Statistical arbitrage courses

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I am a retail trader who became interested in more sound trading with a theoretical framework. So, I began to research a lot of papers (books, scholarly articles, websites...) in order to build a little bibliography to look at it when needed. With just Excel for researching and backtesting statistical arbitrage strategies, I built the tools with Excel and some indicators with mql4 for Metatrader 4.

As a beginner in statistical arbitrage strategies or new statistical arbitrager, it is important to know what you are doing in order to succeed in such an endeavour. Understanding the principles and the Econometrics behind this, it is really important to change strategies when the former ones don't work as well as before.

I offer comprehensive statistical arbitrage courses. My courses are offered in the mean to build and find your own statistical arbitrage strategies, in order to be independent at this end of the courses. The blocks are the theory of arbitrage, the fundamentals behind it and the initiation of programming (VBA for Excel 2007 to 2013, MQL4 and basics in R). These courses are designed to provide novice and intermediate statistical arbitragers with the knowledge, the tools and the know-how to build and find their own statistical arbitrage strategies.

Subject:

1. Basic of statistical arbitrage and the type of other arbitrage
2. Statistical arbitrage: a definition
3. Basis of econometrics, statistics and mathematics
4. Basis of fundamental analysis
5. Basis of technical analysis
6. Basis of quantitative analysis
7. Statistical inference
8. Example of statistical arbitrage strategies
9. VBA and MQL4 programming
10. How to build its own statistical arbitrage strategy

P.S.: The courses are only in English. A private forum would be setup as soon as the courses begin. Whatever the level of the students is, we have a lot of ground to cover. This is the reason why the course duration is 52 weeks long because a lot of lectures would be given online with private webinar and on the private forum. Homework would be given for the next week or so.

Mode of Attendance: 52 lessons of one hour once a week (1 hour of courses and 30 minutes of Q&A) New 40 hours of stat arb courses plus 5 mentoring hours! 30 hours of stat arb courses and 24 hours of mentorship!
Overall duration: 52 weeks
Fees: 800€ 400$ (EURO) instead
Number of slots: 20
Beginning of the courses at 10 slot filled


Contact for the course application and more details about the course:

Directly a PM me (because it had been restored)

If you have any questions about the course, please write below!

Risk disclaimer: Statistical arbitrage is no risk-free and could involve a risk not affordable for all investors. Do not invest money you cannot afford to lose. Example of hedge funds blowup is LTCM.

It is important to do forward testing for new pairs trading/statistical arbitrage strategies, because we never know if the strategies are going to succeed.

I am testing at the moment the same basket trading (http://www.forexfactory.com/showthread.php?p=4170579).

To be profitable in stat arb, it is necessary to search new strategies everyday, because the strategies which worked in the past may be not working in the future.

I just saw I made a mistake in the title. Everybody should have figured it out. "Statistical arbitrage courses" instead of "Statitstical arbitrage courses".

Anyway, here is a statement for the trades that I made between the December 17th and 19th 2014. If everything is going well for the next two weeks, I should go live on January 5th 2015, with the same position sizing and a smaller account for the risk management.

Don't forget my courses are about the basic of statistical arbitrage and how to find strategies. I don't promise anything, except only I will teach you everything that I know about statistical arbitrage.

Hello everyone,

Here is what you could learn during my stat arb courses.



Of course, even if the commissions are not so high in these backtests, by combining several cointegrated backets to January 2nd 2011 to January 30th 2015 the PnLs of Totale and Totale2 are different because not all PnLs of individual baskets are present.

Totale is composed by every basket and Totale2 is composed by all baskets except 5 GBPUSD.

Of course, backtesting doesn't make those results real but I am forward testing these baskets at the moment.

I am not going to write more details about how I am calculating the cointegration (periods, timeframe and so on) because it is the secret sauce of statistical arbitragers.

Every stat arb/quant guy makes things differently and this is what my stat arb courses are all about: understanding what you are doing in order to build your own stat arb strategies, backtesting and forward testing them and so after that go live.

Don't get me wrong, my stat arb courses are for the beginners and intermediate only. If you already have some knowledge for that matter, I honestly think my courses are not made for you.

http://www.forexfactory.com/thearbitrage#01

Here is a trade explorer for the basket trading strategy. I will publish a forward testing results from 1 of February to 30 of May 2015.

I won't delete this trade explorer like the one with pairs trading with the BOBL and eurobunds. This pairs trading strategy can be only profitable with very tiny spreads and commissions.

In the trade explorer for the basket trading strategy, the account size is 25k in order to have a risk-adjusted return with a maximum drawdown of 30 to 40% in regard with the backtests of course.

To reduce the drawdown, it is possible to increase the capital required for the strategy or to lower the capital to boost the returns. Of course, everyone has to find its own risk tolerance!

By the way, I am looking funds to trade with stat arb strategies or other quant-oriented strategies if some investors are interested...

Here is a link to follow my signals and see my stats.

https://www.fxjunction.com/profile/Equilibrium/A/stats

Here are the results of the basket trading strategy for the month of July 2015.

Monthly gain = 722 € = 2.89% on an account of 25k€ in order to have a drawdown under control.

https://www.myfxbook.com/portfolio/b...ng-jfd/1284967

Of course, this demo it is just to show what a simple basket trading can do. It is not risk free and the drawdown happens from time to time.

If you are interested by this type of strategy to diversify your portfolio, here is my signal for this stat arb system:
https://www.fxjunction.com/profile/Equilibrium/A/stats

Here is a more detailed syllabus for the stat arb course:

Basic of statistical arbitrage and the type of other arbitrage
Option arbitrage
Bond arbitrage
Statistical arbitrage
Pairs trading
Triangular arbitrage
basket trading

Statistical arbitrage: a definition


Basis of econometrics, statistics and mathematics
APT
CAPM
What is the Beta?
Probability and statistics
Introdution to Linear regression models or OLS
Numerical Methods in finance
Introduction to Portfolio theory
Factor models
Introduction to GARCH Models
Time series models and cointegration
Introduction to Copulas
Advanced econometric models
Forecasting and model evaluation

Basis of fundamental analysis
Financial ratios
DCF analysis


Basis of technical analysis
Main TA indicators
How to use them in quantitative trading


Basis of quantitative analysis
Statistics
Probability


Statistical inference


Example of statistical arbitrage strategies


VBA and MQL4 programming
VBA programming for dummies
MQL4 for dummies or the same


How to build its own statistical arbitrage strategy
Thinking by yourself and finding inspiration in pairs trading literature
Backtesting and forward testing profitable strategies on paper


Introduction to quantitative and algorithmic trading


WARNING: Concerning the trading signal, you should have at least 5k on your account and be prepared to lose this money, because of the historical maximum drawdown of '40% approximatively during the backtests.

Stat arb course: For the moment, I have one person who is interested. I'll begin the course when 2 to 3 slots will be filled. The sooner they are, the sooner the course starts!

The results are fot the month of June 2015 and not July 2015. You corrected the mistake I think!

Here is some references for the stat arb course!

References

Pairs trading: Quantitative Methods and Analysis, Ganapathy Vidyamurthy, Wiley Finance, 2004

Statistical arbitrage: Algorithmic Trading Insights and Techniques, Andrew Pole, Wiley Finance, 2007

The Handbook of Pairs Trading: Strategies Using Equities, Options and Futures, Douglas S. Ehrman, John Wiley & Sons, 2006

The Complete Arbitrage Deskbook, Stephane Reverre, Wiley, 2001

Quantitative trading: How to Build Your Own Algorithmic Trading Business, Esnest P. Chan, Wiley Trading 2009

Algorithmic Trading : Winning Strategies And their Rationale, Esnest P. Chan, Wiley, 2013

Market Risk Analysis Quantitative Methods in Finance Volume 1, Carol Alexander, John Wiley & Sons, 2008

Market Risk Analysis Pratical Financial Econometrics Volume 2, Carol Alexander, John Wiley & Sons, 2008

Evidence-based Technical Analysis : Applying the Scientific Method and Statistical Inference to Trading Signals, David Aronson, Wiley, 2007

Value investing: Tools and Techniques for Intelligent Investment, James Montier, Wiley, 2009

The Elements of Statistical Learning: Data Mining, Inference and Prediction, Jerome Friedman, Trevor Hastie and Robert Tibshirani, Springer, 2009

An Introduction to Statistical Learning with Applicaton in R, Gareth James, Daniela Witten, Trevor Hastie, Robert Tibsharani, Springer, 2013

Exceptionnally the course begins when 3 slots are filled!

Down 1.4% in July (https://www.myfxbook.com/portfolio/b...ng-jfd/1284967). I am not going to describe in detail all the positions taken during July, you just have to take a look on the myfxbook and doing some reverse engineering on the basket you see in the history of this account.

A mistake on a basket where the GBPCAD position size should had been 0.07 lots and not 0.7 lots. Lucky me, the position was positive so I made the decision to close it.

I am going to add some pairs trading (2 assets) on this account, once I'll finish my backtesting and done my in-sample and out-of-sample testings in a rigorous manner.

For my first 5 students, the price of the stat arb course would be 180$ with a expiration date on the 15 of August 2015 at midnight New York time!

Here is my signal https://www.fxjunction.com/profile/Equilibrium/A/stats account if you want to replicate the trades, but take into account you need at least 5k$. Because if the historical maximal drawdown, you could blow up all your trading account!

This week was ok in term of gains because of the good side of the trade. Short GBPCAD with a +200 pips move in the good side (see here on the myfxbook account).

I should pairs and triplet trades in the September 2015. Just the time to do some backtesting and some proper money management rules to control and have a minimal drawdown as possible.

Still one week before the 180$ stat arb courses price for the first 5 students. Do not forget it is only a course, not a rich-quick scheme or a stat-arb-snake-oil-salesman kind of courses.

Two days before the end of the special price for the stat arb courses. After that, the price will be 250$ for the 50 first students.

4 slots available at 180$! Until 15 of August 2015 midnight New York Time.

I trade a 'kind of' statistical arbitrage as well. Interesting that both our accounts are about 80 days old, but you have more pips earned (while my account is live and has better win rate). I am interested in the course IF it will be recorded. I have a day time job and a child that is very alive in the afternoons, I usually sleep at night, so recording would help a lot.

Hello,

Yes the course will be recorded. For now two persons including you are interested. If I can not give the courses live, I will record it and I will deliver the course on a membership site I have to set up ASAP.

Tonight midnight New York time the offer for the 180$ price will be gone. The price will be 250$ for the first 50 students.

The price of 250$ for the first 50 students is limited in time. The 31 of august 2015 at midnight the price should go up to 350$.

I am from a very small country and the most known trader from my country is trading in Australia. He is trading statistical arbitrage. His name appears frequently in our financial newspaper. This is how I learned about this expression.

Good for you. It is what my courses are all about. Statistical arbitrage. The how, the knowhow and the tools to implement very quickly stat arb strategies on any market.