And lessons learned from past HTs Simulation And lessons learned from past HTs

Critical Thinking Doing well Lab? Extra office hours: 5:30 onwards Fri/Sat teaching in DC

Your Opinion Matters Name, School What you like about the class What can be improved Feelings about the Tournament

SuperPrograms Hennessey venom F5 – fastest street car – 301 mph at the top speed "the tires will only last for about fifteen minutes, but it's okay because the fuel runs out in twelve minutes.“* Hennessey venom F5 – fastest street car – 301 mph $1.6mil * About a Bugatti Veyron

The Big Picture Tracking error as percentage of TaPTV

Team 3/06 - Delta Calculator Bugatti Veyron 254mh-2.5s- 2.3m Idea: use more than one computer

Team 7/06 Idea: UX matters

Team 6/06 – Their Secret Weapon Idea: maximum information

Delta Hedging Weakness

Team 5/08 - Winner

What Is New In Technology? WINIT What Is New In Technology?

Testing your strategies Simulation Testing your strategies

Algotrading: Simulation main concept Start Set up: Reset the Spartan Trader to the beginning-of-tournament state Current date = start date Daily routine: Show currentDate, Calc and display financial metrics Add one day to the current date Daily routine: Generate and score candidate recommendations for the next family portfolio Pick the best recommendation, display it, and execute it End of tournament date reached More families? End

Generating & Scoring alternatives Do we hedge today? N Should we hedge this portfolio (e.g., AAPL)? N Family delta positive or negative? Sell AAPL stock Sell AAPL Calls Sell Short AAPL Calls Buy AAPL Puts Buy back AAPL Short Puts Buy AAPL stock Buy AAPL Calls Buy back Short Calls ….. Base score 700 Base score 600 Base score 200 Base score 400 ….. ….. Base score 400 Base score 500 ….. Loop trough A-E ….. ….. Is it in IP? Loop trough A-E N Is it in IP? N Is it in IP? N Do I have any long stock? N Do I have available cash? N Am I long on it? N How many should I buy? How many should I sell? How many should I sell short? Can I afford it? N Will I respect max margins? N Will I respect the margin? N If I do not have enough, I lower the base score with an adjustment If I cannot sell short enough, I lower the base score with an adjustment If I cannot buy enough, I lower the base score with an adjustment Adjust score based on Strike (A-E) Adjust score based on Strike (A-E)