Welcome to my online repository of research and insights on automated trading system developmentSlippage 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 parameters (and [...]
Entries Tagged as 'Trading Blox'
Slippage: Are your back-testing results realistic?
May 10th, 2010 · 9 Comments · Backtest
Tags: slippage·Trading Blox
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
The State of Trend Following report – Draft V0.1
March 2nd, 2010 · 13 Comments · Trend Following, the State of 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
The principle [...]
Tags: CSI·report·Trading Blox·Trend Following
New: Free Code section – and improved Vortex
February 17th, 2010 · 2 Comments · Backtest, Blog, Code, Strategies
Tags: avx·Trading Blox·vortex
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 PDF [...]
Tags: ADX·DMI·IPV·Trading Blox·vortex·Welles Wilder
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 to [...]
