Laurent Bernut – QuantInsti – Systematic Short Selling Course

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Exploring the Essential Features of “Laurent Bernut – QuantInsti – Systematic Short Selling Course”

If the markets are failing, can you profit from them? Learn when to sell your stocks and also when to exit the position during a market fall or correction. Learn from traders with decades of market experience to create various trading strategies using short selling approach.

LIVE TRADING

• Code and backtest long short portfolio strategy.
• Calculate the expected returns of an asset.
• Build a screener to monitor different stocks
• Explain the relative series and use it to compare different stocks
• Define different models such as momentum, breakout, swings and floor and ceiling.
• Evaluate portfolio performance using different metrics such as gain to pain ratio, Girt ratio etc.
• Paper trade and live trade your strategies without any installations or downloads

SKILLS COVERED

Long Short Portfolio
Relative Series
Crossover Model
Breakout Model
Floor and Ceiling
Stop Loss and Position Sizing

Underlying Math
Returns
Exponential Moving Average
Girt Ratio
Gain to Pain Ratio
Standard Deviation

Python programming
Pandas
NumPy
DateTime
Data Importing
Data Visualization

LEARNING TRACK 2
This course is a part of the Learning Track: Technical Analysis Using Quantitative Methods

PREREQUISITES
It is expected that you have some financial markets experience and understand terms like sell, buy, entry, exit positions etc. If you want to be able to code strategies in Python, then experience to store, visualise and manage data using Pandas and DataFrame is required. These skills are covered in our course ‘Python for Trading’. 

SYLLABUS

Introduction
In this section, you will get an introduction to the author of the course. You will be guided through the course structure and the various concepts you will learn in the course. Finally, you understand the various features that are available to you on the Quantra Portal.
About the Author 6m 5s
About the Course 2m 12s
Quantra Features and Guidance 3m 48s
Introduction to Short Selling

Short Selling
In this section, you will understand the concept of short selling and how it is used in trading. You will also learn about the long-short strategy and the necessity of maintaining your inventory of stocks to short.
Short Selling 1m 54s
What is Short Selling? 2m
Need of Short Selling 2m
Long-Short Strategy 1m 57s
Stock Performance 2m
Long-Short Portfolio 2m
A Lagging Indicator 2m
Staying Ahead of the Crowd 2m
Main Points of Long-Short Strategy 2m
Test on Short Selling 14m

Relative Series
This section covers the concept of relative series and its uses in creating a long-short portfolio. The section also explains the process of creating a relative series in a stepwise manner and then rebasing the series.
Factors Affecting a Stock 10m
Which Factors? 2m
Relative Series 1m 30s
Uses of Relative Series 2m
Exchange Index 2m
Performance of Stock 2m
Calculating Relative Series 2m 15s
Factors of Relative Series 2m
Adjustment Factor 2m
Relative Series Calculation 2m
How to Use Jupyter Notebook? 2m 5s
Compute the Relative Series 10m
Frequently Asked Questions 10m
Concatenate Data 5m
Calculate Adjustment Factor 5m
Calculate Relative Series 5m
Rebase the Relative Series 5m

Stock Return Calculation
In this section, you will learn how to calculate the returns of a stock using 2 well-known methods. We compute the arithmetic and logarithmic returns of a stock. We will also understand the use of logarithmic returns and why we use it.
Return Calculation 10m
Calculate the Arithmetic Returns 5m
Calculate the Cumulative Arithmetic Returns 5m
Calculate the Logarithmic Returns 5m
Cumulative Logarithmic Returns 2m
Additional Reading 10m
Test on Relative Series and Stock Return Calculation 16m

Regime Definition
In this section, you will learn about the three popular regime definitions. You will also learn the drawbacks of using valuations while shorting stocks.
Regime Definition 3m 25s
Valuations for Shorting 2m
Describe a Regime 2m
Different Regime Methods 2m
Crossover Method 2m
Drawbacks of Valuations 2m

Regime Change Detection
In this section, you will learn how to detect a change in the regime using the breakout and the crossover models. You will also learn how to code these two models.
Breakout/ Breakdown Model 1m 57s
Breakout Buy 2m
Breakout Sell 2m
Advantages of Breakout Model 2m
Regime Change- Breakout/Breakdown Model 10m
Calculate the Rolling High 5m
Calculate the Rolling Low 5m
Calculate the Regime- Breakout 5m
Regime Breakdown 5m
Crossover Model 1m 27s
Crossover Buy 2m
Crossover Sell 2m
Disadvantages of Crossover Model 2m
Regime Change-Crossover Model 10m
Calculate Rolling Mean 5m
Calculate Exponential Mean 5m
Detect Crossover Regime 5m

Floor and Ceiling
In this section, you will learn how to identify the swing highs and lows and then understand how to iteratively remove local highs and lows to identify the peaks and bottoms of a stock price.
Floor and Ceiling 2m 14s
Floor and Ceiling Uses 2m
Bull Market Pause 2m
Bear Market Begins 2m
Bull Market Begins 2m
Swings 1m 23s
Alternate Swings 2m
Swing Highs and Lows 2m
Peaks 2m
Distance of Price 2m
Swings 10m
Create the Swing Highs 5m
Create Unified Column 5m
Floor and Ceiling 10m
Calculate the Rolling Standard Deviation 5m
Get the Swing High 5m
Optional: Lagless Swing Detection 10m

Regime Methods
In the section, you will learn to compare the performance of different regimes discussed in the previous sections.
Compare Regime Methods 1m 54s
Best Method 2m
Regime Method Duration 2m
Compare the Regimes 10m
Call the Regime Function 5m
Test on Regime Definition, Regime Change Detection and Regime Methods 14m

Stock Classification
In this section, you will learn to classify stocks into bulls and bears.
Classify Stocks to Bulls or Bears 1m 7s
Stock Screener Steps 2m
Components of Log 2m
Classification of Stocks 10m
Get the Latest Regime 5m
Test on Floor, Ceiling and Stock Classification 14m

Strategy Creation
In this section, you will understand the logic behind the long-short strategy and create a strategy.
Overview of Strategy Creation 1m 14s
Gain Expectancy 2m
Parts of Gain Expectancy 2m
Strategy 2m 36s
Properties of Regime Definition Method 2m
Best Method for Stop Loss Criterion 2m
Strategy Logic 1m 35s
Strategy Creation 10m
Exit Position 2m
Create a Signal Function 5m
Calculate the Stop- Loss Value 5m

Live Trading on Blueshift
This section will walk you through the steps involved in taking your trading strategy live. You will learn about backtesting and live trading platform, Blueshift. You will learn about code structure, various functions used to create a strategy and finally, paper or live trade on Blueshift.
Section Overview 2m 19s
Live Trading Overview 2m 41s
Vectorised vs Event Driven 2m
Process in Live Trading 2m
Real-Time Data Source 2m
Blueshift Code Structure 2m 57s
Important API Methods 10m
Schedule Strategy Logic 2m
Fetch Historical Data 2m
Place Orders 2m
Backtest and Live Trade on Blueshift 4m 5s
Additional Reading 10m
Blueshift Data FAQs 10m

Live Trading Template
Blueshift Live Trading Template
Paper/Live Trading Short Selling Strategy 10m
FAQs for Live Trading on Blueshift 10m

Stop Loss and Position Sizing
In this section, you will learn the different metrics used to measure how good or bad a strategy is. You will also learn about position sizing and stop loss to further solidify our learnings.
Performance Metrics 2m 51s
Tail Ratio 2m
Optimisation 3m 57s
Mean Reversion Strategies 2m
Trend Following Strategies 2m
Drawdown 2m
Risk Associated With Strategies 2m
Stop Loss and Position Sizing 3m 13s
Drawbacks of Equal Weight Algorithms 2m
Equity At Risk 2m
Stop Loss & Position Sizing 10m
Calculate the Drawdown 5m
Calculate the Grit Index 5m
Test on Strategy Creation, Stop Loss and Position Sizing 14m

World Stock Screener
Learn to build a global signal engine with multiple techniques across multiple markets and asset classes. Free and easy-to-use data is used for relevant and actionable ideas.
World Stock Screener Notebook 2m

Run Codes Locally on Your Machine
Learn to install the Python environment in your local machine.
Python Installation Overview 1m 59s
Flow Diagram 10m
Install Anaconda on Windows 10m
Install Anaconda on Mac 10m
Know your Current Environment 2m
Troubleshooting Anaconda Installation Problems 10m
Creating a Python Environment 10m
Changing Environments 2m
Quantra Environment 2m 
Troubleshooting Tips For Setting Up Environment 10m
How to Run Files in Downloadable Section? 10m
Troubleshooting For Running Files in Downloadable Section 10m

Course Summary
This section includes a downloadable zipped folder with all the IPython notebooks and CSV files used in the course.
Course Summary 1m 33s
Short Selling in Current Market
Python Codes and Data

ABOUT AUTHOR
Laurent Bernut
Laurent Bernut, Founder & CEO of ASC, has worked in the alternative investment space at Fidelity Investments, Rockhampton, and Ward Ferry. At Fidelity, his mandate as a dedicated short seller was to underperform the longest bear market in modern history: Japan equities. Laurent’s research to generate alpha in the alternative space has been built on his expertise in universally tested systematic trading process. 

WHY QUANTRA®?

• Gain more in less time
• Get taught by practitioners
• Learn at your own pace
• Get data & strategy models to practice on your own

REVIEWS

  ZUO ZHENG  Investment Analyst At Semir Group, China 
The course by Laurent Bernut is fantastic, in my opinion, it’s the best course in the industry not just for short selling, but for trading in general. The source code provided in the course is very insightful and the variation of the strategy was mind-blowing. I am using the learning from the course to make my own code. Three things you will learn from this course that are probably not available anywhere else: 1. Calculating regime on rebased series instead of the absolute series will make you head and shoulders above your competitions. 2. Being able to pick tops and bottoms is a skill that must be learned. 3. Multiple timeframe alignment is an old fairy tale in the retail trading space, professional traders extract profits by scaling in and scaling out.

  APOORV TIWARI  Vice President At Barclays, India
The short selling course by Laurent Bernut is wonderfully put together with very valuable insights.The core concepts regarding regimes are very well put with code snippets available.Also concepts about risk management, especially about position sizing are very valuable. More than the course content, the responsiveness of support staff and Laurent Bernut himself to questions and doubts makes it a very interactive process and thus this is one of the best available learning modules on the market! I had a really good experience with this course!

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