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

Your portfolio management system is your Iron Man suit

"You know, the question I get asked most often is, "Tony, how do you go to the bathroom in your suit?" [Long pause] Just like that."

– Tony Stark, Iron Man

Tony Stark may be a genius, a billionaire, a playboy, and a philanthropist. What truly gives him his superpower is his custom-made Iron Man suit. He did not buy his suit off the rack at Macy's. He torpedoed a few Lamborghinis in his garage building something that uniquely enhanced his fighting style. In the same way, your PMS is your Iron Man suit. It is an extension of your trading strategy. Its sole purpose is to help you make trading decisions under uncertainty. Since no one trades like you, it requires a high degree of customization.

A classic mistake is to buy an expensive off-the-shelf software package, thinking that more information will lead to better trading decisions. Software solutions are primarily reporting...