Systematic Trading research and development, with a flavour of Trend Following
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Entries from November 26th, 2009

Turkey or Black Swan for Thanksgiving?

November 26th, 2009 · No Comments · Off-track

Although I am based in London, most readers of the blog are from the States – and everybody around the world probably knows it is a very important day for Americans: Thanksgiving! Traditionally, it is a time to express gratitude and I’d like to express a big thank you to all the readers of the [...]

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How to decide on a Backtesting and Trading Platform

November 23rd, 2009 · 7 Comments · Backtest, Software

As an automated trader you probably need the following components: Broker Account – The starting point to trade in the markets Live Market Data – To feed to your trading robot so that it can generate trading signals. Most brokers provide market data with proprietary or third-party technology- although market data can also be obtained [...]

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Anatomy of a Futures transaction

November 19th, 2009 · No Comments · Futures, Software

When looking around for automated trading platforms, you soon realise that the offerings are numerous and all seem to take a different form or approach (i.e. TradeStation vs. Interactive Brokers vs. NinjaTrader vs. Zen-Fire vs. eSignal vs. TradersStudio, etc. – the list is very long!). To understand what they all offer, it is important to [...]

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Trend Following Wizards – October 09

November 17th, 2009 · No Comments · Fund Review, Trend Following, Trend Following Wizards

First of all, apologies for the lateness of this report. All funds reported below publish their results at different times of the month so I have to wait for all of them to publish. We can see that there is still a “red sea” of negative performance in October, both for the monthly and YTD [...]

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Amibroker vs TradersStudio: comparison

November 16th, 2009 · 9 Comments · Backtest, Software

A couple of weeks ago I downloaded Amibroker to see if it could compute the e-ratio much faster than TradersStudio (it did!). The result of the speed comparison is there and the Amibroker code for the e-ratio is there. I thought it might be interesting to do a comparison of how easy it is to [...]

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Trend Following or… Surfing?

November 13th, 2009 · 2 Comments · Trend Following

Trend Following, Surfing: it’s all the same thing! Just catch that one extraordinary ride: it will more than pay back all the previous seemingly wasted efforts. Surfing is hard work! You have to paddle out battling against the elements, the waves crashing on your face. The current is sometimes so strong you feel you are [...]

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