The Boolean behind the Boolean

Algorithmic Training

Let us assume that a stock is trading at 232.74 INR in the SENSEX. What could be various parameters that can cause a stock sell? Let us have a look at this Boolean logic.

IF Share Volume Trading > 5,000

IF Share Volume Trading < 10,000,000

IF Share Price Increase > 1 % of Early Start Price

IF Share Price Increase < 3 % of Early Start Price

IF Minimum Fluctuation of Price > 0.1 % of Early Start Price

IF Maximum Fluctuation of Price < 2 % of Early Start Price

IF Industry Index of Clubbed Stocks > – 3% Trade of Clubbed Stock

IF SEXSEX Sentiments > 0.2 % Trade of SENSEX

ELSE

IF Share Volume Trading < 10,000

IF Share Volume Trading > 15,000,000

IF Share Price Increase <  2 % of Early Start Price

IF Share Price Increase > 2% of Early Start Price

IF Minimum Fluctuation of Price < 1 % of Early Start Price

IF Maximum Fluctuation of Price > 2 % of Early Start Price

IF Industry Index of Clubbed Stocks > 3 % Trade of Clubbed Stock

IF SEXSEX Sentiments > – 3 % Trade of SENSEX

THEN SELL a Particular Stock

ELSE

IF Share Volume Trading > 5,000 && < 10,000

IF Share Volume Trading < 10,000,000 && > 15,000,000

IF Share Price Increase > 1% && < 2% of Early Start Price

IF Share Price Increase > 3% && < 2% of Early Start Price

IF Minimum Fluctuation of Price > 0.1 % && < 1 % of Early Start Price

IF Maximum Fluctuation of Price > 2% && 2% of Early Start Price

IF Industry Index of Stocks < – 3% && 3% Trade of Clubbed Stock

IF SEXSEX Sentiments > – 0.2% && < 3% Trade of SENSEX

THEN HOLD a Particular Stock

Can we base an algorithmic trading based on this particular Boolean?

Note– The numbers are just figurative. They do not represent real numbers.

Share volume trading means the total amount of shares traded for a particular vertical, blue chip stocks or the whole market. Share price increase denotes a rise in share prices for a particular stock in intra-day trading. Minimum fluctuation means the range or spread of a particular stock during a intra-day trading. Industry Index of clubbed stocks means the value of a portfolio for certain stocks. SENSEX sentiments means a positive movement of a SENSEX.

1. Trend following strategies- The most common algorithmic trading involves moving averages, channel break-outs, price level movements and technical indicators. Generally 50 to 200 days moving average is very popular.
2. Arbitration opportunities- Risk free profit and arbitrage can be used as risk-free arbitrage.
3. Index fund rebalancing- Index funds have defined periods of rebalancing benchmark indices. A 2-80 point basis trade is expected.
4. Mathematical model based strategies- Data-neutral trading strategies allow underlying security to offset negative deltas.
5. Trading range- It means reversion strategies identify and define a price range and implement an algorithm based on trade volumes.
6. Volume weighted average price- Volume weighted average price strategy breaks up a large order to historical volume profiles.
7. Time weighted average price- Time weighted average price breaks up large order and releases determined smaller chunks of the order to the market for minimizing larger impacts.
8. Percentage of volume- The algo sends step strategy at user-defined percentage of market volumes at user-defined levels.
9. Implementation short-fall- The implementation strategy aims at minimizing execution and decrease the stock movement.
10. Sentiment analysis & Quantitative Analysis- A few classes of algorithms have an inbuilt algorithms to fill orders at a higher price. Positive goodwill denotes a positive sentiment.