Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
I recently came across the Vortex Indicator, which aims to leverage the chaotic science of fluid mechanics (vortices) into a new indicator. I decided to code up this interesting concept in Trading Blox.
The indicator logic is described in the January issue of TASC (Technical Analysis of Stocks and Commodities) and sounds intriguing (link to PDF [...]
Entries Tagged as 'Software'
Vortex indicator
February 15th, 2010 · 6 Comments · Backtest, Code, Software
Tags: ADX·DMI·IPV·Trading Blox·vortex·Welles Wilder
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
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 [...]
Thinking of buying Trading Blox?
February 1st, 2010 · 26 Comments · Backtest, Software
Well, I am…
Regular readers might think that I suffer from backtesting-software-indecision-itis. Having first settled for TradersStudio, I then evaluated (and purchased) AmiBroker and found that it was 25 times faster than TradersStudio (at least for the calculation of the e-ratio). However, AmiBroker is not really geared towards true portfolio allocation testing with Futures and could [...]
Tags: amibroker·comparison·rollover·screenshots·tradersstudio·Trading Blox
How to decide on a Backtesting and Trading Platform
November 23rd, 2009 · 4 Comments · Backtest, Software
As an automated trader you probably need the following components:
Broker Account – The starting point to trade in the markets
Live Market Data – To feed to your trading robot so that it can generate trading signals. Most brokers provide market data with proprietary or third-party technology- although market data can also be obtained from an [...]
Tags: amibroker·comparison·CSI·eSignal·exchange·Futures·introducing broker·NinjaTrader·R·tradersstudio·tradestation·Zen Fire
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
Amibroker vs TradersStudio: comparison
November 16th, 2009 · 4 Comments · Backtest, Software
A couple of weeks ago I downloaded Amibroker to see if it could compute the e-ratio much faster than TradersStudio (it did!). The result of the speed comparison is there and the Amibroker code for the e-ratio is there.
I thought it might be interesting to do a comparison of how easy it is to get [...]
Amibroker V. TradersStudio: Speed comparison Fight
November 10th, 2009 · 2 Comments · Backtest, Software
It might not capture the imagination as much as the recent Haye v. Valuev WBA World Heavyweight Championship fight (it probably might for some of you… ;-) but I decided to organise my own “fight”: AmiBroker V. TradersStudio!
And similarly to the boxing, speed was of the essence – with one platform completely out-performing the other [...]
Tags: afl·amibroker·CSI·e-ratio·optimisation·performance·screenshots·tradersstudio
Amibroker e-ratio code
November 9th, 2009 · 16 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 [...]
How can Walk-Forward testing keep your system a step ahead?
November 5th, 2009 · 11 Comments · Backtest, Software
Out-of-Sample testing is a necessary practice to avoid curve-fitting during the optimisation of a trading system. Walk-Forward testing improves on the idea of out-of-sample data testing and is designed as an on-going, adaptive approach.
The way it works is fairly simple. It is a combination of multiple cycles of “in-sample optimisation” with “out-of-sample verification”.
Background on optimisation [...]
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 software [...]
Tags: e-ratio·edge·excel·tradersstudio
