I am modifying JBookTrader for multiple instruments, and have now wandered into the performance manager section. JBookTrader, for the purposes of evaluating performance, considers the trade to be over, or ending, when the "position becomes smaller", i.e. if you are shorting, a trade has finished when you are shorting fewer shares/contracts/ etc. However, if it determines that you are going bigger in your bet, it does not count that as the end of a trade.
This seems reasonable for a single instrument, but the picture becomes much stranger for multiple instrument strategies. Some ideas: 1 - let the strategy signal to the performance manager weather it is entering or exiting the position. 2 - use the same idea as the single instrument, but add together the absolute values of each investment worth. This approach is a little bit hokey to me, unless we use the instrument values at the previous trade, but that becomes convoluted and strange. 3 - assume any position change that changes a non-zero position is ending a trade. - This one is the simplest, and in some ways is the most intuitive. Thoughts? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
