Dear Keith, take care: single days don't tell you anything. If you want to use specific strategies: set up a data set for training the parameters. (My experiences with the out-of-the-box parameters for the provided strategies are suboptimal.)
Have a second, non-trivial data set for cross-testing. Any strategy that only performs well on the training data is worth-Less! (Thus, you need this second data set.) You can do this with the data provided with Jbooktrader (don't forget to split it) or with data you record yourself in forward mode (this also helps to analyze any instabilities and issues). Both training data and validation needs to be a non-trivial amount (a week is not enough, let alone a day says nothing). Even for completely failing strategies, there are very good days, and even for the best strategy, there are loosing days. Ideally both data sets cover different types of days (sideways, up, down, zick-zack..) and after optimizing you should also check how broad the success regions are. Otherwise you end up with strategies that are too brittle.. Having written this, I am currently live trading with a nice result for the day so far :) (Unfortunately, this does not mean I will even come out + today - or tomorrow.. - after all, it is statistics.) Cheers Klaus On 4 Jun., 18:50, Keith <[email protected]> wrote: > Hi Eugene, > > I am glad to report that when I combine the ProfitTaker and > LossStopper together and only traded that strategy it seems to work > very well this morning. > > Thanks. > Keith > > On Jun 2, 4:54 pm, Eugene Kononov <[email protected]> wrote: > > > > > For those who are anxious to try the "classic" strategies, I am attaching > > two sample strategies, LossStopper and ProfitTaker. The first one uses a 7 > > point stop. The second one uses a 5 point profit target. These are > > optimizable parameters, so feel free to experiment. Trailing stop can be > > done in a similar fashion. > > > On Wed, Jun 2, 2010 at 2:26 PM, ShaggsTheStud > > <[email protected]>wrote: > > > > On Tue, Jun 1, 2010 at 9:19 PM, Keith <[email protected]> wrote: > > > >> Unless we are trading a single strategy per instrument at a time, we > > >> will need a risk management strategy for the whole portfolio at risk. > > > >> Besides the performance manager, I recommend we have a risk manager > > >> object to look at all open positions, monitor profit and stop loss > > >> targets with the ability to close any strategy instantly. TWS has a > > >> function to close all positions, this could be one of the methods of > > >> the risk manager. > > > > The concept is interesting. Honestly I don't know how many people here > > > believe they will be trading multiple strategies at the same time any time > > > soon - especially more than two, unless we have a really good strategy > > > developer lurking in the shadows with a big account balance. > > > > Just tossing out an idea here to think about - maybe this could be > > > implemented in an external program, through a basic interface to JBT which > > > would include a basic "pull the plug" command, and an interface that > > > provides basic information about present positions and past trade > > > performance. The reason this might be nice is that it could reduce > > > clutter > > > in the codebase, and could be integrated into a larger portfolio > > > management > > > system if the user wanted to. > > > > -- > > > 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]<jbooktrader%2bunsubscr...@googlegr > > > oups.com> > > > . > > > For more options, visit this group at > > >http://groups.google.com/group/jbooktrader?hl=en. > > > LossStopper.java > > 2KViewDownload > > > ProfitTaker.java > > 2KViewDownload -- 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.
