Algorithmic Trading With Python And Machine Learning

Our very first Trade Preview 01:45

Long Term Investing vs. (Algorithmic) Day Trading Preview 04:26

Overview & the Brokers OANDA and FXCM Preview 04:42

OANDA at a first glance Preview 07:58

How to create an Account Preview 06:54

FOREX / Currency Exchange Rates explained Preview 08:33

Our second Trade - EUR/USD FOREX Trading Preview 04:24

How to calculate Profit & Loss of a Trade Preview 06:45

Trading Costs and Performance Attribution Preview 11:18

Margin and Leverage Preview 08:04

Margin Closeout and more Preview 07:20

Introduction to Charting Preview 04:50

Our third Trade A-Z - Going Short EUR/USD Preview 07:03

Netting vs. Hedging Preview 07:26

Market, Limit and Stop Orders Preview 05:42

Take-Profit and Stop-Loss Orders Preview 03:28

A more general Example Preview 04:25

Trading Challenge Preview 00:21

FXCM at a first glance Preview 06:55

How to create an Account Preview 06:35

Example Trade: Buying EUR/USD Preview 03:07

Trade Analysis Preview 03:44

Charting Preview 01:16

Closing Positions vs. Hedging Positions Preview 02:16

Order Types at a glance Preview 04:01

Trading Challenge Preview 00:19

Introduction Preview 01:32

Download and Install Anaconda Preview 08:08

How to open Jupyter Notebooks Preview 09:29

How to work with Jupyter Notebooks Preview 14:00

Tips for Python Beginners Preview 01:11

Overview Preview 01:07

OANDA: Commands to install required packages Preview 00:07

OANDA: How to install the OANDA API / Wrapper Preview 03:52

OANDA: Getting the API Key & other Preparations Preview 05:02

OANDA: Connecting to the API/Server Preview 07:34

OANDA: How to load Historical Price Data (Part 1) Preview 07:55

OANDA: How to load Historical Price Data (Part 2) Preview 04:11

OANDA: Streaming high-frequency real-time Data Preview 03:46

OANDA: How to place Orders and execute Trades Preview 10:18

Trading Challenge Preview 00:17

FXCM: Commands to install required packages Preview 00:24

FXCM: How to install the FXCM API Wrapper Preview 03:24

FXCM: Getting the Access Token & other Preparations Preview 03:05

FXCM: Connecting to the API/Server Preview 07:45

Troubleshooting: FXCM Server Connection Issues Preview 01:31

FXCM: How to load Historical Price Data (Part 1) Preview 06:30

FXCM: How to load Historical Price Data (Part 2) Preview 05:24

FXCM: Streaming high-frequency real-time Data Preview 06:38

FXCM: How to place Orders and execute Trades Preview 07:26

Trading Challenge Preview 00:17

Conclusion and Outlook Preview 00:44

Introduction and Downloads Part 2 Preview 02:56

Importing Time Series Data from csv-files Preview 08:16

Converting strings to datetime objects with pd.to_datetime() Preview 08:53

Indexing and Slicing Time Series Preview 07:25

Downsampling Time Series with resample() Preview 14:20

Coding Exercise 1 Preview 05:10

Getting Ready (Installing required library) Preview 02:20

Importing Stock Price Data from Yahoo Finance Preview 09:29

Initial Inspection and Visualization Preview 05:32

Normalizing Time Series to a Base Value (100) Preview 06:31

The shift() method Preview 06:51

The methods diff() and pct_change() Preview 06:41

Measuring Stock Performance with MEAN Returns and STD of Returns Preview 08:49

Financial Time Series - Return and Risk Preview 08:30

Financial Time Series - Covariance and Correlation Preview 04:32

Coding Exercise 2 Preview 00:04

Simple Returns vs. Log Returns Preview 09:18

Importing Financial Data from Excel Preview 11:25

Simple Moving Averages (SMA) with rolling() Preview 08:44

Momentum Trading Strategies with SMAs Preview 07:08

Exponentially-weighted Moving Averages (EWMA) Preview 04:32

Merging / Aligning Financial Time Series (hands-on) Preview 05:02

Helpful DatetimeIndex Attributes and Methods Preview 06:24

Filling NA Values with bfill, ffill and interpolation Preview 10:07

Timezones and Converting (Part 1) Preview 04:36

Timezones and Converting (Part 2) Preview 04:48

Introduction to OOP and examples for Classes Preview 10:58

The Financial Analysis Class live in action (Part 1) Preview 04:58

The Financial Analysis Class live in action (Part 2) Preview 03:42

The special method __init__() Preview 08:28

The method get_data() Preview 06:49

The method log_returns() Preview 03:21

String representation and the special method __repr__() Preview 03:41

The methods plot_prices() and plot_returns() Preview 05:21

Encapsulation and protected Attributes Preview 04:02

The method set_ticker() Preview 03:18

Adding more methods and performance metrics Preview 05:51

Inheritance Preview 09:01

Inheritance and the super() Function Preview 06:47

Adding meaningful Docstrings Preview 06:24

Creating and Importing Python Modules (.py) Preview 04:19

Coding Exercise 3: Create your own Class Preview 07:13

Introduction to Part 3 Preview 06:13

Trading Strategies - an Overview Preview 06:43

Downloads for Part 3 Preview 00:05

Getting the Data Preview 03:56

A simple Buy and Hold "Strategy" Preview 05:20

Performance Metrics Preview 06:33

SMA Crossover Strategies - Overview Preview 05:04

Defining an SMA Crossover Strategy Preview 07:03

Vectorized Strategy Backtesting Preview 08:21

Finding the optimal SMA Strategy Preview 11:52

Generalization with OOP: An SMA Backtesting Class in action Preview 10:24

Creating the Class (Part 1) Preview 04:02

Creating the Class (Part 2) Preview 09:06

Creating the Class (Part 3) Preview 06:20

Creating the Class (Part 4) Preview 04:58

Creating the Class (Part 5) Preview 02:37

Creating the Class (Part 6) Preview 04:54

Creating the Class (Part 7) Preview 02:46

Creating the Class (Part 8) Preview 04:19

Simple Contrarian/Momentum Strategies - Overview Preview 03:45

Getting the Data Preview 02:53

Excursus: Your FAQs answered Preview 05:03

Defining a simple Contrarian Strategy Preview 03:27

Vectorized Strategy Backtesting Preview 04:31

Changing the Window Parameter Preview 05:35

Trades and Trading Costs (Part 1) Preview 08:51

Trades and Trading Costs (Part 2) Preview 03:01

Generalization with OOP: A Contrarian Backtesting Class in action Preview 08:07

OOP Challenge: Create the Contrarian Backtesting Class (incl. Solution) Preview 05:04

Mean-Reversion Strategies - Overview Preview 05:41

Getting the Data Preview 02:00

Defining a Bollinger Bands Mean-Reversion Strategy (Part 1) Preview 04:29

Defining a Bollinger Bands Mean-Reversion Strategy (Part 2) Preview 09:22

Vectorized Strategy Backtesting Preview 05:48

Generalization with OOP: A Bollinger Bands Backtesting Class in action Preview 07:20

OOP Challenge: Create the Bollinger Bands Backtesting Class (incl. Solution) Preview 04:12

Machine Learning - an Overview Preview 06:40

Linear Regression with scikit-learn - a simple Introduction Preview 08:17

Making Predictions with Linear Regression Preview 03:11

Overfitting Preview 06:23

Underfitting Preview 04:05

Getting the Data Preview 01:39

A simple Linear Model to predict Financial Returns (Part 1) Preview 03:08

A simple Linear Model to predict Financial Returns (Part 2) Preview 06:40

A Multiple Regression Model to predict Financial Returns Preview 05:36

In-Sample Backtesting and the Look-ahead-bias Preview 03:48

Out-Sample Forward Testing Preview 04:30

Logistic Regression with scikit-learn - a simple Introduction (Part 1) Preview 05:22

Logistic Regression with scikit-learn - a simple Introduction (Part 2) Preview 06:11

Getting and Preparing the Data Preview 02:51

Predicting Market Direction with Logistic Regression Preview 03:38

In-Sample Backtesting and the Look-ahead-bias Preview 02:20

Out-Sample Forward Testing Preview 03:25

Generalization with OOP: A Classification Backtesting Class in action Preview 10:59

The Classification Backtesting Class explained (Part 1) Preview 07:00

The Classification Backtesting Class explained (Part 2) Preview 04:24

Introduction to Iterative Backtesting ("event-driven") Preview 04:18

A first Intuition on Iterative Backtesting (Part 1) Preview 06:07

A first Intuition on Iterative Backtesting (Part 2) Preview 05:06

Creating an Iterative Base Class (Part 1) Preview 04:27

Creating an Iterative Base Class (Part 2) Preview 02:35

Creating an Iterative Base Class (Part 3) Preview 02:14

Creating an Iterative Base Class (Part 4) Preview 07:30

Creating an Iterative Base Class (Part 5) Preview 05:42

Creating an Iterative Base Class (Part 6) Preview 04:15

Creating an Iterative Base Class (Part 7) Preview 06:36

Creating an Iterative Base Class (Part 8) Preview 06:49

Adding the Iterative Backtest Child Class for SMA (Part 1) Preview 05:52

Adding the Iterative Backtest Child Class for SMA (Part 2) Preview 08:56

Using Modules and adding Docstrings Preview 05:05

OOP Challenge: Add Contrarian and Bollinger Strategies Preview 07:25

Introduction and Overview Preview 01:38

UPDATED: Downloads for Part 4 Preview 00:04

Updating the Wrapper Package (Part 1) Preview 00:05

Updating the Wrapper Package (Part 2) Preview 03:13

**Weekend and Bank Holiday Alert** Preview 00:11

Historical Data, real-time Data and Orders (Recap) Preview 09:19

Preview: A Trader Class live in action Preview 05:05

How to collect and store real-time tick data Preview 05:35

Storing and resampling real-time tick data (Part 1) Preview 08:23

Storing and resampling real-time tick data (Part 2) Preview 05:48

Storing and resampling real-time tick data (Part 3) Preview 04:39

Storing and resampling real-time tick data (Part 4) Preview 07:49

Storing and resampling real-time tick data (Part 5) Preview 04:08

Working with historical data and real-time tick data (Part 1) Preview 08:08

Working with historical data and real-time tick data (Part 2) Preview 06:27

Working with historical data and real-time tick data (Part 3) Preview 03:44

Defining a simple Contrarian Strategy Preview 06:01

Placing Orders and Executing Trades Preview 06:30

Trade Monitoring and Reporting Preview 09:09

Trading other Strategies - Coding Challenge Preview 01:48

Implementing an SMA Crossover Strategy (Solution) Preview 04:18

Implementing a Bollinger Bands Strategy (Solution) Preview 03:15

Machine Learning Strategies (1) - Model Fitting Preview 05:26

Machine Learning Strategies (2) - Implementation Preview 06:47

Importing a Trader Module / Class Preview 02:56

Running a Python Trader Script Preview 07:02

**Weekend and Bank Holiday Alert** Preview 00:11

Historical Data, real-time Data and Orders (Recap) Preview 09:31

Troubleshooting: FXCM Server Connection Issues Preview 01:17

Preview: A Trader Class live in action Preview 06:14

Collecting and storing real-time tick data Preview 06:50

Storing and resampling real-time tick data (Part 1) Preview 08:42

A Trader Class Preview 05:41

Storing and resampling real-time tick data (Part 2) Preview 08:18

Storing and resampling real-time tick data (Part 3) Preview 03:16

Working with historical data and real-time tick data (Part 1) Preview 06:07

Working with historical data and real-time tick data (Part 2) Preview 05:55

Working with historical data and real-time tick data (Part 3) Preview 03:46

Defining a Simple Contrarian Trading Strategy Preview 04:47

Placing Orders and Executing Trades Preview 07:33

Trade Monitoring and Reporting Preview 06:31

Trading other Strategies - Coding Challenge Preview 01:57

SMA Crossover and Bollinger Bands (Solution) Preview 04:20

Machine Learning Strategies (1) - Model Fitting Preview 05:26

Machine Learning Strategies (2) - Implementation Preview 05:54

Running a Python Script Preview 06:20

Introduction and Motivation Preview 02:49

Demonstration: AWS EC2 for Algorithmic Trading live in action Preview 07:26

Amazon Web Services (AWS) - Overview and how to create a Free Trial Account Preview 02:34

How to create an EC2 Instance Preview 07:58

How to connect to your EC2 Instance Preview 04:20

Getting the Instance Ready for Algorithmic Trading Preview 07:00

**Weekend and Bank Holiday Alert** Preview 00:11

How to run Python Scripts in a Windows Command Prompt Preview 04:05

How to start Trading sessions with Batch (.bat) Files Preview 04:02

How to schedule Trading sessions with the Task Scheduler Preview 04:58

How to stop Trading Sessions (OANDA) Preview 06:36

How to stop Trading Sessions (FXCM) Preview 05:26

Overview Preview 01:46

Downloads for PART 5 Preview 00:04

Introduction and Preparing the Data Preview 04:57

The best time to trade (Part 1) Preview 03:25

The best time to trade (Part 2) Preview 03:20

Spreads during the busy hours Preview 02:01

The Impact of Granularity Preview 04:15

Conclusions Preview 02:09

Introduction Preview 02:06

Strategy 1: SMA Preview 02:18

Strategy 2: Mean Reversion Preview 02:26

Combining both Strategies - Alternative 1 Preview 05:21

Taking into account busy Trading Hours Preview 02:32

Strategy Backtesting Preview 01:41

Combining both Strategies - Alternative 2 Preview 02:48

Strategy Optimization Preview 08:53

Project Overview Preview 05:31

Installation of Tensorflow & Keras (Part 1) Preview 00:10

Installation of Tensorflow & Keras (Part 2) Preview 07:52

Getting and Preparing the Data Preview 01:13

Adding Labels/Features Preview 05:36

Adding lags Preview 02:25

Splitting into Train and Test Set Preview 02:00

Feature Scaling/Engineering Preview 03:17

Creating and Fitting the DNN Model Preview 08:00

Prediction & Out-Sample Forward Testing Preview 07:02

Saving Model and Parameters Preview 02:52

**Important Notices** Preview 00:21

Implementation (Oanda & FXCM) Preview 12:25

Overview Preview 01:30

Section Downloads Preview 00:04

Intro to the Time Value of Money (TVM) Concept (Theory) Preview 06:01

Calculate Future Values (FV) with Python / Compounding Preview 03:29

Calculate Present Values (FV) with Python / Discounting Preview 02:38

Interest Rates and Returns (Theory) Preview 04:26

Calculate Interest Rates and Returns with Python Preview 03:47

Introduction to Variables Preview 05:04

Excursus: How to add inline comments Preview 02:50

Variables and Memory (Theory) Preview 01:57

More on Variables and Memory Preview 06:33

Variables - Dos, Don´ts and Conventions Preview 03:49

The print() Function Preview 04:09

Coding Exercise 1 Preview 09:00

TVM Problems with many Cashflows Preview 03:21

Intro to Python Lists Preview 02:22

Zero-based Indexing and negative Indexing in Python (Theory) Preview 02:47

Indexing Lists Preview 03:10

For Loops - Iterating over Lists Preview 07:48

The range Object - another Iterable Preview 04:56

Calculate FV and PV for many Cashflows Preview 07:35

The Net Present Value - NPV (Theory) Preview 07:47

Calculate an Investment Project´s NPV Preview 03:02

Coding Exercise 2 Preview 08:41

Data Types in Action Preview 06:07

The Data Type Hierarchy (Theory) Preview 03:30

Excursus: Dynamic Typing in Python Preview 01:38

Build-in Functions Preview 05:52

Integers Preview 03:18

Floats Preview 05:58

How to round Floats (and Integers) with round() Preview 05:10

More on Lists Preview 05:15

Lists and Element-wise Operations Preview 04:19

Slicing Lists Preview 04:33

Slicing Cheat Sheet Preview 00:03

Changing Elements in Lists Preview 02:44

Sorting and Reversing Lists Preview 03:48

Adding and removing Elements from/to Lists Preview 09:33

Mutable vs. immutable Objects (Part 1) Preview 09:04

Mutable vs. immutable Objects (Part 2) Preview 05:12

Coding Exercise 3 Preview 11:32

Tuples Preview 06:50

Dictionaries Preview 06:22

Intro to Strings Preview 08:47

String Replacement Preview 04:10

Booleans Preview 02:23

Operators (Theory) Preview 04:37

Comparison, Logical and Membership Operators in Action Preview 08:21

Coding Exercise 4 Preview 08:56

Conditional Statements Preview 09:04

Keywords pass, continue and break Preview 09:37

Calculate a Project´s Payback Period Preview 04:35

Introduction to while loops Preview 07:58

Coding Exercise 5 Preview 00:04

Section Downloads Preview 00:04

Defining your first user-defined Function Preview 06:07

What´s the difference between Positional Arguments vs. Keyword Arguments? Preview 05:35

How to work with Default Arguments Preview 05:27

The Default Argument None Preview 06:17

How to unpack Iterables Preview 04:40

Sequences as arguments and *args Preview 05:05

How to return many results Preview 02:42

Scope - easily explained Preview 08:16

Coding Exercise 6 Preview 00:04

Downloads for this Section Preview 00:04

Modules, Packages and Libraries - No need to reinvent the Wheel Preview 07:52

Numpy Arrays Preview 08:23

Indexing and Slicing Numpy Arrays Preview 03:13

Vectorized Operations with Numpy Arrays Preview 03:56

Changing Elements in Numpy Arrays & Mutability Preview 05:50

View vs. copy - potential Pitfalls when slicing Numpy Arrays Preview 04:45

Numpy Array Methods and Attributes Preview 05:13

Numpy Universal Functions Preview 03:59

Boolean Arrays and Conditional Filtering Preview 04:39

Advanced Filtering & Bitwise Operators Preview 06:11

Determining a Project´s Payback Period with np.where() Preview 04:50

Creating Numpy Arrays from Scratch Preview 05:56

Coding Exercise 7 Preview 00:04

How to work with nested Lists Preview 04:21

2-dimensional Numpy Arrays Preview 03:51

How to slice 2-dim Numpy Arrays (Part 1) Preview 05:36

How to slice 2-dim Numpy Arrays (Part 2) Preview 02:03

Recap: Changing Elements in a Numpy Array / slice Preview 03:39

How to perform row-wise and column-wise Operations Preview 04:33

Coding Exercise 8 Preview 00:04

Intro to Tabular Data / Pandas Preview 04:19

Create your very first Pandas DataFrame (from csv) Preview 09:09

Pandas Display Options and the methods head() & tail() Preview 06:41

First Data Inspection Preview 11:25

Coding Exercise 9 Preview 00:04

Selecting Columns Preview 06:05

Selecting one Column with the "dot notation" Preview 02:16

Zero-based Indexing and Negative Indexing Preview 03:04

Selecting Rows with iloc (position-based indexing) Preview 10:07

Slicing Rows and Columns with iloc (position-based indexing) Preview 04:39

Position-based Indexing Cheat Sheets Preview 00:02

Selecting Rows with loc (label-based indexing) Preview 03:14

Slicing Rows and Columns with loc (label-based indexing) Preview 10:21

Label-based Indexing Cheat Sheets Preview 00:02

Summary, Best Practices and Outlook Preview 06:30

Coding Exercise 10 Preview 00:04

First Steps with Pandas Series Preview 03:53

Analyzing Numerical Series with unique(), nunique() and value_counts() Preview 13:50

Analyzing non-numerical Series with unique(), nunique(), value_counts() Preview 07:17

The copy() method Preview 03:57

Sorting of Series and Introduction to the inplace - parameter Preview 08:59

First Steps with Pandas Index Objects Preview 05:57

Changing Row Index with set_index() and reset_index() Preview 10:07

Changing Column Labels Preview 03:20

Renaming Index & Column Labels with rename() Preview 03:51

Filtering DataFrames (one Condition) Preview 10:20

Filtering DataFrames by many Conditions (AND) Preview 04:45

Filtering DataFrames by many Conditions (OR) Preview 05:04

Advanced Filtering with between(), isin() and ~ Preview 08:35

Intro to NA Values / missing Values Preview 08:52

Handling NA Values / missing Values Preview 10:51

Exporting DataFrames to csv Preview 02:14

Summary Statistics and Accumulations Preview 10:26

Visualization with Matplotlib (Intro) Preview 08:48

Customization of Plots Preview 12:56

Histogramms (Part 1) Preview 04:34

Histogramms (Part 2) Preview 06:28

Scatterplots Preview 07:18

First Steps with Seaborn Preview 05:24

Categorical Seaborn Plots Preview 13:33

Seaborn Regression Plots Preview 12:21

Seaborn Heatmaps Preview 08:17

Removing Columns Preview 05:18

Introduction to GroupBy Operations Preview 02:02

Understanding the GroupBy Object Preview 08:05

Splitting with many Keys Preview 06:49

split-apply-combine Preview 09:36

Bonus Lecture Preview 03:13