Dekalog Trading System

"Trading is statistics and time series analysis."

System Description - Please read the disclaimer under the "Testing" tab.

The Dekalog Trading System is under constant development and testing using the free, open-source software programs Octave, R and Gnuplot, plus especially written C++ functions for Octave. Octave and its C++ functions are used for all numerical calculations, Gnuplot for charting and visual display of test results, and R for statistical analysis. The data used for historical testing is 30, continuous back-adjusted, US futures and 15 forex pairs. Recalibration of the system is on-going using Monte Carlo bootstrap and permutation techniques to ensure the continuing statistical validity of historical test results, to incorporate more recent market conditions in testing and to determine current risk parameters and possible future draw downs for position sizing purposes.

The system is based on a synthesis of proprietary, statistically robust technical indicators, cyclic analysis and pattern recognition and attempts to capture significant price movements lasting from days to weeks in length. The system is also adaptive in nature, the length of the look back periods and parameters used in the indicator calculations being adjusted to the theoretical "optimum" according to current, measured market conditions or based upon extensive Monte Carlo optimisation conducted on synthetic data.

The Dekalog Trading System cannot be purchased, but system signals can be subscribed to on Collective2.com by clicking the System Performance tab above, where the system's "real time" performance statistics and historical trading record are also available. Questions and discussions about the system via  the Dekalog Forum on the Collective2.com site are welcome and encouraged. Interested parties may also care to follow the Dekalog Blog by clicking the blog tab above.

Note: As this system is constantly evolving the above description may change from time to time to reflect recent system changes. The last edit of this description was on the 14th April 2011.