Prototype (ATS scheme)

[kraif999]

Create prototype of ATS with a ticker

• [x] loading of input data and computation of returns
• [x] splitting input data into 'in-sample' and 'out-of-sample' datasets
• [x] implementation of any simple strategy (moving average) and signals generation
• [x] computation of performance metrics
• [x] adding cut-off criteria

[kraif999]

graph TD;
    Load_of_Data -->  E(Equities, FX, Rates, Commodities, Cryptocurrencies);
    E(Equities, FX, Rates, Commodities, Cryptocurrencies) --> Regularities/Patterns/Dependencies;
Regularities/Patterns/Dependencies -->Patterns(Dates, autocorrelation);
    Load_of_Data -->  Quantitative_Stream;
Quantitative_Stream --> |START OF TRADING STRATEGY| Split_into_in_sample_and_out_of_sample;
    Load_of_Data --> A(Data_quality_checks);
    A(Data_quality_checks) --> B(Missing_values_dates_outliers);
    Split_into_in_sample_and_out_of_sample --> Apply_strategies_on_in_sample;
    Apply_strategies_on_in_sample --> Compute_performance_metrics;
    Compute_performance_metrics --> |SYSTEM OPTIMIZATION| Choose_the_best_given_bindings_and_performance_metrics;
Choose_the_best_given_bindings_and_performance_metrics --> D[Parameters optimization given Strategy mechanics];
D[Parameters optimization given Strategy mechanics] --> |END OF SYSTEM OPTIMIZATION/RECONSTRUCTION/REBALANCING| Apply_strategies_on_out_of_sample;
    Apply_strategies_on_out_of_sample --> Compute_performance_metrics_out_of_sample;
    Apply_strategies_on_out_of_sample --> Signals(Signal generation);
Compute_performance_metrics_out_of_sample --> F{Decision on Strategy usage};
F{Decision on Strategy usage} --> YES(YES);
F{Decision on Strategy usage} --> NO(NO);
YES(YES) --> Platform(Connect to trading platform);
Platform(Connect to trading platform) --> StrategyApply(Pass Strategy from Dev env);
StrategyApply(Pass Strategy from Dev env) --> RM(Risk Management);

[kraif999]

Strategies:

1. Technical Analysis strategies 1.1. Simple moving average
2. Econometric models 2.1. GARCH (different specifications), to be presented in detail here (VIX futures or SP500 directly?)