This webpage will be dedicated to my latest book – The Ultimate Algorithmic Trading System Toolbox.
From this page you will be able to access all of the EasyLanguage, AmiBroker AFL, VBA for Excel and Python source code discussed in the book. I will also have a database of continuous commodity/futures data that I have cleaned up from Quandl. This data utilizes the “Panama Method” at rollover whenever and where ever the greatest volume and open interest is found. The free database includes the last 10-12 years of history on 30+ markets. This data can be imported into AmiBroker, ESB, and PSB. The companion website that can be found in the book offers all of this information, but this webpage will provide updated information as well as newer versions of the Excel System Backtester (ESB) and Python Backtester (PSB.) This webpage will be dedicated to members only – people who buy the book. So registration will be required. Registration is free to any who provides proof of purchase. Initially the password will be the same that is included in the book, but that will change in the coming weeks.
Free Data – I have finally gotten around to automating a Quandl download using their API to gather data from the CME and almost finalized my PanamaContinuousCreator program to create one long history of commodity data by using the “Panama” adjustment method. I just completed the Crude Oil going back to early 2008 and have spent very little time in cleaning the data – I fixed holes where data was missing and that was it. Don’t rely on this data for real time trading, but you could use it to test some of your own ideas. This is a comma delimited with volume and open interest. Update 7/24/2018 – I now have six markets for download. I will continue adding these as I find time.
For early purchasers of the Kindle version of the book, here is a link to the complete contents of what will be on the Wiley website.
Click the link below for the download.