Welcome to my online repository of research and insights on automated trading system development
Recently, Man AHL, a “Trend Following Wizard”, announced in this press release some of the benefits from their “hard work to increase trade efficiency”: In the past two years, the Asia desk has reduced Asian trading costs by more than 20%, and 98 per cent of regional trading can now be processed electronically […]. We [...]
Entries Tagged as 'Software'
Walk-Forward in Trading Blox: Back-Testing Adaptive Trading
September 8th, 2010 · 7 Comments · Backtest, Software
A few months ago, I got quite interested when Trading Blox announced that they introduced a new walk-forward functionality in their latest version. I just got round to upgrading, and giving that walk-forward testing a go. Amongst other things, some of the chart features have been improved – as can be seen in the eye [...]
Tags: Trading Blox·walk-forward
ALGODEAL: new horizons for retail quant traders?
March 31st, 2010 · 17 Comments · Backtest, Software
Recently came across ALGODEAL, which aims to provide us, quant traders, a platform to backtest and implement live automated trading strategies, as well as access to institutional money. This appears to be a promising development in the world of retail quant traders. Quant Fund Management meets Crowd-Sourcing In an adaptation of the web 2.0 model, [...]
Vortex indicator
February 15th, 2010 · 6 Comments · Backtest, Code, Software
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 [...]
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 [...]
Thinking of buying Trading Blox?
February 1st, 2010 · 45 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 [...]
Tags: amibroker·comparison·rollover·screenshots·tradersstudio·Trading Blox
