Dear John, this is very interesting to hear. It would really be interesting to see a side-by-side comparison of identical strategies with deep and shallow book data. The only thing is, we would then need also all the data recorded with deep and shallow book.
Klaus On 4 Okt., 18:43, John-Crichton McCutcheon <[email protected]> wrote: > Thats good to hear. I never upgraded the Market Depth calculation > change from last summer. That is , in MarketDepth.java you changed > the calculation from the mid point of the high balance / low balance > for the interval to the EMA of the balances recorded during the > interval. At the time, it seemed to me that that change made the book > data much less volatile and so I found that it generated fewer > signals for the strategies I was using at the time such as Balancer. > Anyway, I'll see what those new strategies do against the "old depth" > calculation. > Since you say the performance looks good, I'll record with the current > depth calculation as well as the old. > > On 10/1/2010 4:33 PM, nonlinear5 wrote: > > > > >> Thanks. I wonder if they stop spoofing the order book maybe JBT will > >> get better results now? > > > Have you looked at the performance of the sample strategies included > > in the last version of JBT. They are pretty decent. I am about to > > start trading live again. -- 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.
