Welcome to my online repository of research and insights on automated trading system development
- 2019: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2018: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2017: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2016: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2015: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2014: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2013: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2012: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2011: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2010: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2009: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
November 2019
- Trend Following Wizards - October
- State of Trend Following in October
- Trend Following Wizards - September
October 2019
September 2019
- Trend Following Wizards - August
- State of Trend Following in August
- Trend Following Wizards - July 2019
August 2019
July 2019
June 2019
May 2019
April 2019
March 2019
February 2019
January 2019
December 2018
November 2018
October 2018
September 2018
August 2018
July 2018
June 2018
May 2018
April 2018
March 2018
February 2018
January 2018
December 2017
November 2017
October 2017
- Trend Following Wizards - September
- State of Trend Following in September
- Trend Following Wizards - August
September 2017
August 2017
July 2017
June 2017
May 2017
April 2017
March 2017
February 2017
January 2017
December 2016
November 2016
- Trend Following Wizards - October
- State of Trend Following in October
- Trend Following Wizards - September
October 2016
September 2016
August 2016
July 2016
June 2016
May 2016
April 2016
March 2016
February 2016
January 2016
December 2015
November 2015
October 2015
September 2015
August 2015
July 2015
June 2015
May 2015
April 2015
March 2015
February 2015
January 2015
December 2014
November 2014
October 2014
September 2014
August 2014
July 2014
June 2014
May 2014
April 2014
March 2014
February 2014
January 2014
- AuTraSy vs Wisdom States of Trend Following
- Trend Following Wizards - December 2013
- Trend Following Wizards
- State of Trend Following in 2013
December 2013
November 2013
October 2013
September 2013
- Trend Following Wizards - August
- Four-year Cycle and the Wisdom State of TF
- State of Trend Following in August
August 2013
July 2013
June 2013
May 2013
April 2013
March 2013
February 2013
January 2013
December 2012
November 2012
October 2012
- Trend Following Wizards - September 2012
- Managed Futures: still the Better Diversifier?
- State of Trend Following in September
September 2012
August 2012
July 2012
June 2012
May 2012
April 2012
March 2012
- Trend Following Wizards - February 2012
- Monthly vs. Daily Trading - updated
- State of Trend Following in February
February 2012
January 2012
December 2011
November 2011
October 2011
September 2011
August 2011
- Summer Reading by Covel - Take II: The Little Book of Trading
- Trend Following Wizards in July '11
- S&P make the news… with a Trend Following Index
- Summer Read: Trend Commandments by M. Covel
- State of Trend Following in July
July 2011
- Execution: Benefits of Algorithmic Trading for CTAs
- Trend Following Wizards: Red June
- Futures Trading and Small Account
- State of Trend Following: sharply down
June 2011
May 2011
- Off-The-Grid
- Some Complications of Monthly Trading
- April: Trend Following Wizards Bounced Up Too...
- Book: The (mis)Behaviour of the Markets
- State of Trend Following: Strong April Rebound
April 2011
- One for the CTA Skeptics
- Trend Following Wizards - March 2011
- Eighteenth Century Trend Following and More History
- State of Trend Following: a March Down
- (Very) Light Correlation
March 2011
- Drawdown Reduction
- Further Musings on Randomness
- Trend Following Wizards - February 2011
- Trend Following Wizard Correlations Heatmap [Video]
- Trend Following, "Monkey Style"
- Diversify to Manage Risk: a Lesson from Medieval Peruvian Farmers
- State of Trend Following: February still on the up
February 2011
- Trendpot Indicator: Transtrend Measure of Market Trendiness
- Trend Following Wizards - January 2011
- Site Migration + Interesting Links
- Site Attack: an Apology and more Info
- ETF v. Futures: a Quantification
- How to Start Trading a New System?
- New Year for the State of Trend Following report
January 2011
- A Look back at Trend Following in 2010
- Trade what you Test and Test what you Trade
- Trend Following Wizards: Closing 2010 on a High
- Can You Trade Effectively on a Monthly Basis?
- CSI - Au.Tra.Sy: A new Partnership for 2011
- State of Trend Following: December, a sprint towards +50% for 2010
December 2010
- R Code for Walk-Forward LSPM
- Practical Leverage Space Model - a More Realistic Test
- Trend Following Wizards - November 2010
- Low Winning Percentage = more Robust Systems?
- State of Trend Following: November, Up-and-Down month
- Vince's Optimal f and the Leverage Space Model - Take 1
November 2010
- Risk-Opportunity Analysis
- The Good, the Bad and the Ugly Portfolios
- Trend Following Wizards keep "Surfing the Wave" in October 2010
- Trading Diversification: A Free Lunch?
- Trade with the "Big" Trend
- State of Trend Following: October, best month of the year so far
October 2010
- Reconciling Behavioral and Modern (EMH) Finances?
- England: a new Trend Following Wizard in town
- Word of Caution on Statistics
- Trend Following Wizards in September 2010
- Dear Mr Eugene Fama, are you kidding?...
- Two-Phase vs. Three-Phase Systems
- Snapshot on Money Management and Leverage - Corrected
- September State of Trend Following report
September 2010
- Profit Targets and Trend Following
- A Different Application of the Bootstrap
- Volatility Filters
- Futures vs ETFs
- Trend Following Wizards - August 2010
- 100th post and 1-year Anniversary
- Walk-Forward in Trading Blox: Back-Testing Adaptive Trading
- the State of Trend Following in August: good performance
August 2010
- Au.Tra.Sy blog Summer Break
- Monte Carlo Permutation: Test your Back-Tests
- Trend Following Wizards - July 2010 (RED)
- Bootstrap - Take 2: Data Mining bias, Code and using geometric mean
- The Bootstrap Test: How significant are your back-testing results?
- VIX, Peso... Sometimes you just cannot trade it!
- Evidence-Based Technical Analysis
- the State of Trend Following in July
July 2010
- Super Trend Following Index?
- Better Trend Following via improved Roll Yield
- Trend Following Wizards - June 2010
- Roll Yield and Commodity Yield Curve
- A peek in "Wizard" Eckhardt's office...
- the State of Trend Following in June
- Trend Following returns breakdown
June 2010
- Weekend reading
- Trend Following Wizards: negative month (May), 2010 now in the red...
- CSI Raw Contract Data Extractor
- Crude Oil, Contango and Roll Yield for Commodity Trading
- May: +35% for some Trend Followers!
May 2010
- Your worst Drawdown is yet to come
- Slippage - Take 3: Stop-Limit Orders
- Follow-up on Slippage
- Trend Following Wizards - April 2010
- Slippage: Are your back-testing results realistic?
- April: a flat month for Trend Following
- Data Pitfalls: a true Minefield?
April 2010
- A trick to reduce Drawdowns
- Geometric Information Ratio
- Which CTAs REALLY provide alpha (and HOW do you calculate it)?
- How to apply Leverage?
- Trend Following Wizards - March 2010
- Trading Regimes as Strategy Filters
- The State of Trend Following report - Draft V0.2
- Variance <> Risk
March 2010
- ALGODEAL: new horizons for retail quant traders?
- Betafication of Alpha: towards a Commoditization of Trend Following?
- Wizard Bill Dunn Video Interview
- Vince's Leverage Space Model: better than MPT?
- Detrending for Trend Following?
- Trend Following Wizards - February 2010
- Intricacies of Market and Trend Following Changes
- Were the Turtles just lucky?...
- A practical Guide to ETF Trading Systems
- The State of Trend Following report - Draft V0.1
February 2010
- Why Trend Following works: Autocorrelation?
- What place for the small fish in the big trading pond?
- New: Free Code section - and improved Vortex
- Vortex indicator
- 50, now what?
- Trend Following Wizards - January 2010
- Stats... and Bill Eckhardt
- Bliss recipe with a robustness spice
- MMDI Portfolio Filter in Trading Blox
- Thinking of buying Trading Blox?
January 2010
- Mammoth Hedge Fund moves into Trend Following
- How to get out of a locked-limit situation
- Market Wizards' Schwager Video
- Bliss Function: Quantify your Trading System Objective
- Trend Following Wizards - December 09
- Moving Median: a better indicator than Moving Average?
- How-To: CSI Data into TradersStudio
December 2009
- Joyeux Noel and Happy New Year!
- Robustness? What robustness?
- Trend Following Wizards - November 09
- How discretion will kill you
- Price Distributions and Trend Following
- The Cheetah and the Cockroach: a robust story
- Covel's Trend Following: A review
November 2009
- Turkey or Black Swan for Thanksgiving?
- How to decide on a Backtesting and Trading Platform
- Anatomy of a Futures transaction
- Trend Following Wizards - October 09
- Amibroker vs TradersStudio: comparison
- Trend Following or... Surfing?
- Amibroker V. TradersStudio: Speed comparison Fight
- Amibroker e-ratio code
- How can Walk-Forward testing keep your system a step ahead?
- Should you be trading a chameleon?
- e-ratio calculation in TradersStudio and Excel
October 2009
- e-ratio: How to measure your trading edge in 4 easy steps
- Are wizards really worth their fees?
- Snow White looking over your trading system?
- Why Trend Following works: look at the Distribution
- TradersStudio: the best Systems testing software?
- Are you reading the essential books?
- What can the Whipsaw Song by Ed Seykota teach you?
- In the Pipeline: What's in the Work Stack?
- Blog Therapy: Why I write this blog?
- Unfair Advantage API Code (C#): Extract Futures Continuous data
- Unfair Advantage API: Retrieve Back-Adjusted Contracts function
I have to say that you have one of the best blog around that I have seen; I guess it also has something to do with my interest in systems. So, I thought I’d not only send you a not of appreciation, but also would like to ask you something as I am standing at a crossroad in my life. You see I have been working in the brokerage business for many many years but have quit this business b=for varying reasons, but am no thinking about maybe starting up as a CTA. If I don’t change carers all together. I have bought myself AmiBroker but am finding myself a bit overwhelmed as I have no experience in programming. I know exactly what I want to do but just not how to do it. My question to you is what is the best way to learn this business of programming? I see that you have favoured Trading Blox over Ami Broker, my though was to not spend too much money at the start but rather to master one thing first and ensure myself that I have the necessary drive to complete the task of becoming enough proficient in one language before I moved on. Any ideas and thought you may have would be greatly appreciated. All the best and thank you again for your splendid website and your uncanny willingness to share. Oliver
Thanks Olivier!
The main reason why I went from AmiBroker to Trading Blox was because of the extra features in term of suite/portfolio backtest. I have to say I also found AmiBroker quite harder to get around from a first impression but managed to get it with the online help and some sample code.
In terms of learning programming, there is no secret recipe to it: the best thing is to practice and learn from other examples. I am not sure a book would help too much for the sort of procedural coding required for back-testing systems. Once you know a language, it becomes much easier to learn another one.
Good luck with it!
best blog on system i just love it