Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'Backtest'

Detrending for Trend Following?

March 17th, 2010 · 20 Comments · Backtest, Data, Trend Following

We’re not rockers… but let’s look at detrending price series data for backtesting: Why, How and its relevance for Trend Following. Why Detrend? The main premise for detrending data is to remove the underlying trend effect on the strategy. This is due to the position bias that the strategy can have (eg being long more […]

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New: Free Code section – and improved Vortex

February 17th, 2010 · 2 Comments · Backtest, Blog, Code, Strategies

  I have been sharing code throughout the blog in various posts. Although there is a “Code” category in the blog, a dedicated page is probably the best way to organise this, before it starts getting messy. I have therefore added a main page (free code) in the nav bar.   Hope you find it […]

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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 […]

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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. We’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 […]

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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 […]

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Thinking of buying Trading Blox?

February 1st, 2010 · 73 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 […]

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Bliss Function: Quantify your Trading System Objective

January 21st, 2010 · 4 Comments · 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 […]

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Robustness? What robustness?

December 17th, 2009 · 8 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 […]

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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 […]

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How to decide on a Backtesting and Trading Platform

November 23rd, 2009 · 9 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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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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Amibroker V. TradersStudio: Speed comparison Fight

November 10th, 2009 · 4 Comments · Backtest, Software

It might not capture the imagination as much as the recent Haye v. Valuev WBA World Heavyweight Championship fight (it probably might for some of you… ;-) but I decided to organise my own “fight”: AmiBroker V. TradersStudio! And similarly to the boxing, speed was of the essence – with one platform completely out-performing the […]

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How can Walk-Forward testing keep your system a step ahead?

November 5th, 2009 · 18 Comments · Backtest, Software

Out-of-Sample testing is a necessary practice to avoid curve-fitting during the optimisation of a trading system. Walk-Forward testing improves on the idea of out-of-sample data testing and is designed as an on-going, adaptive approach. Its invention is mostly credited to Robert Pardo (read more about it in his book) The way it works is fairly […]

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Should you be trading a chameleon?

November 3rd, 2009 · No Comments · Backtest, Strategies

Thanks to marfis75 for Mr. DJ Chameleon There are 2 approaches to systems parameters: Decide on a set of parameters for the strategy and stick to it Keep changing the system parameters based on the latest market conditions (chameleon approach) The chameleon method will inherently be lagging and, as a result, might not give you […]

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e-ratio calculation in TradersStudio and Excel

November 2nd, 2009 · 4 Comments · Backtest, Code, Development, Software

Here is one method to implement an e-ratio calculation. As we say in developerspeak, the following is a quick and dirty approach to calculating the e-ratio. But as far as I am concerned, it does the job! It can probably be programmed more elegantly in TradersStudio but I still have to climb some of that […]

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e-ratio: How to measure your trading edge in 4 easy steps

October 30th, 2009 · 19 Comments · Backtest

e-ratio is a metrics that measures the edge of a trading system component. For example, we could use it to quantify the edge gained from a donchian channel breakout entry signal. The concept The e-ratio quantifies the edge by calculating the overall amount trades go in your favor versus the overall amount trades go against […]

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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 […]

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Are you reading the essential books?

October 13th, 2009 · 4 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 […]

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Unfair Advantage API Code (C#): Extract Futures Continuous data

October 4th, 2009 · 2 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 […]

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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 […]

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