Quant Algorithm Course with Backtesting and Measurement
| Module 1 | Backtesting |
|---|---|
| Unit 1 | Back-testing trading models with evaluating point forecasts |
| Module 2 | Measurement |
| Unit 1 | Executing and monitoring high frequency trading with market aggressiveness selection |
| Unit 2 | Market impact costs |
| Unit 3 | Maximum number of intraday Sharpe ratio |
| Unit 4 | Measuring credit and Counterparty risk |
| Unit 5 | Measuring credit and Counterparty risk |
| Unit 6 | Measuring Market Risk with Risk Management |
| Unit 7 | Information based impact |
| Unit 8 | Performance attribution also known as benchmarking |
| Unit 9 | Profitability in limit orders |
| Unit 10 | Portfolio optimization in the presence of transaction costs |
| Unit 11 | Sharpe ratio from Chapter 5 |
| Module 3 | Simpler Algo |
| Unit 1 | Simple returns, log return, and average returns |
| Unit 2 | Skewness, Kurtosis (fat tail analysis), Volatility is variance of log or simple returns |
| Unit 3 | Periodic or simple rate of return |