Building Automated Trading Strategies October 2018 | Page 23

(4) News-Event Based Algorithmic Strategies
Automated-trading can prove very useful when trading the news. A simple
news-event based strategy may open trade positions based on the difference
between actual data and market consensus. Other more sophisticated news-
event strategies attempt to quantify more complex news items.
At a Glance:
i. Quantifying scheduled/unscheduled news releases
ii. Determining the impact of news on particular markets/assets
iii. Avoiding stop-hunting techniques on major news releases
(5) Market Sentiment Algorithmic Strategies
Market sentiment strategies attempt to quantify the investor’s sentiment
based on a wide variety of data sources such as:
i. COT report (CBOE)
ii. Put/Call Ratio
iii. Social Media Measures (data-mining)
iv. Online Trading Sentiment Measures
(6) Other Automated-Trading Strategies
There are many more automated trading strategies such as:
• Arbitrage strategies
• Statistical arbitrage strategies
• Volume Weighted Average Price (VWAP) strategies
• Time Weighted Average Price (TWAP) strategies
• Mathematical Model Based Strategies, and many more
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