If you want to build a real algorithmic trading strategy.. please pick up a real textbook such as Qian's Quantitative Equity Portfolio Management.

You should understand the following concepts at a minimum:

- Markowitz portfolio optimization (mean-variance analysis)

- Beta-neutral portfolios (i.e. using MSCI BARRA, sector ETFs or PCA factors, etc)

- Alpha decay

- Time series analysis (autocorrelation, GARCH, ARMA processes)

- Basic price-based signals (momentum, volatility, value, etc) - etc, etc.