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

Trend Following returns breakdown

July 1st, 2010 · 4 Comments · Strategies, Trend Following

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 […]

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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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Anatomy of a Futures transaction

November 19th, 2009 · 1 Comment · 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 […]

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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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Balsara: Money Management Strategies for Futures Traders

September 29th, 2009 · 1 Comment · 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 […]

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Continuous Contract options

September 27th, 2009 · 3 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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