Welcome to my online repository of research and insights on automated trading system development
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, [...]
Entries Tagged as 'CSI'
CSI – Au.Tra.Sy: A new Partnership for 2011
January 7th, 2011 · 5 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 [...]
Tags: CSI
CSI Raw Contract Data Extractor
June 10th, 2010 · 15 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 [...]
Tags: API·CSI·Unfair Advantage
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 [...]
Tags: Back-Adjusted·CSI·rollover·Trading Blox
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 [...]
Tags: CSI·report·Trading Blox·Trend Following
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 [...]
