Welcome to my online repository of research and insights on automated trading system developmentIn part 1 of this bootstrap post, we looked at how to apply the method to establish the statistical significance of a single trading rule. In Part 2, we’ll look at how to deal with the data mining bias, the impact of geometric vs. arithmetic mean return. The code implementing the bootstrap test is available [...]
Entries Tagged as 'Code'
Bootstrap – Take 2: Data Mining bias, Code and using geometric mean
August 13th, 2010 · 7 Comments · Backtest, Code
CSI Raw Contract Data Extractor
June 10th, 2010 · 4 Comments · Code, Data
I have mentioned before that I use CSI as my main provider for Futures data. Overall, I judge CSI’s service as good quality – however one drawback is the closed aspect of the data access. And I decided to write a utility to make it more “open”.
To access the historical data, you have to go [...]
Tags: API·CSI·Unfair Advantage
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
Amibroker e-ratio code
November 9th, 2009 · 16 Comments · Code, Development, Software
I recently posted about the e-ratio as a tool to measure parts of a trading system (the code files to compute the e-ratio in TradersStudio and Excel are also available). The e-ratio is supposed to be a quick tool to check how signals might add some edge to a trading system. However computing the e-ratio [...]
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 software [...]
Tags: e-ratio·edge·excel·tradersstudio
