> - Is there some simple experiment that I can run to show that book > data > can help in making better short term decisions >
I am not aware of such experiment, if it exists. However, with JBT, you can backtest (and forward test) your experimental trading strategy. > - What is so special about trading ES - does it have some statistical > characteristics that makes it suitable > Nothing, really, except that it's highly liquid, and the bid/ask spreads are low. > - Most of the strategies here rely on optimization of parameters, but > how do you know it will work in the future > We don't. There is a potential for over-optimization and over-fitting. The remedies are well known: keep the number of parameters low and test out of sample. > - What kind of strategies work best for ES - trend-following or anti- > trend > All the sample strategies included with JBT are anti-trend. That doesn't mean that trend-following strategies would not work, though. > - How many trades are made each day Referring to sample strategies again, anywhere between 1 and 10 per day. However, there is nothing intrinsic about this frequency. > Following is a summary of my system (still under development): > Not sure how to interpret these results, any insight will be > appreciated > In this group, we focus on development of the JBT as an auto-trading framework. That includes all the technical/coding issues pertaining to trading, backtesting, and optimization. We stay away from the strategy development discussions, as it is a totally different domain. > Book data is not readily available - any expert insight will be > greatly appreciated - suggestions about how to proceed will be even > better. We buy book data directly from CME using the project funds. We have about 2 years worth of ES data, which is about 15 million records. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
