Algorithmic Trading with Python

In this article three members of Lumos Adrian Ciarnau, Maroan El Sirfy and Kerstin Scharinger will share their journey in the world of algorithmic trading with the purpose of building a trading bot in Python over the summer.

General Introduction

Algorithmic trading is a trading system based on a defined set of instructions that generates signals for trades on the market. The combined fields of Finance and Programming turn the analysis of mathematical, statistical and technical models into a trading decision. This article aims to demonstrate the implementation of a trading strategy based on multiple technical indicators and sentiment analysis for trading on a sample depot. Therefore, some programming steps in Python with explanations of the used algorithms are included.

We start with a little journey into the history of AlgoTrading to make yourself familiar with the evolution from the very beginnings to today’s high-frequency trading. Back in the 1930s, the first investors priced stocks and bonds by started calculating mathematical formulas. Later on, Harry Markowitz solved the portfolio selection problem in the 1950s and thus marked the beginning of computational finance. Due to the shortage of computer power at that time very complex analyses were difficult, so the traders simplified assumptions to establish simple patterns…