Systematic Trading
A unique new method for designing trading and investing systems. By Robert Carver.
Already bought the book?
Thanks! This web page contains plenty of resources to help you get more out of the book - errors in the book, spreadsheets, python code, blog posts, website links and additional material. Note that blog posts may cover multiple parts of the book, and you might need to read through to find the relevant part.
You can also check out my blog on systematic trading which gives more advice, especially on system automation.
If you haven't bought the book, you can get it here.
Important
All spreadsheets are hosted by google docs. I've given public read access to them. You do not need to ask for read / write access - and I won't give it to you, since I need to protect the integrity of the documents. Instead save a local copy or clone to your own google account.
General:
pysystemtrade: my open source python trading framework
Chapter one:
Spreadsheet: Expected losses / gains assuming normal distribution
Chapter two:
Spreadsheet: Calculate Sharpe Ratios for different periods
Spreadsheet: Portfolio weights for different levels of static portfolios
Spreadsheet: Law of active management across periods, and across assets
Blog post: Fundamental vs Technical systems
Chapter four:
Spreadsheet: Expanded version of table 8 (handcrafting weights)
Spreadsheet: Calculations for table 11 (complex example of handcrafted weights)
Blog post: Portfolio optimisation demonstration
Chapter seven:
Spreadsheet: EWMAC calculation example
Spreadsheet: Carry rule calculation example
Blog post: Calculating forecast scalars with pysystemtrade
Chapter eight:
Spreadsheet: Forecast weights calculations table 17
Spreadsheet: Calculating diversification multiplier for example
Blog post: Calculating forecast weights and FDM with pysystemtrade
Chapter nine:
Blog post: On volatility scaling
Blog post: Simulating my futures system
Blog post: Using random data to find likely system returns
Chapter ten:
Spreadsheet: Example of MA and EWMA calculation of standard deviation
Chapter eleven:
Spreadsheet: Calculating instrument diversification multipler for example
Spreadsheet: Calculations from tables 30 - 33
Blog post: Calculating instrument weights, and IDM, with pysystemtrade
Blog post: A simple execution Algo
Chapter twelve:
Spreadsheet: Cost calculation template
Chapter thirteen:
Spreadsheet: Calculations, and trading diary for semi automatic trader
Chapter fourteen:
Spreadsheet: Calculations, and trading diary for asset allocating investor
Chapter fifteen:
Spreadsheet: Calculations, and trading diary for staunch systems trader
Blog post: Calibrating the chapter 15 system with pysystemtrade
Appendix A:
Link: Interactive Brokers (IB) (I get no introductory fee or commission from IB)
Blog post: Setup for a home based trading system
Blog post series: Building an automated trading system
Blog post series: Using python with the IB API
Appendix B:
ERROR: Calculation of carry rule for futures
Also see chapter seven for carry and EWMAC rules
Appendix C:
Python code: Optimisation; bootstrapping and one-period