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所在平台: Coursera |
课程主页: https://www.coursera.org/learn/advanced-trading-algorithms
课程评论：没有评论
课程名称：高级交易算法 课程概述： 本课程将提供针对发展中和新兴市场的所有策略的回测结果。学习者将学习科学的回测方法，避免出现超前或生存偏见。课程内容包括构建健壮回测系统的各种方法，并教授如何区分单纯的数据挖掘与基于扎实的实证或理论基础的结果。此外，您将学习回测结果的方法，并对回测结果进行压力测试。接下来，将介绍在回测算法中如何考虑交易成本和其他摩擦的各种方式。最后，您将学习测量策略表现的技术，以及风险调整后收益的概念。课程将使用一些著名的风险调整后收益测量指标，如夏普比率、特雷诺比率和詹森阿尔法，并学习如何为拟议的基金选择合适的基准。 课程大纲： 1. 策略 - 应计 描述：完成此模块后，您将能够理解应计的基本知识，基于应计构建交易策略并测试该策略。 2. 策略 - 反对贝塔 描述：完成此模块后，您将能够理解贝塔的基本知识，基于贝塔构建交易策略并测试该策略。 3. 策略 - 动量与动量崩溃 描述：完成此模块后，您将能够理解动量的基本知识，基于动量及动量崩溃构建交易策略，并测试所构建的策略。 4. 策略 - G得分 描述：完成此模块后，您将能够理解G得分的含义，基于G得分构建交易策略并测试该策略。
Name:Strategy - Accruals
Description:After completing this module you will be able to understand the basics of accrual, build a trading strategy based on accruals and test the strategy that you have built.
Name:Strategy - Betting against Beta
Description:After completing this module you will be able to understand the basics of beat, build a trading strategy based on beta and test the strategy that you have built.
Name:Strategy - Momentum & Momentum Crashes
Description:After completing this module you will be able to understand the basics of momentum, build a trading strategy based on momentum & momentum crashes, and test the strategies that you have built.
Name:Strategy - G Score
Description:After completing this module you will be able to understand the meaning of G Score, build a trading strategy based on G Score and test the strategy that you have built.
This course will provide back test results for all the strategies in developed and emerging markets. The learner will also be taught scientific ways of back testing without succumbing to either look ahead (or) survival bias. You will learn various methods of building a robust back testing system for the strategies discussed in the previous course. You will be taught how to differentiate between mere data mining and results based on solid empirical or theoretical foundation. Next, you will learn the ways and means of back testing the results and subjecting the back test results to stress tests. After which, you will learn the various ways in which transaction costs and other frictions could be incorporated in the back testing algorithm. Finally, you will learn techniques for measuring a strategies' performance and the concept of risk adjusted return. You will use some of the famous measures for risk adjusted returns such as Sharpe ratio, Treynor's Ratio and Jenson's Alpha. You will see how to pick an appropriate benchmark for a proposed fund.
