Welcome to my online repository of research and insights on automated trading system development- 2010: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2009: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
August 2010
- Au.Tra.Sy blog Summer Break
- Monte Carlo Permutation: Test your Back-Tests
- Trend Following Wizards - July 2010 (RED)
- Bootstrap - Take 2: Data Mining bias, Code and using geometric mean
- The Bootstrap Test: How significant are your back-testing results?
- VIX, Peso... Sometimes you just cannot trade it!
- Evidence-Based Technical Analysis
- the State of Trend Following in July
July 2010
- Super Trend Following Index?
- Better Trend Following via improved Roll Yield
- Trend Following Wizards - June 2010
- Roll Yield and Commodity Yield Curve
- A peek in "Wizard" Eckhardt's office...
- the State of Trend Following in June
- Trend Following returns breakdown
June 2010
- Weekend reading
- Trend Following Wizards: negative month (May), 2010 now in the red...
- CSI Raw Contract Data Extractor
- Crude Oil, Contango and Roll Yield for Commodity Trading
- May: +35% for some Trend Followers!
May 2010
- Your worst Drawdown is yet to come
- Slippage - Take 3: Stop-Limit Orders
- Follow-up on Slippage
- Trend Following Wizards - April 2010
- Slippage: Are your back-testing results realistic?
- April: a flat month for Trend Following
- Data Pitfalls: a true Minefield?
April 2010
- A trick to reduce Drawdowns
- Geometric Information Ratio
- Which CTAs REALLY provide alpha (and HOW do you calculate it)?
- How to apply Leverage?
- Trend Following Wizards - March 2010
- Trading Regimes as Strategy Filters
- The State of Trend Following report - Draft V0.2
- Variance <> Risk
March 2010
- ALGODEAL: new horizons for retail quant traders?
- Betafication of Alpha: towards a Commoditization of Trend Following?
- Wizard Bill Dunn Video Interview
- Vince's Leverage Space Model: better than MPT?
- Detrending for Trend Following?
- Trend Following Wizards - February 2010
- Intricacies of Market and Trend Following Changes
- Were the Turtles just lucky?...
- A practical Guide to ETF Trading Systems
- The State of Trend Following report - Draft V0.1
February 2010
- Why Trend Following works: Autocorrelation?
- What place for the small fish in the big trading pond?
- New: Free Code section - and improved Vortex
- Vortex indicator
- 50, now what?
- Trend Following Wizards - January 2010
- Stats... and Bill Eckhardt
- Bliss recipe with a robustness spice
- MMDI Portfolio Filter in Trading Blox
- Thinking of buying Trading Blox?
January 2010
- Mammoth Hedge Fund moves into Trend Following
- How to get out of a locked-limit situation
- Market Wizards' Schwager Video
- Bliss Function: Quantify your Trading System Objective
- Trend Following Wizards - December 09
- Moving Median: a better indicator than Moving Average?
- How-To: CSI Data into TradersStudio
December 2009
- Joyeux Noel and Happy New Year!
- Robustness? What robustness?
- Trend Following Wizards - November 09
- How discretion will kill you
- Price Distributions and Trend Following
- The Cheetah and the Cockroach: a robust story
- Covel's Trend Following: A review
November 2009
- Turkey or Black Swan for Thanksgiving?
- How to decide on a Backtesting and Trading Platform
- Anatomy of a Futures transaction
- Trend Following Wizards - October 09
- Amibroker vs TradersStudio: comparison
- Trend Following or... Surfing?
- Amibroker V. TradersStudio: Speed comparison Fight
- Amibroker e-ratio code
- How can Walk-Forward testing keep your system a step ahead?
- Should you be trading a chameleon?
- e-ratio calculation in TradersStudio and Excel
October 2009
- e-ratio: How to measure your trading edge in 4 easy steps
- Are wizards really worth their fees?
- Snow White looking over your trading system?
- Why Trend Following works: look at the Distribution
- TradersStudio: the best Systems testing software?
- Trend Following Wizards
- Are you reading the essential books?
- What can the Whipsaw Song by Ed Seykota teach you?
- In the Pipeline: What's in the Work Stack?
- Blog Therapy: Why I write this blog?
- Unfair Advantage API Code (C#): Extract Futures Continuous data
- Unfair Advantage API: Retrieve Back-Adjusted Contracts function
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