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Welcome to my online repository of research and insights on automated trading system development
~Jez Liberty
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Wisdom Trading, a Futures Broker who can Execute your Trading System and provide access to Global Markets and CTA's – all at great rates.
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Entries Tagged as 'R'

A Look back at Trend Following in 2010

January 26th, 2011 · 22 Comments · the State of Trend Following, Trend Following, Trend Following Wizards

2010 was a good year for Trend Following. The year closed on a high for both Trend Following Wizards and the Trend Following index of the simple strategies I track in the State of Trend Following report. Now that all results are in, it is a good time to look back at the results, crunch […]

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Tags: correlation·R·Trend Following

R Code for Walk-Forward LSPM

December 23rd, 2010 · 8 Comments · Code

At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running […]

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Tags: lspm·R·walk-forward

How to decide on a Backtesting and Trading Platform

November 23rd, 2009 · 9 Comments · Backtest, Software

As an automated trader you probably need the following components: Broker Account – The starting point to trade in the markets Live Market Data – To feed to your trading robot so that it can generate trading signals. Most brokers provide market data with proprietary or third-party technology- although market data can also be obtained […]

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Tags: amibroker·comparison·CSI·eSignal·exchange·Futures·introducing broker·NinjaTrader·R·tradersstudio·tradestation·Zen Fire

Au.Tra.Sy blog, Systematic Trading research and development, with a flavour of Trend Following.

Disclaimer: Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses; as such, it may not be suitable for all investors. The content on this site is provided as general information only and should not be taken as investment advice. All site content, shall not be construed as a recommendation to buy or sell any security or financial instrument, or to participate in any particular trading or investment strategy. The ideas expressed on this site are solely the opinions of the author. The author may or may not have a position in any financial instrument or strategy referenced above. Any action that you take as a result of information or analysis on this site is ultimately your sole responsibility.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.

THESE PERFORMANCE TABLES AND RESULTS ARE HYPOTHETICAL IN NATURE AND DO NOT REPRESENT TRADING IN ACTUAL ACCOUNTS.

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