Topic : Crypto Currencies Trading MasterClass : Global Market, Local Perspectives

Workshop 1 by Alex Siew

Alex Siew

Alex Siew

Learning objective: Upon completion of the course, attendees should be able to:

  1. Explain the importance of systematisation in today’s Crypto Currencies trading environment.
  2. Apply the technology offered by brokers to setup automation system environment.
  3. Identify key Factor Analysis criteria to filter out good input into a system
  4. Demonstrate creative qualities in modifying indicators to fit individual needs.
  5. Appreciate the ethical standards in investment environment and discussion of potential market misconduct in Crypto investment environment in Malaysia and globally.
  6. Demonstrate the importance of a localized connectivity solution that is different from US environment.
  7. Appreciate the different options that local brokerage firms have on connectivity vendors, and difference in their configuration needs and setup.
  8. Understand the adaptation of algorithm to suit local futures and stock market products’ behavioural patterns.
  9. 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