Au.Tra.Sy blog – Automated Trading System

Systematic Trading research and development, with a flavour of Trend Following

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Entries Tagged as 'Data'

Detrending for Trend Following?

March 17th, 2010 · 3 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 often than [...]

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Why Trend Following works: Autocorrelation?

February 24th, 2010 · 5 Comments · Data, Strategies, Trend Following

s it important to understand why Trend Following works (ie what are the sources of its profitability)?
 
I believe yes. Because markets are non-stationary (changing all the time), their characteristics – including those at the root of Trend Following profits – are changing too.
 
Understanding these market characteristics is a first step towards being able to identify [...]

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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 the [...]

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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 [...]

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Are you reading the essential books?

October 13th, 2009 · 1 Comment · 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 · No 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 API
Fire [...]

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Continuous Contract options

September 27th, 2009 · No 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 possibilities:
Non-adjusted contracts
Take [...]

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What Everybody Ought to Know About Continous Futures Contracts

September 22nd, 2009 · 10 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 months (the [...]

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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 software companies [...]

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