1. Simulation
And lessons learned from past HTs

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

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

4. 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

5. The Big Picture
Tracking error as percentage of TaPTV

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

7. Team 7/06 Idea: UX matters

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

11. Delta Hedging Weakness

12. Team 5/08 - Winner

13. WINIT
What Is New In Technology?

14. Simulation
Testing your strategies

15. 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

16. 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)