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'

Roll Yield and Commodity Yield Curve

July 19th, 2010 · 2 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 last [...]

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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 [...]

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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 with [...]

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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 · 7 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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