I tested this on a larger data set (Dec 2009 to June 2010), and it turned out a loss of $8000.
On Wed, Jun 9, 2010 at 6:02 AM, bluemaster <[email protected]> wrote: > 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 : > > ------------------------------------------------------------------------------------------------------------- > > 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); > } > } > } > }}} > > -- > 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%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- 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.
