Welcome to my online repository of research and insights on automated trading system development
One of my favourite non-trading-related blogs is FlowingData, a visualization and statistics site by Nathan Yau. I find Data visualization fascinating and inspiring. A good visualization usually “brings data to life” making it easier to understand. Most visualizations featured on FlowingData are very aesthetically pleasing, making the subject a sort of enjoyable and useful “geeky [...]
Entries Tagged as 'Data'
Trend Following Wizard Correlations Heatmap [Video]
March 10th, 2011 · No Comments · Data, Trend Following Wizards
Tags: correlation·visualization·wizards
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
Trade what you Test and Test what you Trade
January 20th, 2011 · 5 Comments · Backtest, Data
In order to avoid bad surprises in live trading, the maxim forming this post title should apply to as much of a trading system as possible. The goal is to ensure back-testing results are as realistic as they can. Input data is one component of a trading system and the area this post focuses on, [...]
CSI – Au.Tra.Sy: A new Partnership for 2011
January 7th, 2011 · 7 Comments · Data
Just a quick note to let you know that CSI and Au.Tra.Sy have partnered to offer the readers of the blog a 10% discount on new subscriptions to CSI data and their software Unfair Advantage. Simply go to their order page and make sure to enter the coupon code LIBERTY. I use CSI as my [...]
Tags: CSI
Word of Caution on Statistics
October 20th, 2010 · 4 Comments · Data
This is really a post where 1 picture = 1,000 words, so please consider the datasets charted below: Pretty different graphs, right? Yet, you might be surprised to hear that they are all identical in the light of common summary statistics: mean, variance, (Pearson) correlation and linear regression. Here are the exact figures:
Tags: anscombe
Roll Yield and Commodity Yield Curve
July 19th, 2010 · 3 Comments · Data, Futures
We have seen previously that backwardation and/or contango can induce a fairly large drift between the performance of an instrument’s spot market and its corresponding futures market. This phenomenon can be described as roll yield of futures trading and I suggested it was one of the four components in Trend Following returns. As per that [...]
Tags: roll yield·yield curve
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
Data Pitfalls: a true Minefield?
May 4th, 2010 · 2 Comments · Data
In my other job, at a big investment bank, one of our main focus on a daily basis is DATA. Making sure that the hundreds of feeds and millions of records get uploaded correctly and contain the right information is key to a smooth, successful day. There is surely not as much data to interact [...]
Tags: Back-Adjusted·CSI·rollover·Trading Blox
Detrending for Trend Following?
March 17th, 2010 · 14 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 [...]
Tags: detrending
How-To: CSI Data into TradersStudio
January 12th, 2010 · 4 Comments · Data
Dear readers, I hope you enjoyed the holiday break. I wish you a happy New Year – may it bring you progress and success in your automated trading endeavours! I wanted to start this year with an idea I left off last year, when investigating robustness: Using the median as a more robust tool than [...]
Price Distributions and Trend Following
December 8th, 2009 · 7 Comments · Data, Forex, Trend Following
I posited in an earlier post that fat tails are one of the main reasons why trend following works. The underlying concept can be summarized as follows: trend following attempts to capture big price moves (a.k.a. trends). Since price distributions are leptokurtic (i.e. they exhibit fat-tails) long trends occur at abnormal frequency, providing greater sources [...]
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
Continuous Contract options
September 27th, 2009 · 2 Comments · Backtest, Data, Futures, Software
As mentioned previously in What everybody ought to know about continuous Futures contracts, there are multiple ways to concatenate Futures contracts. Unfair Advantage offers a rich choice of concatenation algorithms – I will use UA as the base for this post. Please also refer to the Unfair Advantage online manual. Let’s look at the different [...]
Tags: Continuous contract·CSI·Futures·screenshots·Unfair Advantage
What Everybody Ought to Know About Continous Futures Contracts
September 22nd, 2009 · 26 Comments · Backtest, Data, Futures
And how to avoid easy common mistakes when choosing which data to use to back-test a trading strategy on Futures… This is a “long-ish” post but I believe essential for good-practice back-testing. No long-term continuity Futures are specific in the way they trade in series of short-lived contracts that are only active for a few [...]
Tags: rollover·screenshots
I just got myself an Unfair Advantage…
September 15th, 2009 · No Comments · Data, Futures, Software
What is this Unfair Advantage? Well, I have just purchased End Of Day historical futures data from Commodity Systems Inc. and this is how they call their Software/Database! Admittedly it is supposed to be a very good data feed that Google and Yahoo use for their respective Finance portal. They are also recommended by back-testing [...]
Tags: CSI·screenshots·Unfair Advantage
