Welcome to my online repository of research and insights on automated trading system development
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 [...]
Entries Tagged as 'Data'
CSI Raw Contract Data Extractor
June 10th, 2010 · 15 Comments · Code, Data
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 · 9 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 [...]
