Welcome to my online repository of research and insights on automated trading system development
Over the weekend I finished this pleasant and instructive book… Over time I am aiming to build a library reference on this blog with a summary of all the books I have found useful. The idea is to be able to recall quickly the main points of the book. Hopefully you will find it useful [...]
Entries from September 29th, 2009
Balsara: Money Management Strategies for Futures Traders
September 29th, 2009 · No Comments · Books, Futures, Money Management
Tags: Balsara·Futures·Money Management
Continuous Contract options
September 27th, 2009 · 2 Comments · Backtest, Data, Futures, Software
As mentioned previously in What everybody ought to know about continuous Futures contracts, there are multiple ways to concatenate Futures contracts. Unfair Advantage offers a rich choice of concatenation algorithms – I will use UA as the base for this post. Please also refer to the Unfair Advantage online manual. Let’s look at the different [...]
Tags: Continuous contract·CSI·Futures·screenshots·Unfair Advantage
What Everybody Ought to Know About Continous Futures Contracts
September 22nd, 2009 · 12 Comments · Backtest, Data, Futures
And how to avoid easy common mistakes when choosing which data to use to back-test a trading strategy on Futures… This is a “long-ish” post but I believe essential for good-practice back-testing. No long-term continuity Futures are specific in the way they trade in series of short-lived contracts that are only active for a few [...]
Tags: rollover·screenshots
Futures Contract naming convention
September 21st, 2009 · No Comments · Futures
Explains the symbology of Futures contracts and how their naming convention comes about.
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I just got myself an Unfair Advantage…
September 15th, 2009 · No Comments · Data, Futures, Software
What is this Unfair Advantage? Well, I have just purchased End Of Day historical futures data from Commodity Systems Inc. and this is how they call their Software/Database! Admittedly it is supposed to be a very good data feed that Google and Yahoo use for their respective Finance portal. They are also recommended by back-testing [...]
Tags: CSI·screenshots·Unfair Advantage
My story so far…
September 10th, 2009 · 2 Comments · Blog
Having come from a non-investing family and studied engineeering, how did I get interested in Automated Trading systems, you may ask?… The Hook I first got interested in trading when I started reading the French equivalent of The Financial Times (Les Echos), distributed on our college campus back in 1996. Probably the manifestation of chance; [...]
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