Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
Entries Tagged as 'Backtest'
New: Free Code section – and improved Vortex
February 17th, 2010 · 2 Comments · Backtest, Blog, Code, Strategies
Tags: avx·Trading Blox·vortex
Vortex indicator
February 15th, 2010 · 6 Comments · Backtest, Code, Software
I recently came across the Vortex Indicator, which aims to leverage the chaotic science of fluid mechanics (vortices) into a new indicator. I decided to code up this interesting concept in Trading Blox.
The indicator logic is described in the January issue of TASC (Technical Analysis of Stocks and Commodities) and sounds intriguing (link to PDF [...]
Tags: ADX·DMI·IPV·Trading Blox·vortex·Welles Wilder
Bliss recipe with a robustness spice
February 4th, 2010 · 2 Comments · Backtest
This post is trying to present a process to determine your bliss function, as a follow-up to the previous post introducing the bliss function concept.
e’ve seen that the bliss function is not a universal function but needs to encapsulate your own criteria for evaluating a trading system. Similarly to popular dishes, everybody has got their [...]
Tags: bliss function·optimisation·robust
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD.
I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity to [...]
Thinking of buying Trading Blox?
February 1st, 2010 · 26 Comments · Backtest, Software
Well, I am…
Regular readers might think that I suffer from backtesting-software-indecision-itis. Having first settled for TradersStudio, I then evaluated (and purchased) AmiBroker and found that it was 25 times faster than TradersStudio (at least for the calculation of the e-ratio). However, AmiBroker is not really geared towards true portfolio allocation testing with Futures and could [...]
Tags: amibroker·comparison·rollover·screenshots·tradersstudio·Trading Blox
Bliss Function: Quantify your Trading System Objective
January 21st, 2010 · 1 Comment · Backtest
Backtesting mechanical trading systems involves a great deal of optimization: testing and running a system across a myriad of parameters to choose the one(s) that produce the best results.
But what is “best”?
How do you measure best results, though? Compound Annual Growth Rate (CAGR) is one of the first metric that comes to mind (it is [...]
Robustness? What robustness?
December 17th, 2009 · 5 Comments · Backtest
Stepping back from the story of the cockroach and the cheetah, it seems that robustness is all about survival. For an automated trading system, this means the system “survives and thrives” after you decide to put it “live”.
However there are different ways to look at robustness in a mechanical trading system.
Different definitions for robustness
Trading [...]
Tags: eckhardt·optimisation·robust
The Cheetah and the Cockroach: a robust story
December 4th, 2009 · 8 Comments · Backtest, Strategies
Anybody researching automated trading systems quickly comes to realise that robustness is very much a required aspect of any system. Robust systems are sturdy and able to withstand all that the markets can throw at them without collapsing in ruin.
To explore this further, let’s study the animal world with the Cheetah and the Cockroach – [...]
Tags: cheetah·cockroach·Michael Clarke·robust
How to decide on a Backtesting and Trading Platform
November 23rd, 2009 · 4 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 from an [...]
Tags: amibroker·comparison·CSI·eSignal·exchange·Futures·introducing broker·NinjaTrader·R·tradersstudio·tradestation·Zen Fire
Amibroker vs TradersStudio: comparison
November 16th, 2009 · 4 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 get [...]
