Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
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 [...]
Entries Tagged as 'CSI'
The State of Trend Following report – Draft V0.1
March 2nd, 2010 · 13 Comments · Trend Following, the State of Trend Following
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 the [...]
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
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
TradersStudio: the best Systems testing software?
October 19th, 2009 · 1 Comment · 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 and actual [...]
Unfair Advantage API Code (C#): Extract Futures Continuous data
October 4th, 2009 · No 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 API
Fire [...]
Tags: API·C#·CSI·Futures·rollover·screenshots·Unfair Advantage
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 Contracts from the [...]
Continuous Contract options
September 27th, 2009 · No 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 possibilities:
Non-adjusted contracts
Take [...]
Tags: Continuous contract·CSI·Futures·screenshots·Unfair Advantage
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 software companies [...]
Tags: CSI·screenshots·Unfair Advantage
