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本文探讨了自动化交易策略的实施，重点介绍了资本管理中的Kelly准则，用于确定投资比例。此外，还涉及了基于机器学习的交易策略、在线算法、基础设施部署、日志记录和监控等方面。Kelly准则在二元设定中帮助调整交易规模，而投资公式则考虑了部分损失的情况。文章强调了风险管理的重要性，特别是在自动化交易中避免灾难性的损失。
People worry that computers will get too smart and take over the world, but the real problem is that they’re too stupid and they’ve already taken over the world. -Pedro Domingos
“Now what?” one might think. A trading platform is available that allows one to retrieve historical data and streaming data, to place buy and sell orders, and to check the account status. A number of different methods have been introduced to derive algorithmic trading strategies by predicting the direction of market price movements. How can this all be put together to work in automated fashion? This question cannot be answered in any generality. However, this chapter addresses a number of topics that are important in this context. The chapter assu
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