Algorithmic trading, end to end

A complete, math-grounded course: from what a market even is, through the probability and statistics that decide whether an edge is real, to building, testing, simulating, and shipping strategies. Every idea is made concrete with edgekit.

The series is built around one belief — most apparent edges are noise, so the skill that matters is testing. You'll learn the tools to tell a real edge from a lucky backtest: expectancy $E [R] = p W - (1 - p) L$ , the permutation test, walk-forward analysis, and Monte Carlo. Work through it in order, or jump to a topic.

→How to read this

Chapters build on each other and are cross-linked with prev/next. Parts II and IV are the mathematical core; each math result is paired with a simulation and a runnable edgekit snippet so it never stays abstract.

Part I — Foundations#

I.1What is algorithmic trading?I.2Markets, instruments & data I.3Your toolkit

Part II — The math#

II.1Returns & compounding II.2Probability & distributions II.3Statistics for traders II.4The math of edge II.5Why most backtests lie

Part III — Building strategies#

III.1Anatomy of a strategy III.2Indicators & features III.3Time-series analysis for OHLC III.4Feature engineering III.5A taxonomy of strategies III.6Build your first strategy III.7Entries, exits & stops III.8Position sizing & risk

Part IV — Testing strategies#

IV.1Backtesting fundamentals IV.2The backtesting pitfalls IV.3Performance metrics IV.4The validation gauntlet IV.5Monte Carlo methods IV.6Walk-forward & out-of-sample IV.7Overfitting detection IV.8Is it alpha or beta?

Part V — Simulation & advanced#

V.1Simulating markets V.2Machine learning in trading V.3Portfolio construction V.4Prop-firm & capital

Part VI — Mathematical toolkit#

VI.1Linear algebra for quants VI.2Regression & factor models VI.3Optimization & portfolios VI.4Stochastic processes VI.5Bayesian methods

Part VII — Derivatives & microstructure#

VII.1Options & the Greeks VII.2Volatility trading VII.3Market microstructure VII.4Execution & transaction costs

Part VIII — Advanced modeling & risk#

VIII.1ARIMA & GARCH VIII.2Cointegration & pairs VIII.3Regime detection VIII.4Risk management

Part IX — Capstone#

IX.1From backtest to live IX.2Capstone: end-to-end research