Book Image

Algorithmic Short Selling with Python

By : Laurent Bernut
Book Image

Algorithmic Short Selling with Python

By: Laurent Bernut

Overview of this book

If you are in the long/short business, learning how to sell short is not a choice. Short selling is the key to raising assets under management. This book will help you demystify and hone the short selling craft, providing Python source code to construct a robust long/short portfolio. It discusses fundamental and advanced trading concepts from the perspective of a veteran short seller. This book will take you on a journey from an idea (“buy bullish stocks, sell bearish ones”) to becoming part of the elite club of long/short hedge fund algorithmic traders. You’ll explore key concepts such as trading psychology, trading edge, regime definition, signal processing, position sizing, risk management, and asset allocation, one obstacle at a time. Along the way, you’ll will discover simple methods to consistently generate investment ideas, and consider variables that impact returns, volatility, and overall attractiveness of returns. By the end of this book, you’ll not only become familiar with some of the most sophisticated concepts in capital markets, but also have Python source code to construct a long/short product that investors are bound to find attractive.
Table of Contents (17 chapters)
14
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15
Index

Signals and Execution

"We have two ears and one mouth, so that we can listen twice as much as we speak,"

– Epictetus

This chapter will tell you exactly how you should prioritize orders and the reasons behind this. We will look at managing portfolios with relative series, but executing in absolute series. We will deep dive into exits, starting with unprofitable and profitable ones. We will consider the mental hygiene of exits. Then, we will move on to a popular topic: entries and re-entries. We will come up with counterintuitive yet effective low-risk high-reward entry techniques. The entire book has led up to this and the following chapter, so we will be revisiting parts of the book, putting out some code that synthesizes everything we have seen so far, and visualizing the results.

Along the way, we will discuss the following topics:

  • Importing libraries
  • Timing is money: the importance of timing orders
  • Order prioritization...