AN INTRODUCTION TO
ALGORITHMIC TRADING
Basic to Advanced Strategies
Edward A Leshik
Jane Cralle
The goal of this book is to:
1. Demystify ALGORITHMIC trading, provide some background on the state of the art,
and explain who the major players are.
2. Provide brief descriptions of current ALGORITHMIC Strategies and their user
properties.
3. Provide some templates and tools for the individual trader to be able to learn a
number of our proprietary Strategies to take up-to-date control over his trading,
thus level the playing field and at the same time provide a flavor of algorithmic
trading.
4. Outline the math and statistics we have used in the book while keeping the math
content to a minimum.
5. Provide the requisite Excel information and explanations of formulas and functions
to be able to handle the algorithms on the CD.
6. Provide the reader with an outline ‘grid’ of the ALGORITHMIC TRADING business so
that further knowledge and experience can be ‘slotted’ into this grid.
7. Use a ‘first principles’ approach to the Strategies for ALGORITHMIC TRADING to provide
the necessary bedrock on which to build from Basic to Advanced strategies.
8. Describe the proprietary ALPHA ALGOS in Part II of the book to provide a
solid foundation for later running of fully automated systems.
9. Make the book as self-contained as possible to improve convenience of use and
reduce the time to get up and running.
10. Touch upon relevant disciplines which may be helpful in understanding the
underlying principles involved in the strategy of designing and using trading
algorithms.
11. Provide a detailed view of some of our Watchlist of stocks, with descriptions of
each company’s operations. Provide a framework for analyzing each company’s
trading characteristics using our proprietary metrics. It is our belief that an
intimate knowledge of each stock that is traded provides a competitive advantage
to the individual trader enabling a better choice and implementation of algo strategies.
ALGORITHMIC TRADING
Basic to Advanced Strategies
Edward A Leshik
Jane Cralle
The goal of this book is to:
1. Demystify ALGORITHMIC trading, provide some background on the state of the art,
and explain who the major players are.
2. Provide brief descriptions of current ALGORITHMIC Strategies and their user
properties.
3. Provide some templates and tools for the individual trader to be able to learn a
number of our proprietary Strategies to take up-to-date control over his trading,
thus level the playing field and at the same time provide a flavor of algorithmic
trading.
4. Outline the math and statistics we have used in the book while keeping the math
content to a minimum.
5. Provide the requisite Excel information and explanations of formulas and functions
to be able to handle the algorithms on the CD.
6. Provide the reader with an outline ‘grid’ of the ALGORITHMIC TRADING business so
that further knowledge and experience can be ‘slotted’ into this grid.
7. Use a ‘first principles’ approach to the Strategies for ALGORITHMIC TRADING to provide
the necessary bedrock on which to build from Basic to Advanced strategies.
8. Describe the proprietary ALPHA ALGOS in Part II of the book to provide a
solid foundation for later running of fully automated systems.
9. Make the book as self-contained as possible to improve convenience of use and
reduce the time to get up and running.
10. Touch upon relevant disciplines which may be helpful in understanding the
underlying principles involved in the strategy of designing and using trading
algorithms.
11. Provide a detailed view of some of our Watchlist of stocks, with descriptions of
each company’s operations. Provide a framework for analyzing each company’s
trading characteristics using our proprietary metrics. It is our belief that an
intimate knowledge of each stock that is traded provides a competitive advantage
to the individual trader enabling a better choice and implementation of algo strategies.
