Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD.
I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity to [...]
Entries Tagged as 'Instruments'
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
Mammoth Hedge Fund moves into Trend Following
January 28th, 2010 · 4 Comments · Futures, Trend Following
AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following). They seem to be working at institutional investor’s acceptance of trend following as an “investment” concept. They might just be trying to catch up with another mammoth [...]
Tags: AQR·research paper
Moving Median: a better indicator than Moving Average?
January 14th, 2010 · 7 Comments · Futures, Strategies
While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the latter is much more sensitive to outliers).
Robustness in trading is a tough beast to tame and understand. The more “robust” the research and [...]
Tags: average·comparison·crossover·median·performance·robust·Trend Following
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 [...]
Anatomy of a Futures transaction
November 19th, 2009 · No Comments · Futures, Software
When looking around for automated trading platforms, you soon realise that the offerings are numerous and all seem to take a different form or approach (i.e. TradeStation vs. Interactive Brokers vs. NinjaTrader vs. Zen-Fire vs. eSignal vs. TradersStudio, etc. – the list is very long!).
To understand what they all offer, it is important to first [...]
Tags: broker·ccp·clearing·counterparty·exchange·FCM·Futures·introducing broker
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 [...]
Tags: API·C#·CSI·Futures·rollover·screenshots·Unfair Advantage
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 Contracts from the [...]
Balsara: Money Management Strategies for Futures Traders
September 29th, 2009 · No Comments · Books, Futures, Money Management
Over the weekend I finished this pleasant and instructive book…
Over time I am aiming to build a library reference on this blog with a summary of all the books I have found useful. The idea is to be able to recall quickly the main points of the book. Hopefully you will find it useful too!
Please [...]
Tags: Balsara·Futures·Money Management
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 [...]
Tags: Continuous contract·CSI·Futures·screenshots·Unfair Advantage
