Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'CSI'

Trade what you Test and Test what you Trade

January 20th, 2011 · 5 Comments · Backtest, Data

In order to avoid bad surprises in live trading, the maxim forming this post title should apply to as much of a trading system as possible. The goal is to ensure back-testing results are as realistic as they can. Input data is one component of a trading system and the area this post focuses on, […]

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CSI – Au.Tra.Sy: A new Partnership for 2011

January 7th, 2011 · 7 Comments · Data

Just a quick note to let you know that CSI and Au.Tra.Sy have partnered to offer the readers of the blog a 10% discount on new subscriptions to CSI data and their software Unfair Advantage. Simply go to their order page and make sure to enter the coupon code LIBERTY. I use CSI as my […]

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CSI Raw Contract Data Extractor

June 10th, 2010 · 19 Comments · Code, Data

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 […]

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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 […]

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The State of Trend Following report – Draft V0.1

March 2nd, 2010 · 13 Comments · the State of Trend Following, Trend Following

I just have to get something out on this 1st beginning of March. I could keep polishing this report until Christmas… But instead here is a first draft. The State of Trend Following report will be published at the beginning of each month (expect it to be evolving for the first few months). The Concept […]

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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 […]

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How to decide on a Backtesting and Trading Platform

November 23rd, 2009 · 9 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 […]

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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 […]

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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 […]

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Unfair Advantage API Code (C#): Extract Futures Continuous data

October 4th, 2009 · 2 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 […]

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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 […]

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Continuous Contract options

September 27th, 2009 · 2 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 […]

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I just got myself an Unfair Advantage…

September 15th, 2009 · No Comments · Data, Futures, Software

What is this Unfair Advantage? Well, I have just purchased End Of Day historical futures data from Commodity Systems Inc. and this is how they call their Software/Database! Admittedly it is supposed to be a very good data feed that Google and Yahoo use for their respective Finance portal. They are also recommended by back-testing […]

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