thanks for the update, Eugene.. I noticed that your c2 trading has various position size for different signal, some of them get rather big like 61. Am I reading it wrong? is CME data available for the latest JBT format? Regards
nonlinear5 wrote: > It's been a while since I posted the last update, so here are the > latest developments: > > 1. I am finally satisfied with the JBT-to-Collective2 integration. > It's working well, and my C2 strategy is doing pretty well, too: > http://www.collective2.com/go/eugenesholygrail > > 2. We are buying a large chunk of additional historical data from CME. > When combined with the IB-recorded data, we'll have about 2 years of > continuous ES market depth data pretty soon. That is a pretty large > dataset which will contain about 12 million of 1-second snapshots. > > 3. I've been making some changes to JBT framework so that it handles > large datasets more gracefully. Charting is especially a challenge, as > JFreeChart requires all the data being loaded in memory. > > 4. In regards to strategy development, here is my best result over the > last 11 months: > Trades: 454, Net profit: $62K, Max DD: 4K, Profit Factor: 1.96 --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
