Trading Systems
Trading Software
Trading Signals
Mechanical Trading Systems
We offer a mechanical trading system for the SP/ES contract that is built upon a variety of adaptive trading strategies. Our mechanical trading systems are implemented using BioComp Dakota and our own proprietary trading software.
Futures Trading Systems - SP/ES
The ATS SP Trading Systems are sets of market timing models designed to predict the trends of the SP future contract. The master trading system collates and processes information derived from the base trading systems to produce the master trading signal. All trading systems are designed to predict the daily price trends one trading day in advance.
Software Requirements
The software required to run the ATS SP Trading Systems is listed in the table below.
|
Software
|
Version
|
Provider
|
|
ATS Dakota Systems
|
8.1
|
AdaptiveTradingSystems.com
|
|
ATS Data Library
|
1.21
|
AdaptiveTradingSystems.com
|
|
ATS Indicators Library
|
2.30
|
AdaptiveTradingSystems.com
|
|
ATS Metrics Library
|
2.00
|
AdaptiveTradingSystems.com
|
|
ATS Swarm Adaptation Library
|
3.30
|
AdaptiveTradingSystems.com
|
|
ATS Dakota Equity Engines
|
3.30
|
AdaptiveTradingSystems.com
|
|
ATS EST ScriptBot Library
|
2.30
|
AdaptiveTradingSystems.com
|
|
ATS ScriptBot Library
|
3.50
|
AdaptiveTradingSystems.com
|
|
CPredictor Indicator Add-In
|
1.30
|
AdaptiveTradingSystems.com
|
|
CPredictor2 Indicator Add-In
|
2.10
|
AdaptiveTradingSystems.com
|
|
TrendOscillator Indicator Add-In
|
1.00
|
AdaptiveTradingSystems.com
|
|
WaveIndicators Indicator Add-In
|
2.10
|
AdaptiveTradingSystems.com
|
|
WaveOscillator Indicator Add-In
|
1.00
|
AdaptiveTradingSystems.com
|
|
WavePhaze Indicator Add-In
|
1.00
|
AdaptiveTradingSystems.com
|
|
BioComp Dakota
|
2.1.49
|
BioComp Systems Inc.
|
Data Requirements
The data series required to run the ATS SP Trading Systems are listed in the table below. All data is end-of-day data.
|
Data Series
|
Description
|
Data Source
|
|
SP.NON
|
SP futures contract non-adjusted
|
Pinnacle CLC Database
|
|
$R2000
|
Russell 2000 Index
|
Pinnacle IDX C3 Database
|
|
SP500
|
S&P 500 Index
|
Pinnacle IDX X2 Database
|
|
VIX
|
Implied volatility of S&P 500 index options
|
Pinnacle IDX X1 Database
|
Trading System Description
Version 8.1 of the ATS SP Dakota Systems features four diverse short-term trading systems with average trade periods ranging from 4 to 7 trading days, one mid-term trading system with an average trade period of 30 trading days and one long-term system with an average trade period of approximately 1.4 years. These systems are not dependent upon other systems and are referred to as the base systems. The master trading system applies a simple majority voting scheme to the base system signals to produce the master trading signal.
The base systems read in market data and apply various algorithms to produce market timing signals that are exported to csv files by the Dakota Batch Processing utility. Each base system reads the SP futures contract price history and potentially intermarket data before applying an algorithm that produces the system's trading signal that is then exported to file. Base systems use scriptbots from the ATS ScriptBot Library for Dakota.
The master trading system reads in the trading signals exported by the base systems and applies a simple majority voting scheme to produce the master trading signal. The mid-term and long-term trading system signals 'encourage' the overall system to trade in the direction of the larger trends. The master system uses a scriptbot from the EST (Ensemble Signal Trader) ScriptBot Library.
The batch processing is run daily after downloading and updating the data files provided by Pinnacle Data Corp. All Dakota systems are listed in a single configuration file that the Dakota application reads when the batch processing is started. Dakota automatically loads, updates, exports the signal file and saves each system listed in the configuration file. At the completion of the batch processing the master system is left open to enable the user to view the current trading signal.
When the batch processing has completed the trading signals for all systems will be located in a designated folder in csv file format. The trading signals can be read into other applications such as AmiBroker or TradeStation. This enables analysts to utilize the signals along with other trading strategies and to apply custom money management rules if desired.
Hypothetical Historical Performance
The historical hypothetical equity curve and trade statistics for the master trading system appear below. The first trading signal is output on 6/30/1992. Results are displayed up to 11/23/2011. The trading simulation does not include any trade commissions or slippage.
Equity curve for the Master SP Trading System
Hypothetical trading statistics for the Master SP Trading System
The purchase of the ATS SP Dakota Trading Systems includes all AdaptiveTradingSystems.com software and scriptbots for BioComp Dakota. Subscription to the Pinnacle Data download service and the BioComp Dakota application are not included and must be purchased separately. Some customers have purchased the ATS trading systems and then added their own trading systems into the ensemble. Customizing the ATS SP Dakota Trading Systems is both possible and relatively easy.
Six months of system updates are included with the purchase. That is, if a new release of the ATS SP Dakota Systems is made available within six months of the purchase then there is no cost for the update. If the update period has expired and the customer wishes to download and install a new release of the systems then a further 6 months of updates can be purchased. Typically, a new release of the systems will include additional models / Dakota systems and a new meta-system that makes use of the additional models.
ATS SP Trading Systems including 6 months of updates USD $2,995
The following item is for customers who have previously purchased the ATS SP Trading Systems and would like another 6 months of system updates because their last 6 month update period has expired.
ATS SP Trading Systems additional 6 months of updates USD $295
NOTE: Hypothetical or simulated performance results have inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Past performance of our trading systems, trading software and trading signals, whether actual or indicated by simulated historical tests of trading strategies, is not indicative of future results.
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