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 · 5 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
