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 (Trading Blox, Amibroker, etc.). Futures magazine also ran a piece listing them as the “cleanest” data around (back in 99).
I chose them because they appear to have credibility, good quality data, compatibility with Trading Blox and TradersStudio and I was interested in their Futures contracts splicing/concatenation algorithm choice. I am not really interested in all the “bells and whistles” that come with the software (charting, analysis, etc.) but they might become useful. My primary interest is to feed the data to a back-testing software.
Getting up and running: in a breeze
After downloading the install (500MB!) the software installs itself very quickly and starts downloading the latest database updates. You are supposed to run updates every so often to keep the database current. Once it is done you can start playing with the data within Unfair Advantage. The docs (both online and printed) are pretty good too.
Wide choice of markets and contract types
There are about 900 futures in the database and you can pretty much splice them as you want – to recreate different TimeSeries. I’ll explore futures contract concatenation in a later post but to give you a taster of the Unfair Advantage “menu” you can “order” a CBT Corn (Floor + Electronic trading) in a March Gann Series format as a “starter” followed by CME Lean Hogs (Floor Trading only) proportionally back-adjusted with roll-overs triggered by Open Interest shifts as your “main”; and finally a Perpetual Contract of Robusta Coffee on EuroNext. Of course these are just examples (I’ll explain all these type of contracts in a follow-up post). Full functionality can be found here, all Futures coverage can be found there and finally pricing options.
For each of these contracts that you add to the Unfair Advantage portfolio, you can define several export formats that will generate specific files ready to be imported to your favourite back-testing tool. There is also an API that allows you to access the data to allow for some automation – this will definitely prove handy further down the line.
The User Interface – screenshots
Here is what the software looks like:
Main window – the portfolio on the left-hand side contains all contracts you would want to follow while the right-hand side displays the current contract as a chart.
Contract selection screen: a myriad of options to splice the data.
I feel pretty satisfied with what I got and eager to dig more into the software/data and play with it. The application seems intuitive enough and if CSI are as good as their reputation implies, this should increase back-test results quality. Promising…
Note: You can receive a 10% discount on CSI data subscriptions (use coupon code LIBERTY)