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

Volatility Filters

September 23rd, 2010 · 6 Comments · Backtest, Trend Following

I have touched on trading regimes before; and looking at volatility-based regime switching was in my research stack since then. Today, I’m looking at a practical example: Trend Following results based on entry vs. past volatility. System Code Concept I developed a simple Trading Blox filter, which calculates the current volatility (via the Average True […]

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Walk-Forward in Trading Blox: Back-Testing Adaptive Trading

September 8th, 2010 · 7 Comments · Backtest, Software

A few months ago, I got quite interested when Trading Blox announced that they introduced a new walk-forward functionality in their latest version. I just got round to upgrading, and giving that walk-forward testing a go. Amongst other things, some of the chart features have been improved – as can be seen in the eye […]

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Slippage: Are your back-testing results realistic?

May 10th, 2010 · 10 Comments · Backtest

Slippage can make or break your trading system. Hard to believe? Read on and check the tests and charts further below… We recently talked about some data pitfalls that can affect your trading and testing of mechanical systems. Slippage was not mentioned. However, this is a critical piece of data to integrate in your back-testing […]

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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 […]

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The State of Trend Following report – Draft V0.1

March 2nd, 2010 · 13 Comments · the State of Trend Following, Trend Following

I just have to get something out on this 1st beginning of March. I could keep polishing this report until Christmas… But instead here is a first draft. The State of Trend Following report will be published at the beginning of each month (expect it to be evolving for the first few months). The Concept […]

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New: Free Code section – and improved Vortex

February 17th, 2010 · 2 Comments · Backtest, Blog, Code, Strategies

  I have been sharing code throughout the blog in various posts. Although there is a “Code” category in the blog, a dedicated page is probably the best way to organise this, before it starts getting messy. I have therefore added a main page (free code) in the nav bar.   Hope you find it […]

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Vortex indicator

February 15th, 2010 · 6 Comments · Backtest, Code, Software

I recently came across the Vortex Indicator, which aims to leverage the chaotic science of fluid mechanics (vortices) into a new indicator. I decided to code up this interesting concept in Trading Blox. The indicator logic is described in the January issue of TASC (Technical Analysis of Stocks and Commodities) and sounds intriguing (link to […]

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MMDI Portfolio Filter in Trading Blox

February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies

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 […]

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Thinking of buying Trading Blox?

February 1st, 2010 · 70 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 […]

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