An very interesting technical book by Ernmie Chan, ‘Algorithmic Trading : Winning Strategies and Their Rationale’. (Book Notes) Common Pitfall of Backtesting Backtesing of the process of feeding historical data to your trading strategy to see how good it have performed. Look-ahead Bias: Look-ahead bias means that your backtest program is using tommorrow’s prices to…

Ques 1: What python design patterns have you used? Ans: A design pattern is a proven, reusable solution to common problems that arise in software design. It is not a finished piece of code but a template or blueprint for how to resolve a particular design issue in a flexible and efficient way. Strategy pattern:…

Ques 1: What methods can be used for computing Greeks given a method for computing prices? What are their advantages and disadvantages? Ans: Three popular methods for computing the Greeks: Finite-difference Approximations: Advantages Disadvantages Simple to implement: Require only the ability to compute option prices with slightly different inputs. Computationally Intensive: Requires multiple price evaluations,…