Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

About

Hi, I am Jez Liberty. Au.Tra.Sy is my “online home” for all my work, research and insights on automated trading.

Automated Trading

I have had a passion for trading and particularly automated trading for over 10 years. I have given it lot of my time, lots of thoughts and I have now taken it to the next level in terms of commitment – including the creation of the Au.Tra.Sy blog.

Trend Following

Given the nature of the markets, I believe that Trend Following offers one of the best strategies to build wealth over the long run. However, most posts written here should apply to mosst types of automated/systematic trading strategies.

I am not limiting myself to any one strategy but Trend Following is my primary strategy of interest.

A bit more about Jez Liberty

I am French and have been living in London for the last eight years, working as an IT professional for software companies and the banking industry.

Through this blog, I hope I can share my insights and help you on your path to developing an automated/systematic trading system. If you want to keep up-to-date with my latest system research and development, get free system code and more, please feel free to subscribe to the blog.

Please feel free to contact me using jez@automated-trading-system.com.
You can connect with me through Linked In.
 
 
Please also find some disclosure information about the blog.

23 Comments

23 Comments so far ↓

  • joe gelet

    Hi, you have a nice blog, can you add us on your blogroll and we will add you? What is your core business?

  • Jez

    Joe,
    Thanks for the comment and the offer. As per the About page, I try to keep the blog focused on automated trading system and Trend Following and as your blog does not seem to cover this category, I will pass.
    -Jez

  • Alex

    Just by curiosity: how much time a week do you dedicate to your own project (building an automated trading system)?

  • Jez

    Alex,
    The short answer is “not enough!” ;-)
    Seriously it is hard to quantify as every week is different, sometimes I get stuck (like these last couple of weeks), sometimes I can spend the whole weekend working on it.
    I would say on average probably 20/25 hrs a week (including everything: reading articles, looking after the blog, developing, etc.) when I seriously work at it (it’s been an on and off project).

    But I think the most important is to work effectively (for example I spent quite a lot of time before trying to build an back-testing platform in java while learning the language – which I think was definitely not the best use of my time!)

  • Sam

    Great blog! I’m an undergraduate student in Finance, this is a good resource for me on getting started.

    Though you come from a technical background, I may have some catching up to do reaching our goals.
    Keep it up

  • kevin

    Thanks for sharing all your insights. It’s really a great blog!

    Just one question: have you ever used metastock?

  • Jez

    Hey – Thanks Kevin! No, I have never used MetaStock…

  • Rajiv Vyas

    Saw your article in the most recent S&C on Vortex. Any possibility you have an improvised system for Amibroker since that’s the platform I am using currently. Thanks.

  • Jez

    Hi Rajiv,
    Check TASC website: their January Trader’s Tips section has an AmiBroker implementation of the Vortex indicator.

  • Rajiv Vyas

    Jez: I have that code. I was wondering that since you also use AB, if you had the code that would adjust for the gaps.

  • Jez

    Rajiv,
    Unfortunately no – I only implemented it in TB (here: http://www.automated-trading-system.com/free-code-improved-vortex/ )
    But this was a fairly simple modif and I am sure you could easily apply it to the AmiBroker code that you already have.

  • Andyr

    Hi Jaz, I ran into your blog from elitetrader.com . And discussion about forward testing. I have been playing around with testing for a while and wrote some software to help me do some testing. I made it available on the web at http://www.turtrades.com From reading your blog it seems that this is something you might find interest in.
    Is is possible that you can TurTrades to your resources links.

    Thanks.

  • Jez Liberty

    Thanks Andyr, I’ll check it out.

  • Arthur

    hi! Is the code for the improved vortex indicator available for the think or swim platform? i wouold like to use it and i have never coded anything. thanbks! PS I believe they use something called think script

  • Jez Liberty

    Arthur,
    Sorry no I have not developed this system for the thinkorswim platform
    Cheers,
    -Jez

  • Leon

    What is a good primer on Quantitative Trading and Trend Following for someone just getting started? I appreciate you sharing your knowledge with the broader group too!

  • Jez Liberty

    Leon,
    Hard to give you a “primer book” as I have built up my knowledge over time and I cannot think of a good primer gathering resources in different domains.
    I would start with some books in the library.

  • L. Long

    Jez, just stumbled across this site – looks interesting, I will bookmark it.

    P.S. Nice picture, Dallas Barr! Are you saving up for a Stileman Procedure?

  • Jez Liberty

    Thanks L. Long and welcome to the blog.
    You’re the first one to notice or mention who my “alias picture” pays homage to… You fan of the comics too? I quite enjoy it myself and is nice to “meet” somebody else who does.
    Stileman procedure? I guess I would be tempted… and developing a robust trading system would probably be a good way to get it regularly…
    Cheers,
    Jez

  • brmr

    As you’ve said that your intentions is developing a trend following system so that you can trade have you started trading

  • Jez Liberty

    brmr – not yet, for various reasons… But this is definitely one of main aims, just taking longer than expected. I’ll write more in detail where I’m at with my trading/system development in the next few months.

  • Arjun N

    Hi Jez.

    This is really a great source of information on systems trading. Its nice that you have invested so much time in your area of interest and helping others in the process.

    I’ve been trading my system for 3 years. I don’t have have programming skills and all my backtesting has been manual. You know the sort who go through each candlestick one by one for years–burning the midnight oil!

    I’m keen to begin learning one language fully. I’m told that most of the coding can be done in excel and the easiest place to begin is VBA. do you suggest some other language that I can pick up? if yes, any suggestion on books. I have no knowledge in any syntax right now but im confident that given time i will be able to pick up.

    Thanks for taking your time out. Really appreciate it.

  • Jez Liberty

    Thanks Arjun,
    That’s a tough question to answer. Trading Blox is great if you have the budget (it’s a back-testing framework so it does all the heavy lifting for you and you can just focus on the actual strategy coding).
    VBA: not sure I’d recommend it as I see it as a hybrid between a programming language and Excel/Office scripting tool (don’t discount it though, Mike at MarketSCI does all his back-tests using Excel and that’s also how I started many moons ago.
    I think any “generic programming language” you pick up can then easily be ported over to other languages, C# is my strongest “real” programming language so I’d be tempted to recommend that one (and there are back-testing platforms that make use of C# too..)
    Cheers,
    Jez

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