Basically it's shows the defined scalping boundaries, eh? On Thu, Jun 25, 2009 at 6:51 AM, Crichton McCutcheon < [email protected]> wrote:
> > From my observations, market-depth based strategies tend to perform > poorly in trending markets and well in > sideways markets. For example, yesterday the 24th I would call a > semi-trending day. Balancer did not do very > well for most input params. Now on Tuesday the 24th, a day the market > moved sideways, Balancer did very well. > > > > Willy Park wrote: > > I tested and optimized several times. > > Most strategy using JBookTrader with ES lost money during last month > > and made money during April. > > > > I guess this is common for others. Or, can you please let me know if > > yours worked well at May? > > > > Then, does anyone see what is the difference between the market > > condition of May and that of April? > > In addition, what was the main reason why JbookTrader didn't work well > > at May ? > > > > I saw that VIX looks lower at May than before and the market trend of > > April was upside. > > However, I could not explain well when (or on what market condition) > > JbookTrader works well. > > > > Thanks, > > Willy > > > > On Wed, Jun 24, 2009 at 9:36 AM, Crichton McCutcheon > > <[email protected] > > <mailto:[email protected]>> wrote: > > > > > > skunktrader wrote: > > > Today, almost 3 months after the rest of the market, IB finally > > rolled > > > out 10 deep market depth for Globex futures. Seeing that JBT > > has only > > > been seeing half of the market depth info that other players are > > > seeing, I would be very interested to hear from anybody that has > > been > > > running/testing over the past 3 months to see if there has been any > > > obvious changes in system performance. > > > > > > If the performance has not changed over the period, then it would > > > strongly suggest that there is zero predictive info in the market > > > depth stream. > > > > > Balancer works well on many days if you can play the optimization > > cat-mouse game. > > > > > For what its worth, I have noticed that the balance of the top 5 > > > levels is VERY OFTEN (far more than would be expected) the opposite > > > direction compared to the balance of the top 10 levels. > > > > > As Eugene once said, maybe that occurs when a burst of market orders > > come in. Somebody on the > > "tws api" yahoo mailing list was writing about a way to detect that. > > > Perhaps coincidently, this list seemed to die at around the same > > time > > > as the 10 deep market depth was rolled out... > > > > > Or perhaps they are too busy making money with JBookTrader ;) > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
