Welcome to my online repository of research and insights on automated trading system development
Introducing a new Category, Friday Funny: Every now and then, I come across something interesting or funny, not directly related to the topic of this blog. If I find them good enough and interesting for the target audience of this blog, I’ll post them here (in “off-track” category) – on a Friday, to end the [...]
Entries from October 23rd, 2009
Why Trend Following works: look at the Distribution
October 21st, 2009 · 7 Comments · Strategies, Trend Following
One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain. Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, [...]
Tags: dave harding·distribution·fat-tail·levy·mandelbrot·power law·Trend Following·winton capital
TradersStudio: the best Systems testing software?
October 19th, 2009 · 5 Comments · Backtest, Development, Software
I should say “Yes” as I decided to purchase, and now own TradersStudio. For the price ($499), it offers a very decent package for developing and testing automated trading systems. Why I chose TradersStudio I did consider a few options before buying TradersStudio (Amibroker, TradeStation, Trading Blox, WealthLab, NinjaTrader) and based on feature analysis, recommendations [...]
Are you reading the essential books?
October 13th, 2009 · 3 Comments · Backtest, Blog, Books, Code, Data, Development, Money Management, Software, Strategies, Trend Following
I am bit of a geek and this is especially true when it comes to books. I firmly believe in self-development and I think books are a great medium to learn many things. Ok, the internet is so great to learn about new things; but nothing beats a good in-depth book(s) to really learn a [...]
Tags: library
What can the Whipsaw Song by Ed Seykota teach you?
October 9th, 2009 · No Comments · Off-track, Trend Following
Ed Seykota is a hugely succesful trend follower. He also keeps a very low-profile. You will not see him on CNBC, so any sort of public appearance where he can distil some of his wisdom is a rare “gift”. The main message of the song is to “stick to the rules” – which is a [...]
Tags: Ed Seykota·Trend Following
In the Pipeline: What's in the Work Stack?
October 7th, 2009 · 6 Comments · Blog
You might recognise yourself in this description: I personally tend to get many different ideas, get all excited about one and give it my full attention at the expense of other projects and the “big picture”. As discussed previously, a side-effect of blogging is that it forces you to be accountable and to have a [...]
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Blog Therapy: Why I write this blog?
October 6th, 2009 · 2 Comments · Blog
Why am I writing this post? I only recently started this blog. Although I was expecting the “setup phase” to be a small project in itself, I feel that I put more effort into the blog than actually developing/building an automated trading system. Hold on! Surely it was supposed to be the other way around?! [...]
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Unfair Advantage API Code (C#): Extract Futures Continuous data
October 4th, 2009 · No Comments · Backtest, Code, Data, Futures, Software
As mentioned in the previous post on retrieving Back-Adjusted Contracts using the RetrieveBackAdjustedContract2 function of the Unfair Advantage API, I have coded up this very simple project to read a list of Futures underlying instruments, retrieve a proportionally back-adjusted contract for each of the instruments and oputput it to a file. Getting started with the [...]
Tags: API·C#·CSI·Futures·rollover·screenshots·Unfair Advantage
Unfair Advantage API: Retrieve Back-Adjusted Contracts function
October 2nd, 2009 · No Comments · Backtest, Development, Futures, Software
Let’s have fun with the CSI UA API! CSI main API document (word doc) is accessible publicly online from their document page along with other docs including the full 300 page manual (great for getting a feel of the app). Pivotal API function This post will focus on is the API function to retrieve Back-Adjusted [...]
Balsara: Money Management Strategies for Futures Traders
September 29th, 2009 · No Comments · Books, Futures, Money Management
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 [...]
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 · 15 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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