I am new to the board and found it very interesting. I am also working on a ATS and would like to exchanges ideas.
Using book data is intriguing and may have the price predicting capability that is needed for a successful system. I have the following questions: - Is there some simple experiment that I can run to show that book data can help in making better short term decisions - What is so special about trading ES - does it have some statistical characteristics that makes it suitable - Most of the strategies here rely on optimization of parameters, but how do you know it will work in the future - What kind of strategies work best for ES - trend-following or anti- trend - How many trades are made each day Following is a summary of my system (still under development): - I am monitoring the performance of the system by running it on 45 stocks/etfs - All are highly liquid and within $50-$100 price range (e.g. IBM, AAPL etc) - No parameters - same algorithm runs on all - I have been running the system for the past 3 months over 60,000 trades - About 5 have been constant winners week to week and real money could have been made - For 20 some money could have been made - performance varied week to week - For 15 some money would have been lost - performance varied week to week - For the remaining 5 - performance was bad most of the weeks - Some weeks, 80% of them made money others weeks about 40% Not sure how to interpret these results, any insight will be appreciated Following are the basic ideas of the system: - Anti-trend strategy - shorts when a new upward trend is detected and goes long when a new downward trend is detected - It produces about 60% winning trades - Average loss per trade is higher than the gain - It makes on the average 20 trades - Works on 1 min samples of bid/ask/last - I am not using JBookTrader - I use my own interface to IB The question to the experts on this board is whether book data will help in confirming the strength of a trend at that moment - suppose at t(n) the algorithm decides to buy/sell will book data be able to say that at t(n) the trend appears strong, so don't go against it for now wait for t(n+1)? Is book data helpful in predicting very short term trends (couple of minutes) ? Or there are other ways to do it? Book data is not readily available - any expert insight will be greatly appreciated - suggestions about how to proceed will be even better. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
