glippert@trwrba.UUCP (George A. Lippert) (06/07/85)
- - -
-----
Two weeks ago I asked for people's experiences or thoughts concerning the
trading of commodities futures based on computer analysis. Only three
people responded and, although interested in the subject, none had any
real experience, simulations, programs, etc.
For those who have a more serious interest in the analytical side of this
subject there is an very good book: "Commodities Trading" by A.D. Seidel and
P.M. Ginsberg, Prentice-Hall, 1983 (about $42). You will not find this in
the local bookstore but probably in the university libraries. The book
covers the application of moving averages, spectral estimation, Kalman
filtering, ect. to the problem, along with the validity of such approaches.
I saw a Letter To The Editor some time back in Futures magazine concerning a
company called Commodity Technical Trading Co. Pty. of Adelaide, South
Australia that promotes a trading system based on Kalman filtering. I
haven't followed up on this yet.
To test the algorithms, I have found a company that can supply historical
data (daily open/low/high/close, volume, open interest) and daily updates on
most any commodity for many years back. The histories are available on
diskette or to down-load over the phone at a cost of less than $0.50 per
month of contract history. The company is Commodity Systems, Inc., 200
W. Palmetto Park Road, Suite 200, Boca Raton, FL 33432, (800) 327-0175. Has
anyone any experience with this firm?
George Lippert
-----
- - -