Au.Tra.Sy blog – Automated Trading System

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

Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'rollover'

Thinking of buying Trading Blox?

February 1st, 2010 · 23 Comments · Backtest, Software

Well, I am…

Regular readers might think that I suffer from backtesting-software-indecision-itis. Having first settled for TradersStudio, I then evaluated (and purchased) AmiBroker and found that it was 25 times faster than TradersStudio (at least for the calculation of the e-ratio). However, AmiBroker is not really geared towards true portfolio allocation testing with Futures and could [...]

[Read more →]

Tags: ·····

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 [...]

[Read more →]

Tags: ······

What Everybody Ought to Know About Continous Futures Contracts

September 22nd, 2009 · 10 Comments · Backtest, Data, Futures

And how to avoid easy common mistakes when choosing which data to use to back-test a trading strategy on Futures… This is a “long-ish” post but I believe essential for good-practice back-testing.
No long-term continuity
Futures are specific in the way they trade in series of short-lived contracts that are only active for a few months (the [...]

[Read more →]

Tags: ·