COMP396

Honours Year Automated Trading Project

Aims

  • To give students the opportunity to work in a team to explore in depth the problem of automated trading from a practical perspective.
  • To provide experience of all aspects of solving a substantial problem, including the production of a final report.
  • To enhance communication skills, both oral and written.

Syllabus

All projects should contain the following elements: research, design, realisation and evaluation.

Recommended Texts

  • R cookbook - Teetor, Paul 2011 (electronic book).
  • The art of R programming: a tour of statistical software design - Matloff, Norman S. 2011 (electronic book).
  • Algorithmic trading: winning strategies and their rationale - Chan, Ernest P. 2013 (electronic book).
  • Algorithmic trading & DMA: an introduction to direct access trading strategies - Johnson, Barry 2010.
  • Trading systems: a new approach to system development and portfolio optimisation - Tomasini, Emilio, Jaekle, Urban 2009.​
  • C. W. Dawson: Essence of computing projects: a student`s guide. Prentice Hall (most recent edition).
  • W. N. Venebles, D. M. Smith, and the R development team: An Introduction to R. Available electronically from http://cran.r-project.org/doc/manuals/R-intro.pdf.

Learning Outcomes

At the end of this module students should be able to work effectively and cooperatively as part of a team while taking on a range of different roles within the team.

​​At the end of this module students should be able to​ plan, manage, and execute the project as a group within the time available while managing their individual time effectively so as to carry out the group''s plan.

​At the end of this module students should be able to​ design and implement trading strategies and evaluate critically their performance and robustness.

At the end of this module students should be able to​ locate and make use of information relevant to their project.

​At the end of this module students should be able to​ prepare and deliver a formal presentation showing practical competence and demonstrating aspects of the project.

​At the end of this module students should be able to document the work conducted in the project in a final report.

Learning Strategy

Lectures

Practicals (programming help sessions)

Assessed team presentation

​​

Background: In the project we wish to foster both self and peer guided learning and team work, under the guidance of a supervisor. Students are divided into teams, and each team is expected to work largely autonomously on the design of automated trading strategies. The trading strategies of the students will be evaluated in a competition, and the performance of the trading strategies will contribute towards the final mark of the students.The students will do their research and development within the R statistical computing language (www.r-project.org). Financial data will be made available. Via lectures and practicals, students will be introduced to relevant packages within R, along with tools and techniques for their projects.

Formal Lectures and Practicals

Students will be expected to attend formal lectures. The lectures will cover:

  • A recap of information from COMP226, including: 
    • The design of trading strategies;
    • The optimization and evaluation of trading strategies.
  • The format of assessment and feedback within the module;
  • Report writing and presentation skills.
In additional there will be weekly programming help sessions in which students can seek guidance on implementing their ideas in R.

Teamwork and Supervision: Teams will be allocated a supervisor and and additional marker. Teams will hold regular meetings with their supervisor. In addition, teams are expected to hold regular project meetings (at least once a week). The minutes of these meeting will be monitored by the supervisor of the team and the module coordinator, who will intervene if there are problems.

Assessment: Projects are assessed at the following three points:

  1. Design (oral presentation + documentation, week 8-10)
  2. Evaluation of trading strategies (submitted code, week 20)
  3. Final report (written, week 24)

The final report will be written by the whole team. It will include a description on what each team member contributed to the team. In addition, each individual team member will submit a peer review containing a reflection on the individual''s own performance and that of the other team members. The mark for the final report will be used in conjunction with the individually submitted peer reviews to arrive at individual mark for each team member.

The design and final report will be assessed by two members of staff (generally, the supervisor and additional marker) and the evaluation of trading strategies will use objective, predefined and automatically implemented measures. The design stage is a key point for monitoring progress. After each stage formative and summative feedback will be provided.