Welcome to my online repository of research and insights on automated trading system developmentFollowing 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 Management (MLM) [...]
Entries Tagged as 'rollover'
Trend Following returns breakdown
July 1st, 2010 · 4 Comments · Strategies, Trend Following
Tags: backwardation·contango·Futures·research paper·rollover
Crude Oil, Contango and Roll Yield for Commodity Trading
June 8th, 2010 · 2 Comments · Futures
We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return.
Petroleum has unfortunately been in the news lately. Nevertheless, Crude Oil performance last year gave us a good illustration of the impact that contango/backwardation [...]
Tags: backwardation·contango·rollover
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 with [...]
Tags: Back-Adjusted·CSI·rollover·Trading Blox
Thinking of buying Trading Blox?
February 1st, 2010 · 28 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 [...]
Tags: amibroker·comparison·rollover·screenshots·tradersstudio·Trading Blox
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
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 [...]
Tags: rollover·screenshots
