> While doing the analysis, I found however, a GAP_SIZE in strategy > class. > It seems every hour the strategies are reset..!? (if I analyzed > correctly).
The indicators are reset if there is a no market data for 1 hour or longer. This is done mostly for consistency in backtesting. Let's say you have some sort of exponential moving average indicator, which reached a certain value. Then there was an overnight gap in data (the data which you didn't record), followed by the next day data. If you don't reset your EMA in backtest, it would retain the value which it reached on the previous trading day, and thus would not be representative of what would happen if you actually traded your system live. -- 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.
