Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD.
I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity to [...]
Entries Tagged as 'screenshots'
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
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
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 [...]
Amibroker vs TradersStudio: comparison
November 16th, 2009 · 4 Comments · Backtest, Software
A couple of weeks ago I downloaded Amibroker to see if it could compute the e-ratio much faster than TradersStudio (it did!). The result of the speed comparison is there and the Amibroker code for the e-ratio is there.
I thought it might be interesting to do a comparison of how easy it is to get [...]
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
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
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
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
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
