced numerous strategies, including binary options, and am now integrating Zorro with 'R' and looking into machine learning etc.. :)

I found Kris's personal support second to none.

If you are considering learning Zorro with little to no programming skills in Lite-C then Kris's course comes highly recommended by me.

Cheers,

Nigel
Author:  longy [ Mon Jan 09, 2017 8:00 am ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Firstly, Steve, thanks for your forthright comments about the course. It's exactly the sort of candid feedback that can only help to improve the course and make it accessible to a wider audience.

I really do welcome that sort of feedback from anyone who has taken the course, so please go ahead and leave your questions and comments here. You can also email me direct via kris[at]robotwealth[dot]com if you prefer.

Steve made some good points about the confusion around linking the Zorro platform to Empty4. This isn't particularly well explained in the Zorro manual, and I haven't covered it (yet) in the course. Expect this to be rectified as a priority. I'll add some step-by-step instructions as a priority and will eventually supplement this with some video material.

@Zentrader, thank you for the vote of confidence. I am really pleased that you are satisfied thus far. If you have any questions or comments, you know where to find me.

@4xBones, thanks also for your feedback. Really exciting to hear that you are getting into machine learning!

I wanted to mention that 4xBones and I have had a little bit of email communication since he took the course, and we were even able to catch up in person over the Christmas break. We shared some ideas and research we are interested in. I think that this is going to lead to some collaboration, and then who knows where. Hopefully some profitable trading strategies. The point I wanted to make is that I really value this sort of contact and collaboration, and ultimately I hope that this becomes something of a community of like-minded collaborators. Knowledge sharing in this way is incredibly beneficial and seems a natural next step.

Thanks again all for posting and for your feedback.

Cheers
Kris
Author:  SteveHopwood [ Mon Jan 09, 2017 10:11 am ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
4xBones ยป Mon Jan 09, 2017 2:34 am wrote:Hi future coders,

I was one of Kris's first students, with zero programming skills apart from some basic Fortran 4 at university (a loooong time ago). I had been trying to teach myself Zorro for quite a while, to no avail using the included tutorials. I started Kris's course on 22 July 2016, and by 27 July had my first working algorithm, which was a daily pivot break out strategy, based on a profitable manually traded system that I used. By 3 August had programmed two additional strategies based on systems I was currently using.

I haven't looked back since, and have produced numerous strategies, including binary options, and am now integrating Zorro with 'R' and looking into machine learning etc.. :)

I found Kris's personal support second to none.

If you are considering learning Zorro with little to no programming skills in Lite-C then Kris's course comes highly recommended by me.

Cheers,

Nigel
Thanks for posting this, Nigel. It is just the sort of encouragement that people considering signing up need.

:xm:
Author:  Generaal Goudvis [ Mon Jan 09, 2017 8:24 pm ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Hi Zentrader,


Will you keep us informed?

As I will follow this thread with interest.

WR

GG
Author:  zentrader [ Tue Jan 10, 2017 3:40 pm ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Hi,

my recommendation for course is still valid. Kris is very responsive if you have any questions.

I think that main idea of Kris course is finding robust strategy.

Term "robust strategy" means that strategy can survive changing markets.

One of tools for testing of robustness is "Walk forward optimization" (WFO). See internet for details.

Lot of guys here are familiar with backtesting, optimization and so on. But it is not enough!

The strategy has to pass final test of robustness and then we might decide to trade it live.

Markets are changing so if we find some "edge" (profitable strategy) this edge might not last forever.

If your live strategy has abnormal drawdown (in comparison to backtest) it is good idea to stop live trading.

The edge might wear off. So algorithmic trading is continuous process of finding and exploiting an edge.

Zentrader
Author:  MonteCristo [ Tue Jan 10, 2017 11:42 pm ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
Actually Steve, you have to pay a monthly subscription in order to be able to connect Zorro to an Empty4 account, or, alternatively, to buy ZorroS. Furthermore, there are some limitations to the free edition of Zorro.

Overall though, it seems very promising to guys like me who struggle to learn MQL.
Author:  longy [ Wed Jan 11, 2017 11:58 am ]
Post subject:  Robot Wealth Fundamentals of Algorithmic Trading
With the free version of Zorro, you can connect to an Empty4 demo account only. Trading a live account via Empty4 requires the commercial version of the software, or a monthly subscription for that particular feature.

Zorro's Empty4 bridge means that the software can be largely broker-agnostic, since it can trade with any broker that offers Empty4.

However, trading via Empty4 almost never results in the best deal for the trader. I won't go over old ground here since folks at this forum are clearly well-versed in the evils of Empty4, but at best trading via Empty4 makes your trading more expensive because there is an additional middle-man in your execution route that needs to be paid. At worst, it leaves you open to all sorts of manipulations and foul play which you guys are clearly aware of.

A better solution is trade via API direct with your broker of choice, thus cutting out the need for Empty4 altogether. However, building a trading engine that talks effectively to an API is no trivial task.

The free version of Zorro comes with an API plugin for FXCM. The paid version comes with API plugins for Oanda and Interactive Brokers as well. These can also be obtained via monthly subscription in lieu of forking out for the full version. I know that other APIs are in the works too, including a FIX engine, and there is a template in the manual for developing your own plugins.

To the best of my knowledge, that's the current state of play for using the free and paid version of Zorro to trade with brokers either via Empty4 or API.

Its also worth pointing out the trade execution is only one part of what Zorro does. It is also a brilliant simulation and experimentation tool, and you get 99% of those features with the free version of Zorro.
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