This webpage will be dedicated to my latest book – The Ultimate Algorithmic Trading System Toolbox.
Outside mentions of my book:
SeekingAlpha by Josef Friedman
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 – here is some futures data that I have cobbled together from Quandl and other sources. Quandl no longer offers the CME database, which is a will bummer. The continuous contract data that is offered through WIKI Futures is non adjusted and full of holes, but you can use it as the back bone of a database and fill in the missing holes – this is kind of what I did for this data.
Unzip and place the contents inside your Commodity Futures Data folder in your PSB or your TradingSimula-18 Data folder. 2005 thru 7/31/2020 with some portfolio files.
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.