Topic : Crypto Currencies Trading MasterClass : Global Market, Local Perspectives
Workshop 1 by Alex Siew
Learning objective: Upon completion of the course, attendees should be able to:
- Explain the importance of systematisation in today’s Crypto Currencies trading environment.
- Apply the technology offered by brokers to setup automation system environment.
- Identify key Factor Analysis criteria to filter out good input into a system
- Demonstrate creative qualities in modifying indicators to fit individual needs.
- Appreciate the ethical standards in investment environment and discussion of potential market misconduct in Crypto investment environment in Malaysia and globally.
- Demonstrate the importance of a localized connectivity solution that is different from US environment.
- Appreciate the different options that local brokerage firms have on connectivity vendors, and difference in their configuration needs and setup.
- Understand the adaptation of algorithm to suit local futures and stock market products’ behavioural patterns.
- Use of hedging techniques in different asset classes and specific application for Crypto Asset Class.
9:00 – 9:45 The Crypto Currencies Trading Automation Environment
- Understanding the fundamental factors to design a good algorithmic system
- Strategy logic must be sound and unique
- Coding environment must be integrated with data vendor, and brokerage firm / clearing house.
- API connectivity standards offered by brokers and how to comply.
- Importance of understanding global macro in strategy design.
9:45-10:30 The Technical Crypto Trading System Strategy Development
- Basic concept of automation platform
- The framework for development of filter criteria
- The platform that supports technical indicator development
- Existing technical filters which are popular
- Trading time frame
- Application of indicators to develop a fully functional trading system
10:30-10:45 Tea Break
10:45-11:30 Setting Compliance procedure to comply with Bursa and SC existing trading rules
- Comply on order initiation and amendment protocol.
- Comply on order confirmation protocol.
- Comply on market surveillance protocol.
- Potential market misconduct and ethical standards in investment process using High Frequency Trading technology on Crypto Currencies.
11:30-12:15 Setting up the getaway for automation
- Procedure to apply custom API and cost of applications.
- Initiate brokerage API development.
- Programming language that suits to the specific brokerage server side API
- Start Linkage of Execution platform with Machine Learning Library environment testing.
- Zero MQ Bridge Technology as a way to link Python to brokerage platform
- Customize API to suits your trading requirement
12:15-13:15 LUNCH BREAK
13:15-13:45 Fundamental Analysis of Macro Environment Impact on Crypto Currency Market
- The basic knowledge of understanding the Macro fundamental factors that impact on Crypto markets
- Specific impact of recent economic policies like Quantitative Easing, No Deal Brexit and Geo-political risk impact on Crypto market.
13:45-15:30 Evolution of Investment Model on Crypto Currency Market
- Type# 1 : Arbitrage Models (eg. Linear Regression, Binary Logistic)
- Type # 2 : Volatility Models (eg. ARIMA, GARCH)
- Type # 3 : Sentimental Models (eg. EDR, News Sentiment, MRN)
- Type #4 : Machine Learning Models (eg. KNN, SVM, supervised learning)
- Type #5 : Artificial Intelligence Models (eg. LSTM, Alpha Go, unsupervised learning)
15:30-15:45 TEA BREAK
Application of derivatives portfolio hedging techniques
- Use of residual spread analysis for systematic hedging of Crypto currencies
- Application of hedging in different asset classes including crypto currencies (eg. BITCOIN and ETHERIUM) and commodities (eg. FCPO)
- Use of modern day Portfolio Model techniques like BLM to replace MPT and APT for Crypto portfolio hedging.
16:30-17:00 Backtesting and system optimisation
- Basic concept of backtesting
- Measurement benchmarks
- Optimisation features
- How to avoid curve fitting
- Timeframe choice and personal preference