Course Curriculum — 11 Lessons by Pavel Kycek
Lesson 1: Introduction to Algorithmic Trading
This lesson focuses on clarifying the basics of trading and building a strong foundation for understanding algorithmic trading. It is a live recording of Pavel's lecture at the University of Zlín.
- Trading = Capitalism on steroids
- Trading = The art of making mistakes/taking losses
- Trading vs Investing
- Discretionary vs Algorithmic Trading
- Basic Trading Approaches
- Research-Driven vs Data-Driven Trading
- Research-Driven Models
- Code: Bitcoin Trend Strategy
- Advantages (and Disadvantages) of Algorithmic Trading
- Efficient Market Theory
Lesson 2: Backtesting Platform
This lesson focuses on the main criteria for selecting a proper testing platform. We dive into the basics of Realtest, our backtester of choice, learning how to import data and create a benchmark strategy.
- Factors to Consider When Choosing a Trading Platform
- Key Features for Algo Trading
- Commonly Used Platforms
- Why Realtest
- Example of Realtest Language
- Realtest: Source of Information
- Testable Trading Approaches
- Research-Driven Models
- Testable Data
- Code: Bitcoin Benchmark
Lesson 3: Market Selection
Every market behaves differently—one trends more, while another moves sideways. This lesson helps you understand the unique characteristics of each market and choose the right trading approach.
- Factors Influencing Market Selection
- Liquidity
- Volatility
- Immature to Mature Asset Cycle
- Edge Decay: Bitcoin vs S&P 500
- Leverage
- Market vs Approach: Stocks, Forex, Commodities, Crypto
- Inter-Market Volatility Comparisons
- Advantage of Retail Trader
Lesson 4: Trading Approaches
This lesson is dedicated to understanding the various trading approaches, their classifications, and how to implement them effectively.
- Basic Classification
- Alpha
- Beta
- What is Trading Edge
- Types of Entry/Exit Orders
- Long-Term vs Short-Term Momentum
- Code: Bitcoin Trend Strategy
- Code: Bitcoin Breakout Strategy
- Code: Bitcoin Mean Reversion Strategy
- Comparison
Lesson 5: Strategy Building
This lesson focuses on understanding trading biases and building momentum and mean reversion strategies on a broad basket of cryptocurrencies.
- Dunning-Kruger Effect
- Trading Biases
- Idea-First Approach
- Sensitivity to Trading Conditions
- Sensitivity to Trading Costs
- Description of Breakout Strategy
- Code: Crypto Breakout Strategy
- Description of Mean Reversion Strategy
- Code: Mean Reversion Strategy
- Comparison
Lesson 6: Robustness Tests + Trend Following
In this lesson, we will build a strategy based on long-term momentum. Afterwards, we dive into robustness tests, essential for ensuring a strategy is reliable and ready for live trading.
- Description of Trend Following Strategy
- Code: Trend Following Strategy
- Comparison: Mean Reversion, Momentum, Trend Following
- Robustness Tests: Foundation
- Optimisation in Strategy Building
- Risks of Optimisation
- IS/OOS Test
- Parameter-Sensitivity Analysis
- Stress Testing
- Inter-Asset Analysis
- Multi-Timeframe Analysis
- Trend Following: Parameter Sensitivity Test
Lesson 7: Exits
Exits can significantly change the characteristics of a strategy. This lesson focuses on how to approach exits in different trading strategies and the philosophy behind them.
- Philosophy of Exit
- Exit and Its Purpose
- Stop Loss: The Good and the Bad
- Stop Loss and Intraday Volatility
- Solution for Stop Loss
- Profit Target
- Exit Ideas: Breakout
- Exit Ideas: Trend Following
- Exit Ideas: Mean Reversion
Lesson 8: Risk Management + RSI Strategies
A trader is, first and foremost, a risk manager. The primary goal is to protect capital before focusing on multiplying it. This lesson is a live recording at the University of Zlín.
- Definition of Risk Management
- Where is the Risk?
- Strategy Risk - Origination and Coverage
- Volatility as a Measure of Risk
- Drawdown as Risk Measure
- Drawdown as a Risk Management Tool
- When to Use Stop Loss?
- Martingale vs. Anti-Martingale Approach
- Code: RSI Momentum
- Code: RSI Mean Reversion
Lesson 9: Portfolio Trading
Portfolio trading of diversified strategies is the ultimate goal of algorithmic trading. This lesson explores the techniques and methods required to build and manage a robust portfolio.
- Diversification
- Portfolio Trading vs Diversification
- Rebalancing
- Portfolio Trading and Rebalancing
- Weights by Trading Approach
- Weights by Correlation
- Weights by Strategy Logic
- Weights by Risk Management
- Code: 3-Strategy Portfolio
Lesson 10: Trading Psychology
Trading psychology develops alongside a true understanding of trading and the creation of sound strategies. There are key psychological aspects to focus on to succeed in the markets.
- Code: 5-Strategy Portfolio
- Difference Between Portfolios From a Trading Psychology Perspective
- Trading Psychology vs Trading Edge
- The Lake Wobegon Effect
- Trade Sample
- Losing Streak
- Risk Tolerance
- Next 1000 Trades
- Live Trading: Automated vs Semi-Automated Solution
Lesson 11: Realtest Introduction by Marsten Parker
This special episode introduces participants to the logic behind Realtest. Marsten Parker, a featured trader in Jack Schwager's Unknown Market Wizards, shares insights into his 27+ years of trading experience.
- Marsten Parker's Trading Journey
- How long he's been trading
- The assets and approaches he trades
- How Realtest Works Under the Hood
- Single Strategy Building
- Portfolio Building
- Benchmark Building
- Realtest: A tool designed for efficiency, not aesthetics