Au.Tra.Sy blog – Automated Trading System

Systematic Trading research and development, with a flavour of Trend Following

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Entries Tagged as 'CSI'

CSI Raw Contract Data Extractor

June 10th, 2010 · 4 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 go [...]

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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 with [...]

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The State of Trend Following report – Draft V0.1

March 2nd, 2010 · 13 Comments · Trend Following, the State of 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
The principle [...]

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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 the [...]

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How to decide on a Backtesting and Trading Platform

November 23rd, 2009 · 7 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 [...]

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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 other [...]

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