Just wanted to let you know that my latest book has just been published.
Trend Following Systems: A DIY Project – Batteries Included: Can You Reboot and Fix Yesterday’s Algorithms to Work with Today’s Markets?
This book introduces my new Python back-tester, TradingSimula-18. It is completely and I mean completely self contained. All you need is the latest version of Python and you will be up and running trading systems in less than 5 minutes. Fifteen years of data on 30 futures is included (data from Quandl). I have included more than 20 scripts that you can test and build on. This back-tester is different than the one I published in the Ultimate Algorithmic Trading System Toolbox. It utilizes what I call the horizontal portfolio spanning paradigm. Instead of sequentially testing different markets in a portfoio:
It process data in the following manner:
This form of testing allows for decisions to be made on a portfolio basis at the end of any historic bar. Things like inputting portfolio performance into an allocation formula is super simple. However, this paradigm opens up a lot of different “what-if” scenarios.
- What If I Limit 2 Markets Per Sector
- What If I Turn Off A Certain Sector
- What If I Liquidate The Largest OTE loser
- What If I Liquidate The Largest OTE winner
- What If I Only Trade The Ten Markets With The Highest ADX Values
All the data and market performance and portfolio performance is right at your fingertips. Your testing is only limited by your creativity.
The best part is you get to learn raw Python without having to install complicated libraries like SciKit, Numpy or Pandas. You don’t even need to install distributions of commercial products – like Anaconda. Don’t get me wrong I think Anaconda is awesome but many times it is overkill. If you want to do machine learning then that is the way to go. If you want to test simple Trend Following algorithms and make portfolio level decisions you don’t need a data science application.
There isn’t a complicated interface to learn. Its all command line driven from Python’s IDLE. 90% of the source code is revealed for the back-testing software. Its like one of those see-thru calculators. You see all the circuits and semiconductors, but in Python. So you will need to flow through the code to get to the sections that pertain to your test. Here is a small sample of how you set up the testing parameters for a Donchian Script.
Everything is batched processed: set up, pick market or portfolio, run. Then examine all of the reports. Here is an example of the sector analysis report.
Plus I include EasyLanguage for the majority of the scripts. Of course without the portfolio level management. I am working on a new website that will support the new book at TrendFollowingSystems.com.
Please take a look at my latest book – it would make an awesome Christmas present.