:-( Results of the new back test run: Dataset: JBT 5 level depth historical data from 1 Jan 08 - 31 Mar 08 Trades: 77 Net Profit: -3370 Profit Factor: 0.78 Max DD: 4326
runtime: ~5 hours The Equalizer strategy from JBT had the following performance with the above data set: Trades: 2186 Net Profit: -9399 Profit Factor: 0.9 Max DD: 10804 can the bad performance be explained by the 5 level book of the dataset? On Sep 9, 12:04 am, new_trader <[email protected]> wrote: > in the files section you will find additional > material:http://groups.google.com/group/jbooktrader/web/FTW%20FastSimilaritySe...http://groups.google.com/group/jbooktrader/web/Stream%20Monitoring%20...http://groups.google.com/group/jbooktrader/web/Stream%20Monitoring%20... > > in the moment I am running a back test on 3 months from the 5-level > depth historical data file with the initial parameters of the > prototype strategy. > afterwards I will adjust it to your new parameter proposal > > when implementing the FTW algorithm, processing time should go > significantly down. > > I a wondering how this could be run in a live trading environment! > > On Sep 8, 10:39 pm, nonlinear5 <[email protected]> wrote: > > > I've just noticed the references to the k-nearest neighbor algorithm > > in the paper that you > > posted:http://jbooktrader.googlegroups.com/web/FTW+FastSimilaritySearchunder... > > > This should reduce the search time from O(N) to O(log(N)), I believe. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
