I tested combined profit taker and loss stop Eugene strategy and made
money on all 4 instrument
DAX,ES,SPI and EUR.
I wish I know hot to add extra priceSMA indicator maybe some one can
help :-)
here you are :
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package com.jbooktrader.strategy;
import com.jbooktrader.indicator.velocity.*;
import com.jbooktrader.platform.indicator.*;
import com.jbooktrader.platform.model.*;
import com.jbooktrader.platform.optimizer.*;
import com.jbooktrader.strategy.base.*;
/**
*
*/
public class ProfitTakerLossStopper extends StrategyES {
// Technical indicators
private final Indicator balanceVelocityInd;
// Strategy parameters names
private static final String SLOW_PERIOD = "SlowPeriod";
private static final String ENTRY = "Entry";
private static final String TARGET = "Target";
private static final String STOP = "Stop";
// Strategy parameters values
private final int entry, target, stop;
public ProfitTakerLossStopper(StrategyParams optimizationParams)
throws JBookTraderException {
super(optimizationParams);
entry = getParam(ENTRY);
target = getParam(TARGET);
stop = getParam(STOP);
balanceVelocityInd = new BalanceVelocity(30,
getParam(SLOW_PERIOD));
addIndicator(balanceVelocityInd);
}
/**
* Adds parameters to strategy. Each parameter must have 5 values:
name:
* identifier min, max, step: range for optimizer value: used in
backtesting
* and trading
*/
@Override
public void setParams() {
addParam(SLOW_PERIOD, 100, 4000, 100, 3400);
addParam(ENTRY, 10, 30, 1, 15);
addParam(TARGET, 1, 20, 1, 5);
addParam(STOP, 1, 10, 1, 7);
}
/**
* Framework invokes this method when a new snapshot of the limit
order book
* is taken and the technical indicators are recalculated. This is
where the
* strategy itself (i.e., its entry and exit conditions) should be
defined.
*/
@Override
public void onBookSnapshot() {
double balanceVelocity = balanceVelocityInd.getValue();
int currentPosition = getPositionManager().getPosition();
double priceDiff = getPositionManager().getAvgFillPrice() -
getMarketBook().getSnapshot().getPrice();
double profit = 0;
if (currentPosition > 0) {
profit = -priceDiff;
} else if (currentPosition < 0) {
profit = priceDiff;
}
if (profit > target) {
setPosition(0);
} else {
if (balanceVelocity >= entry) {
setPosition(1);
} else if (balanceVelocity <= -entry) {
setPosition(-1);
/* Stop Loss */
double loss = 0;
if (currentPosition > 0) {
loss = priceDiff;
} else if (currentPosition < 0) {
loss = -priceDiff;
}
if (loss > stop) {
setPosition(0);
} else {
if (balanceVelocity >= entry) {
setPosition(1);
} else if (balanceVelocity <= -entry) {
setPosition(-1);
}
}
}
}}}
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