Designing an "Algorithmic Trading System" Rule 4 -- Use Specialty Bars for "Noise Reduction" and "Robustness" (e.g. Range, Kase, and Momentum Bars)(Avoid Time Bars) Rule 5 -- Define Performance Objectives (before throwing ideas into Algos) – (Different Objectives >> Different Ideas) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo Select the "Right Tools for The Job" Select "Users Friendly" Platform -- with reliable "Data Source" and "Order Execution" (all-in-one) plus "Trade Automation fast & robust" Select Platform with Easy, yet powerful Programming Language a Preferably comes with Open-Code indicators and strategy Programs Advanced Bar-types, Chart Analysis/Trading tools, Rolling WFO, etc All Asset Class available (including Options and Futures) in Roth IRA's Trade Graphs which show the Price Journey of all (winners and losers) trades "Drawdowns and Run-ups" to visualize more granular reality in the Backtest and Optimization reports

Define your "Specific Performance Objectives" (A-21) = (Most Conservative Algo) : Ratio (Avg Win/Avg Loss) = ( ) ….. [e.g. ($500/$1000)= 0.5] % Profitable (Win) = (80% %) Largest Losing Trade = ($ $1000) in (a Single Trade) Max Drawdown (Close to Close) = ($ $1500) in (Multiple Trades) Expected Monthly Return ≅ (80% %) >> (Monthly ROI ≅ 100%) Avg "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

Define your "Specific Performance Objectives" (A-23) = (Aggressive Algo) : Ratio (Avg Win/Avg Loss) = ( ) …. [e.g. ($500/$500)= 1.0] % Profitable (Win) = (70% -- 85%) Largest Losing Trade = ($ $1500) Max Drawdown (Close to Close) = ($ $2000) in(Multiple Trades) Monthly Return ≅ (100% %), (Monthly ROI ≅ 120%) Avg "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

Define your "Specific Performance Objectives" (A-28) = (More Aggressive Algo) : Ratio (Avg Win/Avg Loss) = ( ) ….. [e.g. ($500/$500)= 1.0] % Profitable (Win) = (60% -- 75%) Largest Losing Trade = ($ $1500) Max Drawdown (Close to Close) = ($ $1500) in(Multiple Trades) Expected Monthly Return ≅ (100% %), (Monthly ROI ≅ 140%) Avg "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo Pick the "Right Animal" (Symbol) to Trade Different "Futures" symbols have different (UHFT algo and Price) Footprints Different “Stocks / ETF’s“ symbols have different (UHFT algo and Price) Footprints Depending on one's Objectives, Drawdown Tolerance and Lifestyle, the Day-trader may pick the "Most Volatile, Most Liquid and Most Violent (Symbol) in terms of the price-range gyration (trading both uptrends and downtrends everyday). Another Metric is to watch the (Daily $Travel / Contract Cost) Ratio. (Cost=$3,850) Crude Oil (CL) contract swings ($3,000 to $9,000) Travel per day, (Ratio =200%+) With 41 years of trading experience, currently Crude Oil (CL) Futures is the "King“ ( ), Gold (GC) Futures used to be the "King" ( ).

Examples of Algo Trading (A21 and A-23 and A-28 Algorithms) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo Description of Next eight (8) Pages of Various Algorithm Demo Charts and Performance Results : Apache-21 (Chart with Trade Lines)(Yellow=Winners)(Red=Losers) Apache-21 (followed by Performance Summary, Monthly Equity Curve, and Trade Graph of Winners) Apache-23 (Chart with Trade Lines)(Yellow=Winners)(Red=Losers) Apache-23 (followed by Performance Summary, Monthly Equity Curve, and Trade Graph of Winners) Apache-28 (Chart with Trade Lines)(Yellow=Winners)(Red=Losers) Apache-28 (followed by Performance Summary, Monthly Equity Curve, and Trade Graph of Winners) Apache-28 (Chart with Trade Lines)(Yellow=Winners)(Red=Losers) Apache-28 (followed by Performance Summary, and Trade Graph of Winners in Green, and Losers in Red)

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

自動交易印鈔機 ( 期貨 ) The Basics of Algorithmic Strategy Trading (End of Session I) Silicon Valley Low-Frequency Algo Trading Meetup Tue, Feb 9, 2016 (6-9pm) ( Portuguese Club “SES”) Presented by Allan Loo - Apache Group Contact: "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

Apache Room – Where Wise Traders Meet and Train "SVLF Algo Trading" Tue, Feb 9&20, 2016 (4-7pm) Apache Group - Allan Loo

自動交易印鈔機 ( 期貨 ) The Basics of Algorithmic Strategy Trading (Begin of Session II) Silicon Valley Low-Frequency Algo Trading Meetup Tue, Feb 20, 2016 (4-7pm) (Country Inn) Presented by Allan Loo - Apache Group Contact: "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

The Basics of Algorithmic Strategy Trading (session I refresh) (1) All three Sessions, we focus on "Day-trading" Algorithm (2) The focus asset class = Futures (3) Day-trading is War -- one may lose some or all of the account (highest risk) (4) Who's your "Worst Enemy" before 2007 ? (Yourself) (5) Who's your "Worst Enemy" after 2007 ? (Super Algo=UHFT)+(Yourself) (6) Who's your "Best Friend" ? (The Trend) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

The Basics of Algorithmic Strategy Trading (session I refresh) (7) Who invented the "Wheel" in Futures trading (1987),(1997) ? (LW) (8) When "Market is fair and level" -- we use what tools ? (TA,QA,Quant) (9) When Market is "Rigged and Manipulated" – (Join the Manipulators) (10) What's the "Bottomline" ? ( Make Money Consistently, and Highest ROI) (11) The Preferred Strategy --- (Follow the Footprints of The House) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

The Basics of Algorithmic Strategy Trading (session I refresh) (12) Algo Trading System Design Rules ? (Page 19-22) (13) Rule#1 ? Trade in Both Directions (No need to Predict Direction – Never Wrong) (14) Rule#2 ? Use Full Automation (Algo) Programs 24/5 (No Human Error) (15) Rule#3 ? Use Logical Adaptive Stop Exits (Conditional Exits) (for losing trades) (Never use $Stop Loss that would intercept Winners) (16) Rule#4 ? Use Price Based Bars (Less Noise)--(Avoid Time Bars) (17) Rule#5 ? Pre-Define Performance Objectives (Page 24-26) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

The Basics of Algorithmic Strategy Trading (session I refresh) (18) Use (all-in-one) Platform – (Data+Orders+Trading+Broker) (19) Select Easy Programming Language -- (TS EL) (20) "Open Code" indicators and strategies (provided by platform) (21) Charting /Analysis tools, Backtest (in-sample) and WFO (out-of-sample) (22) Compound your "Net Worth" by "Trading in Roth IRA" or "Foreigners" (23) Use "Trade Graph" to detect "Whipsaw Price Journey" and "Predator's Footprints” left by Big Banks (UHF) Super Algo Programs "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

The Basics of Algorithmic Strategy Trading (session I refresh) (24) Define Performance Objectives for a winning Algorithm : (Page24-26) (25) Ratio (Avg Win/Avg Loss) = ( ) ….. [e.g. ($500/$1000)= 0.5] (26) % Profitable (Win) = (80% %) (27) Largest Losing Trade = ($ $1000) in (a Single Trade) (28) Max Drawdown (Close to Close) = ($ $1500) in (Multiple Trades) (29) Expected Monthly Return >>> (Monthly ROI ≅ 100%) Avg (Page 24-26) (30) Pick the Right "Animal" >>> most 'Volatile", Swings ($ $9000) travel/day (Up and Down) (Page27) (End of Session I Refresh) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

Session II Agenda --- The Basics of Algorithmic Strategy Trading : Part 9 : Chart Analysis -- Zoning (Uptrend, Downtrend and Sideways) Part 10: Coding The Algos > Debug Program >Refine Algos Part 11 : Critical Path (The Only Job) -- To Remove "Big Losers" Part 12 : Repeat the Process until Performance Objectives are Met Part 13 : Examples of Algo Trading (more) -- A21 and A-23 and A-28 "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo

"SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo Session III Agenda --- The Basics of Algorithmic Strategy Trading : Part 14: Algo Backtest, (In-sample-test) – Bar Size, Period, Optimization Part 15 : Algo Rolling WFO (Out-of-sample test),Monte Carlo, Trade Graphs Part 16 : Real-time, Live Data, Simulation -- Criteria for Algo Stress Test for Robustness, Use of Matrix, TradeManager, Error Recovery, Full Automation Part 17 : Real-time, Live Data, Live Trade -- Slippage, Strategy vs Account Orders, Position Match,Trade Manager, Messages, Matrix, Live Open Orders Part 18 : Examples of Algo Trading (more) -- A21 and A-23 and A-28 and A-29

The first Step to analyze a Trading Chart --- The "Big Picture by Zoning" * Need to know the (current bar) What zone we're in ? (A) Uptrend Zone -- Only "Buy Long" entry (LE) to open position is allowed (B) Downtrend Zone -- Only "Sellshort" entry (SE) to open position is allowed (C) Sideways Zone -- Undecided area, no (LE) or (SE) to open position allowed * Analysis Tools to determine "Zones" border -- (e.g.) SMA, MacdBB, Ichimoku Cloud, Percent Range, Bollinger Bands or a combo of the above Reference >>> (Chart#1) (Close>MA=Buy)(Close<MA=Sell) Reference >>> (Chart#2,3) (Close>Ichi=Buy)(Close<Ichi=Sell) Session II: Part 9: Chart Analysis -- Zoning (Uptrend, Downtrend and Sideways) "SVLF Algo Trading" Tue, Feb 20, 2016 (4-7pm) Apache Group - Allan Loo