Hi Eugene, Thanks for the quick reply for my previous posting. Got a couple more questions for you.
1. the book balance is defined as difference between cumulative bid size and cumulative ask size in the limit order book at 1 second interval. How many price level of bid and ask do you usually use to calculate book balance? 2. In tension indicator, you have these equations: fast/slowMultiplier as Multiplier = 2.0 / (fast/slowPeriod + 1.0). slow/fastPrice += (price - slow/fastPrice) * slow/ fastMultiplier; priceVelocity = 2 * (fastPrice - slowPrice); Would you mind elaborate a little bit how these formula work since they are not intuitive for me? Also why there is "2" multiplier in priceVelocity whereas in balanceVelocity you don't use "2" as a multiplier? Many Thanks!! On Dec 1, 9:58 pm, Astor <[email protected]> wrote: > >That's what the optimization is for in JBookTrader. Optimizer iterates > >through different combinations of parameters, runs the backtests with > >these parameters, and sorts the results. > > > Eugene, just to make sure: the optimal parameters found by the optimization > are > not automatically included into the trading strategy but must be hard-coded > manually into the strategy code, right? > > > There are 2 tension indicators. Tension and Extratension. What are the > > differences between those two? > > ExtraTension is experimental. The idea is to apply the Tension > indicator to multiple scales. For example, if Tension(10, 100) > performs well, and Tension(50, 500) performs well, you may be > interested in how the combination of these two performs. > > > When i look at the formula: tension = (fastBalance - slowBalance) - > > (fastPrice - slowPrice) > > As prices rise, there are less and less buyers willing to pay for > > higher prices, consequently fastBalance will be more negative than > > slowBalance --- the term (fastBalance - slowBalance) will result in > > negative number. fastPrice will be higher than slowPrice and the term > > (fastPrice - slowPrice) will become positive. Overall when price rises > > tension will turn to negative, please correct me if i'm wrong. > > Yes, that's correct. > > > Is it right to say that the strategy is to go short when tension is > > really negative and to go long when tension is really positive? > > Yes. > > > Defender.java and TensionSeeker.java are the strategies that use > > tension indicator. Which one has better performance? > > Depends on how you measure performance. TensionSeeker produces greater > net profit, Defender produces greater profit factor, Kelly, and PI. On > the risk-adjusted basis, Defender is superior. > > > One last question: Based on the example from your code, how do you > > determine your fast,slow,entry, and exit parameter value? > > That's what the optimization is for in JBookTrader. Optimizer iterates > through different combinations of parameters, runs the backtests with > these parameters, and sorts the results. You can evaluate these > results by looking at the optimization maps in JBookTrader. The JBT > manual explains this in > detail:http://docs.google.com/View?id=dfzgvqp4_10gb63b8hg > > -- > 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 > athttp://groups.google.com/group/jbooktrader?hl=en. > > ________________________________ > > From: nonlinear5 <[email protected]> > To: JBookTrader <[email protected]> > Sent: Wed, December 1, 2010 8:30:43 AM > Subject: [JBookTrader] Re: Indicators -- 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.
