Enrico Malverti has developed automated trading systems for institutional clients (funds, asset management firms and banks treasuries) on stocks, bonds, currencies and futures for over 12 years. He is the author of several best-seller books about trading systems and technical analysis including “Trading systems vincenti” published by Hoepli. He has been writing articles for Trading library, Experta, Il Sole 24 Ore and Borsari. He has also been an appreciated speaker at numerous national and international seminars on automated trading for almost a decade. Enrico has covered the role of Chief Investment Officer in an Italian Financial Consultancy Firm for four years and is now Senior Quantitative Analyst at MC Capital Ltd.
The seminar aims to show the design principles of a strategy of algorithmic trading for futures and equities markets. We will analyze how to identify the characteristics of the historical data, the strategies to be adopted and the procedures for backtesting. The author will show some algorithms in real time.
- Pairs Trading Algorithms in Equities Markets
- Convergence and divergence
- Cointegration and Pairs Trading with Econometrics Toolbox
- Ratio between two data series
- Spread between indices (Bonds, stock indices, commodities)
- Testing in sample -out of sample
- Walk forward analysis
- Examples in real time