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ALGORITHMIC

TRADERS
ASSOCIATION

CAT - Certified Algorithmic Trader


2015 Course Syllabus

Algorithmic Traders Association


Delaware, United States
888.668.0571

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Table of Contents
1.

CAT course outline ........................................................................................................ 2

2.

Syllabus .......................................................................................................................... 2

Unit 1.

Spotting the sources for technical trading ideas ..................................................................................... 2

Unit 2.

Spotting the sources for fundamental trading ideas .............................................................................. 2

Unit 3.

Understanding the market structure and the forces that drive prices .......................................... 3

Unit 4.

Understanding market processes and their relationships with technical trading,


macroeconomics and news .............................................................................................................................. 3

Unit 5.

Creating a 'vocabulary' of trading algorithms .......................................................................................... 3

Unit 6.

Designing trading systems ................................................................................................................................ 4

Unit 7.

Understanding seasonality and timing ........................................................................................................ 4

Unit 8.

Backtesting and optimization .......................................................................................................................... 4

Unit 9.

Advanced optimization and search methods ............................................................................................ 5

Unit 10. Understanding basic robustness assessment methods ........................................................................ 5


Unit 11. Intermarket analysis and portfolio design................................................................................................. 5
Unit 12. Using variations of the same strategy for risk diversification ........................................................... 6
Unit 13. Understanding money management ............................................................................................................ 6
Unit 14. Understanding risk management and live trading guidelines ........................................................... 6

1. CAT course outline


Developed from decades of live systematic trading experience, EdgeSense, the official CAT Training program, is
the ultimate training course in systematic trading, risk management, and trading automation.
In this exclusive course, you'll learn crucial insights that can't be found anywhere else:

How to research, design, test, and trade effective strategies in any market
How to develop new robust trading ideas through advanced market analysis
How to transform your ideas into profitable automated trading strategies
When to start trading and when to stop and lock in your gains
How to avoid the three biggest pitfalls of live trading
Why one universal strategy is the most dangerous myth of trading
Advanced techniques for back testing, optimization, and proper risk management
Plus, you'll also master the essential programming skills you need to code your strategies and put them to
work immediately

2. Syllabus
Unit 1. Spotting the sources for technical trading ideas

UNIT 1

Students will develop strong analytical skills for information search, classification, and filtering.
Key Knowledge

Key Skills

Classification of technical trading ideas by


their application domain.
Classification of technical trading ideas by
trading frequency and required
infrastructure.
Classification of technical trading ideas by
types of market participants that use them.

Internet search skills for trading purposes.


Processing large amounts of information.
Relevance analysis.
Classification and ranking of information and
sources.
Ability to make conclusions quickly.

Unit 2. Spotting the sources for fundamental trading ideas

UNIT 2

Students will adopt their analytical skills to recognize and understand the key non-price based
trading ideas heavily used by various market participants.
Key Knowledge

Key Skills

Page | 2

Macro-economical indicators and their


meaning.
Corporate and sector reporting activity.
Interest rates and their market impact.
Market regulations.

Internet search.
Processing large amounts of information.
Relevance analysis.
Classification and ranking.
Critical assessment of received information.
Ability to work with controversial data.

Unit 3. Understanding the market structure and the forces that drive prices

UNIT 3

Students will further develop their analytical skills in information classification and analysis in order
gain a deeper understanding of market structure and its impact on price fluctuations.
Key Knowledge

Key Skills

Types of market participants and their


respective market impact.
Methods of analyzing the activity of specific
market participants.
Trading methods available to retail and
institutional traders.
Exploiting the typical patterns of behavior of
key market participants.

Internet search.
Processing large amounts of information.
Relevance analysis.
Ability to work with controversial data.
Ability to work with heterogeneous information.
Ability to make summarized conclusions based on
heterogeneous information.

UNIT 4

Unit 4. Understanding market processes and their relationships with technical trading,
macroeconomics and news
Students will learn how to connect technical trading ideas with fundamental market analysis and
behavioral analysis of key market participants, and learn fundamental trading algorithms as well as
their implementation in code.
Key Knowledge

Key Skills

Typical trading algorithms and their


purposes.

Relationship analysis.
Dependencies analysis.
Hidden dependencies analysis.

Algorithmic thinking.

UNIT 5

Unit 5. Creating a 'vocabulary' of trading algorithms


Students will learn high level programming in EasyLanguage, and will be able to consider all
important known technical indicators, along with thorough analysis of their meaning and
applicability.
Key Knowledge

Key Skills

Page | 3

General programming.
Algorithm design.
Meanings of technical indicators.
Practical applicability of technical
indicators.

Relationship analysis.
Dependencies analysis.
Algorithmic thinking.
Translating ideas from language into algorithms.

UNIT 6

Unit 6. Designing trading systems


Students learn the general design of trading systems, and discuss their relationship to entry, exit and
money management strategies.
Key Knowledge

Key Skills

Multi-stage and multi-parameter processes.


Typical entry strategies.
Typical exit strategies.
Money management approaches and their
applicability to specific markets and trading
systems.

Relationship analysis.
Dependencies analysis.
Algorithmic thinking.
Analysis of trading systems design.

Unit 7. Understanding seasonality and timing

UNIT 7

Students will discuss and understand overlooked factors in liquid markets, and how they can be
exploited by using directional trading systems.
Key Knowledge

Key Skills

Seasonality and timing of currencies.


Seasonality and timing of stock indexes.
Seasonality and timing of commodities.
General approaches to trading seasonality
and timing.
Typical algorithms used to trade seasonality
and timing.

Market analysis.
Ability to work with heterogeneous information.
Behavioral analysis.
Performing seasonality research using available
instruments.

Unit 8. Backtesting and optimization

UNIT 8

Using live examples, students will learn the theoretical foundations of backtesting to systematically
discover stable clusters of parameters using optimization algorithms. Students will prove their ability
to follow best practices and implement theoretical models.
Key Knowledge

Key Skills

Page | 4

Backtesting conditions and limitations.


Pre-requisites for the model.
Basic statistical analysis.
Pre-requisites for the input data.
Optimization methods.
Optimization criteria.

Understanding genetic algorithm.


Interpreting genetic algorithm output.
Using optimization reports for advanced search.
Advanced statistical analysis.

Unit 9. Advanced optimization and search methods

UNIT 9

Students will learn methods for reducing computing time spent on backtesting and optimization by
means of genetic algorithms, and also alternate uses for standard optimization reports.
Key Knowledge

Key Skills

Uses and limitations of genetic algorithm.


Search methods and their applicability.
Finding and understanding clusters of
stability.
Stability criteria in statistical and empirical
terms.

Ability to correctly perform backtesting.


Ability to correctly interpret backtesting results.
Ability to correctly perform brute-force
optimization.
Ability to assess the appropriateness of the model
for the chosen optimization criteria.

Unit 10. Understanding basic robustness assessment methods

UNIT 10

Students will develop the analytical skills necessary to assess the robustness of trading systems.
Key Knowledge

Key Skills

Criteria of robustness.
Advanced statistical analysis.
Advanced stability analysis.

Application of various statistical methods for


robustness assessment.
Adjustment of risk profiles according to
theoretical robustness.
Monitoring trading strategy performance using
robustness metrics.

UNIT 11

Unit 11. Intermarket analysis and portfolio design


Students will learn how to understand macro dependencies between global markets, local markets,
and global and sector indexes; as well as the basic principles of portfolio design.
Key Knowledge

Key Skills

Page | 5

Relationships between global and local


markets.
Understanding market sectors.
Understanding driving and driven markets.
Interaction of homogeneous and
heterogeneous instruments and systems.

Dependencies analysis.

Unit 12. Using variations of the same strategy for risk diversification

UNIT 12

Students will learn advanced approaches to risk diversification and reduction using concurrently
running trading strategy variations
Key Knowledge

Key Skills

Risk diversification.
Risk assessment.
Main and auxiliary parameters in a trading
strategy.
Best practices for "best candidates"
selection.

Using clusterisation methods.


Using 3D visualization for optimization results.
Ability to identify complementary variations.
Diversifying risk by designing a portfolio of
strategies.

Unit 13. Understanding money management

UNIT 13

Students will learn money management techniques and their applicability to individual instruments
and portfolios.
Key Knowledge

Key Skills

Money management vs. risk management.


Money management for unleveraged
products.
Money management for leveraged products.
Money management, based on the system's
performance metrics.
Money management, based on the risk
profile.

Risk assessment.
Relevance analysis.
Managing risk profile.

UNIT 14

Unit 14. Understanding risk management and live trading guidelines


Using examples of live situations with Interactive Brokers and Rithmic, students will learn the need
for general risk management in systematic trading and the problems of live trading automation.
Key Knowledge

Key Skills

Page | 6

Classification of risks and their sources.


Systematic risks.
Instrument and portfolio level risks.
Infrastructure risks.
Case studies.

Eliminating emotions from trading and risk


assessment.
Risk management in automated trading.
Emergency management in automated trading.

The Algorithmic Traders Association, established in 2009, is the


world's leading professional organization and resource center for
the discussion of algorithmic trading strategy, methods, software,
and technical analysis. Since then, the group grew in size and
scope to over 115,000 members worldwide, and now it is among
the largest groups of its kind, and among its members are
researchers, authors, traders, and portfolio managers.

atassn.com
Algorithmic Traders Association

CFTC RULE 4.41 HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT
REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN
MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF
HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
Trading performance displayed herein is hypothetical. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made
that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program. One of the limitations of hypothetical performance trading results is that they are generally prepared with the benefit of hindsight. In
addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability
to withstand losses or to adhere to a particular trading program in spite of trading losses is material points which can also adversely affect actual trading results. There are numerous other
factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and
all of which can adversely affect actual trading results. The Algorithmic Traders Association is neither a registered Investment Advisor nor a Broker/Dealer. Readers are advised that all
information is issued solely for informational purposes and is not to be construed as an offer to sell or the solicitation of an offer to buy, nor is it to be construed as a recommendation to buy,
hold or sell (short or otherwise) any currency, future, equity, option or any other asset.
The risk of loss in trading can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. If you purchase or sell Equities,
Futures, Currencies or Options you may sustain a total loss of the initial margin funds and any additional funds that you deposit with your broker to establish or maintain your position. If the
market moves against your position, you may be called upon by your broker to deposit a substantial amount of additional margin funds, on short notice in order to maintain your position. If you
do not provide the required funds within the prescribed time, your position may be liquidated at a loss, and you may be liable for any resulting deficit in your account. Under certain market
conditions, you may find it difficult or impossible to liquidate a position. This can occur, for example, when the market makes a limit move. The placement of contingent orders by you, such as a
stop-loss or stop-limit order, will not necessarily limit your losses to the intended amounts, since market conditions may make it impossible to execute such orders.
2015 Algorithmic Traders Association