Welcome to my online repository of research and insights on automated trading system development
Following the previous post on backwardation, contango and crude oil, let’s look at how several factors can play a part in the overall trend following trading system performance. I have previously referenced the study by EDHEC Risk, which shows the different sources of return of a Trend Following strategy. The authors build the Mt. Lucas [...]
Entries Tagged as 'Futures'
Trend Following returns breakdown
July 1st, 2010 · 4 Comments · Strategies, Trend Following
Tags: backwardation·contango·Futures·research paper·rollover
How to decide on a Backtesting and Trading Platform
November 23rd, 2009 · 8 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 [...]
Tags: amibroker·comparison·CSI·eSignal·exchange·Futures·introducing broker·NinjaTrader·R·tradersstudio·tradestation·Zen Fire
Anatomy of a Futures transaction
November 19th, 2009 · No Comments · Futures, Software
When looking around for automated trading platforms, you soon realise that the offerings are numerous and all seem to take a different form or approach (i.e. TradeStation vs. Interactive Brokers vs. NinjaTrader vs. Zen-Fire vs. eSignal vs. TradersStudio, etc. – the list is very long!). To understand what they all offer, it is important to [...]
Tags: broker·ccp·clearing·counterparty·exchange·FCM·Futures·introducing broker
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 [...]
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 [...]
Balsara: Money Management Strategies for Futures Traders
September 29th, 2009 · No Comments · Books, Futures, Money Management
Over the weekend I finished this pleasant and instructive book… Over time I am aiming to build a library reference on this blog with a summary of all the books I have found useful. The idea is to be able to recall quickly the main points of the book. Hopefully you will find it useful [...]
Tags: Balsara·Futures·Money Management
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 [...]
Tags: Continuous contract·CSI·Futures·screenshots·Unfair Advantage
