How can I find “real” algorithmic trading ideas?

Published : Feb 6, 2024

I was extremely hesitant to write this article.

In fact. There is a strong chance I’m going to delete it. Let me explain why..

Your uniqueness and the way you view the world is the exact reason why you might be able to create a profitable algorithm. A combination of your ancestral DNA and the things you have experienced mean the neurons and synapses in your brain are 100% unique. That means given a set of data, you and I will most likely come to different conclusions as to what the data suggests.

Therefore, if you focus too much on other peoples strategies, and what other people consider to be a legitimate algorithm, you could lose your edge. Try to keep that in mind whilst reading other peoples ideas and strategies.

Nonetheless, here are my top 5 resources for finding Algorithmic Trading ideas for inspiration:

Journal of financial markets - This is a website full of papers published by some of the greatest minds in finance and trading. You will find lots of trading ideas here that you can take or adjust to your own liking.

SSRN - This website stretches further than just finance and trading, and has papers on nearly anything you can think of. Therefore if you are coming up with a more abstract idea, this might be the place for you to look. There is also great search and browsing functionality.

Youtube - Youtube has a wide array of algorithmic trading videos that you can watch. The vast majority of them are on crypto but you can always try and apply these techniques to other markets like the stock market.

r/algotrading - This reddit channel is full of like-minded individuals sharing their learnings, ideas and ask for feedback on their strategies so its a great place to find new ideas.

Books - Books are another great way to find strategies. Make sure to have a brief flick through before purchasing as lots are useless. Some will be solely focused on market making which you’d want to avoid, whilst others go too deep into the math behind some of the strategies which can be intimidating when first starting out.

Once you’ve chosen your source, you might still feel overwhelmed with the number of articles, so its good to narrow your search down even further.

Start by asking yourself a few questions:

What type of strategy do you find most interesting?

Do I prefer momentum, mean-reversion, trend following, event-driven, arbitrage, pairs?

Do I want to trade stocks, crypto, bonds, options, swaps?

Do I like machine learning strategies?

Do I prefer math-heavy strategies?

This should leave you with a narrowed-down choice. For this example, let’s say that we want to find a volatility-based event-driven strategy, which trades options.

I can now head to the search bar of the chosen source, or use google, to search for and narrow down to the aforementioned strategy.

Now browse the narrowed-down list for something you think sounds interesting and read the intros until something really stands out to you.

One important point to note for your strategy is to make sure that the paper uses publicly available data. If the data is private, then you will only be able to backtest it, and not produce a real strategy. Which seems pointless to me. After all, you may as well try and earn a pound note out of it!