has spent the last 12 years trading his own account and researching the microeconomics of the NASDAQ and New York Stock Exchange markets. Previously he was CEO of an electronics company, supplying point of sale electronics to major retailers such as Sears and Sunoco in Canada and Allied Breweries in the UK, where he gained considerable electronics experience and was the first to automate an assembly line using electronics in the UK. His main academic background is in mathematics and physics and he has a great interest in the theories of Universality and Complexity as applied to the markets. He is currently developing a fully automated algorithmic trading system with his co-author Jane Cralle.
Jane Cralle began her career in stockbrokerage at PaineWebber, and later spent 22 years at Linker Capital Management Inc. managing the accounts of high net worth individuals. She has a wide knowledge of the markets and is an expert trader and investor - her extensive experience is invaluable gauging the ‘long run' of market evolution. She is currently researching and developing an automated algorithmic trading system with Edward, and her specialty of cluster analysis of the S&P index components is a work in progress background for a proposed book titled Stocks and their Personalities. Jane lives in Louisville with her husband, Rick Kremer, and three children, Sarah, Morgan and Jack.
2 ALL ABOUT TRADING ALGORITHMS YOU EVER WANTED TO KNOW . . . .
3 ALGOS DEFINED and EXPLAINED.
4 WHO USES AND PROVIDES ALGOS.
5 WHY HAVE THEY BECOME MAINSTREAM SO QUICKLY.
6 CURRENTLY POPULAR ALGOS.
7 A PERSPECTIVE VIEW FROM A TIER 1 COMPANY.
8 HOW TO USE ALGOS FOR INDIVIDUAL TRADERS.
9 HOW TO OPTIMIZE INDIVIDUAL TRADER ALGOS.
10 THE FUTURE – WHERE DO WE GO FROM HERE.
11 OUR NOMENCLATURE.
12 MATH TOOLKIT.
13 STATISTICS TOOLBOX.
14 DATA – SYMBOL, DATE, TIMESTAMP, VOLUME, PRICE.
15 EXCEL MINI SEMINAR.
16 EXCEL CHARTS, HOW TO READ AND HOW TO BUILD THEM.
17 OUR METRICS.
18 STOCK PERSONALITY CLUSTERS.
19 SELECTING A COHORT OF TRADING STOCKS.
20 STOCK PROFILING.
21 STYLISTIC PROPERTIES OF EQUITY MARKETS.
23 RETURNS - THEORY.
24 BENCHMARKS AND PERFORMANCE MEASURES.
25 OUR TRADING ALGORITHMS DESCRIBED 139 --152.
THE ALPHA ALGO STRATEGIES.
1. ALPHA-1 (DIFF).
1.a (33) THE ALPHA-1 ALGO EXPRESSED IN EXCEL FUNCTION LANGUAGE.
2. ALPHA-2 (EMA PLUS) V1 & V2.
3. ALPHA-3 (LESHIK-CRALLE OSCILLATOR).
4. ALPHA-4 (HIGH FREQUENCY REAL-TIME PAIRS).
5. ALPHA-5 (FIREDAWN).
6. ALPHA-6 (GENERAL PAWN).
7. THE LC CAPITAL PROTECTION STOP.
26 PARAMETERS AND HOW TO SET THEM.
27 TECHNICAL ANALYSIS (TA).
28 HEURISTICS, AI , ARITIFICIAL NEURAL NETWORKS AND OTHER AVENUES TO BE EXPLORE 29 HOW WE DESIGN A TRADING ALPHA ALGO.
30 FROM EFFICIENT MARKET HYPOTHESIS TO PROSPECT THEORY.
31 THE ROAD TO CHAOS.
32 COMPLEXITY ECONOMICS.
34 ORDER MANAGEMENT PLATFORMS AND ORDER EXECUTION SYSTEMS.
35 DATA FEED VENDORS, REAL-TIME, HISTORICAL.
37 HARDWARE SPECIFICATION EXAMPLES.
38 BRIEF PHILOSOPHICAL DIGRESSION.
39 INFORMATION SOURCES (WEBSITES, JOURNALS, BLOGS).
APPENDIX A: LIST OF ALGO USERS AND PROVIDERS.
APPENDIX B: OUR INDUSTRY CLASSIFICATION SECTOR DEFINITIONS.
APPENDIX C: STOCK WATCHLIST.
APPENDIX D: STOCK DETAILS SNAPSHOT.
CD FILES LIST.