I Needed Money, So I Wrote An Algorithm.
We all know that programmers on Wall Street make fortunes with their high-tech code. But let’s actually dive into one and see how it’s really done.
Let’s first go over the theory of our algorithm. The backing of this strategy revolves around the assumption that the prices of non-derivative assets will trade in a normal distribution. This means that when an asset price’s stock moves greater than 2.5 standard deviations away from its normal range, it can be considered an outlier that must be traded against.