Welcome to my online repository of research and insights on automated trading system development
In a previous post, I mentioned and linked to a presentation by Transtrend: “Potential Profitability by Trend Following Systems”, where the Trendpot Indicator is introduced. Trendpot is a backward looking measure that indicates for an individual market whether a medium to long-term trend following system could potentially have been profitable when applied on that particular [...]
Entries Tagged as 'Code'
Trendpot Indicator: Transtrend Measure of Market Trendiness
February 28th, 2011 · 4 Comments · Code
Tags: Transtrend·trendpot
ETF v. Futures: a Quantification
February 9th, 2011 · No Comments · Code, Data, Equities, Futures
I have already covered the idea of using ETFs in place of Futures. Today, I wanted to run a quantitative comparison between the two instrument types The ETF sector has been growing at an impressive rate, with new offerings popping up every month and providing a wider choice in selecting a portfolio to trade. One [...]
Tags: correlation·etf
R Code for Walk-Forward LSPM
December 23rd, 2010 · 7 Comments · Code
At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running [...]
Tags: lspm·R·walk-forward
Bootstrap – Take 2: Data Mining bias, Code and using geometric mean
August 13th, 2010 · 64 Comments · Backtest, Code
In 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 [...]
CSI Raw Contract Data Extractor
June 10th, 2010 · 19 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 [...]
Tags: API·CSI·Unfair Advantage
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 [...]
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 [...]
Tags: ADX·DMI·IPV·Trading Blox·vortex·Welles Wilder
Amibroker e-ratio code
November 9th, 2009 · 31 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 [...]
Tags: e-ratio·edge·excel·tradersstudio
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 [...]
Tags: library
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 [...]
Tags: API·C#·CSI·Futures·rollover·screenshots·Unfair Advantage
