I wanted to ask for your opinion on the topic of strategy development and its support within the JBT infrastructure.
One approach to develop strategies in JBT is to take the sample strategy implementations in JBT and enhance them with further individual coding. These strategies then can be optimized by the optimizing infrastructure within JBT against a recorded set of historical book data. I have a second approach in mind: * search in the recorded set of historical book data for the "most successful trades" * for these trades, go back in time for a given amount of time window, lets say 1 hour * save these 1 hour success time series windows as kind of reference set of successful time series patterns * apply a similarity search for this set when doing live trading * when the current time series matches one of the success patterns out of the set, a position is opened * let the profit run and close the position after a defined amount of profit In theory this sounds very simple. I am currently doing some research on the topic of Similarity Search. This seams to be a very successful method within the field of genomic analysis and some other medical fields. Before diving much deeper into this area - this is very intensive mathematics ;-)) - I wanted to ask your advice if this seems to be a practical approach. I will proceed in the following way: * understand the theory and math behind Similarity Search in conjunction with Dynamic Time Warping (Dynamic Time Warping is a method to make time series comparable!) * implement a prototype for the JBT book data - analyzer to identify time series windows with successful trades - algorithm to identify the successful windows with a JBT live stream/back test data In the Files area of the forum I have posted a paper with some theoretical backround: http://jbooktrader.googlegroups.com/web/Scaling%20up%20Dynamic%20Time%20Warping%20to%20Massive%20Datasets.pdf?gsc=WjacowsAAACZvHUeNcfEGiMT0xhGDM6s Thanks a lot in advance for your estimation on this subject. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
