results of a first little back test run: used data set: ES-GLOBEX-FUT-200909.txt from the JBT web site Hardware: dual core Intel T2500 @ 2.00 GHz back test time: ~ 90 minutes
Results from JBT main window: Trades: 19 Net Profit: 2446 Profit Factor: 7.38 Max DD: 174 On Sep 8, 6:44 pm, Eugene Kononov <[email protected]> wrote: > I've uploaded a sample strategy which utilizes this "similarity search" > concept:http://jbooktrader.googlegroups.com/web/SimilarityFinder.java?gda=DPa... > > No changes to JBT framework are needed. Just compile this strategy and > backtest. Backtesting will be *extremely* slow. That's because for every new > 1-second sample, backtester has to search for similar samples in the data > file (or in the data loaded to RAM). So, if you have, say, 1 million samples > in the data file, that would result in 10^6 * 10*6 = 10^12 operations for > backtester. Optimization would be virtually impossible, too. This is, of > course, just a prototype, and there are certainly much more efficient search > algorithms, so feel free to experiment. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
