algorithmic trading: 101 trading ideas

Getting StartedPresented by Henry Carstens

© Henry Carstens www.henrycarstens.com

Creating Trading Ideas for Q6:

Creating Trading Ideas for Q6

Quantiacs Q6 Algorithm Trading Competition

• Entry Requirement: Futures Trading Algorithm• Submission Deadline: July 31, 2016• Simulation Period: 3 Months• Winner Announcement: November 2016• Guaranteed Investments:$1 million, $750,000, and $500,000




What will win the Quantiacs Q6 Competition?An Idea!



“The most neglected area of development among traders is creativity. We focus on

executing trades and managing risk, but rarely work on expanding our creative capacity to

generate ideas.”

—Dr. Brett Steenbarger

Creating Trading Ideas for Q6Agenda & Objectives

Objective:• Learn how to create unique trading ideas

Q&A• Answer your questions about trading ideas• Let’s hold questions to the end



Henry Carstens

20+ years as a quant, strategy developer, portfolio manager, and proprietary trader

Degrees in mathematics, economics, and physicsAuthor of101 Trading Ideas: A Magical List For Fast-Paced Alpha Hunting

Email: [email protected]



IdeaTrading Strategy

Trading RulesTest

Alpha?Submit


Idea Hunt: from Idea to Alpha to Q6


Scan, Pause, Idea…

Scan, Pause, Idea…


“The way to get good ideas is to get lots of ideasand throw the bad ones away.”

—Linus Pauling



First Step: Get a Lot of Ideas!

The Game of Telephone

The List

The Ideas



• 101 impersonal trading ideas that trigger user-specific trading ideas, from impersonal ideas to rich, robust personal ones.

• Triggered ideas contain the user’s unique knowledge, experience, and intuition.

• The list can be used by anyone, from novice to veteran, to generate unique trading ideas.

• The list can generate ideas in any timeframe and in any market.

• There are 17 fully disclosed example strategies in the book and on the website that would make great starter strategies for you own alpha hunts.


1. Trade the path to the outcome.Trade the path to the outcome, not the outcome itself. Trade standard deviations instead of price. 2. Trade a relationship.Build tools to identify when relationships are ebbing and flowing. Buy strong relationships and sell the weak ones. 3. Trade randomness.Is there a time of day that seems particularly aimless? Trade the randomness of that time of day. 4. Trade tomorrow.Where is the most information for tomorrow? How do you put it to work? 5. Trade a recurring event.A recurring event can be either a fundamental or a seasonal event. The Weekly Petroleum Status Report and the Monthly Employment Situation Report are examples.


6. Trade an orbital or orbit.Is an electron orbital or a planetary orbit similar to price orbits in the markets? Create a chart that identifies regime changes and new price orbits. 7. Trade volatility.Change your style based on volatility. Does more volatility mean more or less trending? What about more or less randomness? 8. Trade already-priced-in.If today’s price is already accounted for, trade what is pricing-in instead. 9. Trade convert prices.Convert all prices to another currency or commodity. 10. Trade retail traders.What are retail traders doing? Are they doing it alone while everyone else is on holiday? Do they have to put the market back when they are done?

Some Trading Ideas

Creating Trading Ideas for Q6List, Idea, Strategy

1) List says, “Trade the path to the outcome.”2) A triggered idea, “What happens after a big move?”3) This strategy trades big moves in crude oil.



1) List says, “Trade an orbit.”2) A triggered idea, “What does the tail of a candlestick mean?”3) This strategy trades tails of candlesticks in natural gas.



1) List says, “Trade tomorrow.”2) A triggered idea, “What is the short term relationship

between gold and the 30 year bond.”3) This 1 day strategy trades that relationship.



1) List says, “Convert prices.”2) A triggered idea, “What is the relationship of the price of

copper in gold and the price of copper in crude oil?”3) This strategy trades copper priced in gold and copper priced

in crude.



1) List says, “Find the signal.”2) A triggered idea, “How do traders position for the Weekly

Petroleum Status Report when the prior report created more noise than signal?”

3) This strategy trades crude oil but signal and noise apply to all markets



1) List says, “Pantheon.”2) A triggered idea, “If crude oil and natural gas are viewed as

old-world gods, what does a fight between them look like?”3) The fight is represented by crude oil and natural gas going in

opposite directions. Extreme prices denote the climax of the fight, and declining volatility a sign that the gods are getting tired.




Illustration # and Title Win %Average

Trade ($)Z-score

Profitable Years

1 Crude Oil 1 55 1,880 1.5 9

2 Crude Oil 2 63 510 2.2 8

3 Crude Oil 3 57 230 2.3 8

4 Crude Oil 4 51 250 3.0 9

5 Natural Gas 1 53 291 2.8 8

6 Natural Gas 2 56 326 1.8 9

7 Natural Gas 3 56 574 2.2 9

8 Natural Gas 4 55 676 2.4 7

9 Copper 1 57 206 2.3 8

10 Copper 2 58 498 2.3 9

11 Copper 3 61 1,414 3.1 9

12 Copper 4 51 313 2.6 9

13 Copper 5 80 365 4.0 10

14 Gold 1 55 154 3.0 10

15 Gold 2 67 727 3.0 9

16 Gold 3 59 271 3.2 10

17 Gold 4 67 1,164 2.4 9

17 Starter Strategies from 101 Trading Ideas

Creating Trading Ideas for Q6Recap - How to Win Q6:• Have Lots of Ideas

• Scan, Pause, Idea…

• Make Q6 Magic Happen


Creating Trading Ideas for Q6Q&A

“The book you’re about to read is far better than 101 trading ideas. It’s 101 ways to develop trade ideas.” Brett N. Steenbarger, PhD

• Contact InfoQuantiacs: www.quantiacs.com

Quantiacs Idea Code: https://github.com/Quantiacs/HenryCarstens-101-Trading-Ideas

Henry Carstens: [email protected]

101 Trading Ideas: henrycarstens.com/101-trading-ideas/


http://www.quantiacs.com/

https://github.com/Quantiacs/HenryCarstens-101-Trading-Ideas

mailto:[email protected]

http://henrycarstens.com/101-trading-ideas/



algorithmic trading: 101 trading ideas

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