Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'Development'

Amibroker e-ratio code

November 9th, 2009 · 32 Comments · Code, Development, Software

I recently posted about the e-ratio as a tool to measure parts of a trading system (the code files to compute the e-ratio in TradersStudio and Excel are also available). The e-ratio is supposed to be a quick tool to check how signals might add some edge to a trading system. However computing the e-ratio […]

[Read more →]

Tags: ·····

e-ratio calculation in TradersStudio and Excel

November 2nd, 2009 · 4 Comments · Backtest, Code, Development, Software

Here is one method to implement an e-ratio calculation. As we say in developerspeak, the following is a quick and dirty approach to calculating the e-ratio. But as far as I am concerned, it does the job! It can probably be programmed more elegantly in TradersStudio but I still have to climb some of that […]

[Read more →]

Tags: ···

TradersStudio: the best Systems testing software?

October 19th, 2009 · 5 Comments · Backtest, Development, Software

I should say “Yes” as I decided to purchase, and now own TradersStudio. For the price ($499), it offers a very decent package for developing and testing automated trading systems. Why I chose TradersStudio I did consider a few options before buying TradersStudio (Amibroker, TradeStation, Trading Blox, WealthLab, NinjaTrader) and based on feature analysis, recommendations […]

[Read more →]

Tags: ···

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 […]

[Read more →]

Tags:

Unfair Advantage API: Retrieve Back-Adjusted Contracts function

October 2nd, 2009 · No Comments · Backtest, Development, Futures, Software

Let’s have fun with the CSI UA API! CSI main API document (word doc) is accessible publicly online from their document page along with other docs including the full 300 page manual (great for getting a feel of the app). Pivotal API function This post will focus on is the API function to retrieve Back-Adjusted […]

[Read more →]

Tags: ····