I see a very puzzling behavior in JBT, which may be important. I have been looking at Kalman filter as a replacement for EMA. The parameter Measurement Noise serves the same function for Kalman filter as Period for EMA. So, I am optimizing the Measurement Noise to control the level of smoothing that the filter provides.
As per Eugene's suggestion below, I have added the following line to the calculate( ) method: System. I then copied the output and pasted it into Excel. The puzzling thing is that the values of price changed when the parameter value is changed from the backtest GUI in JBT. Of course I would expect that the value of kalmanResult[0] would change in response to changing parameter, but the values of price should remain constant. If the values of price are affected by changes in the value of the parameter, then the backtester may not be working properly. I used ES test file in my backtest and ran the backtest for one day only, Aug. 12, 2009. out.println(price + ","+ kalmanResult[0]); ________________________________ From: nonlinear5 <[email protected]> To: JBookTrader <[email protected]> Sent: Mon, December 6, 2010 4:36:13 PM Subject: [JBookTrader] Re: Status of Kalman filter? > Eugene, I have added the process noise to your code and am trying to replicate > the graphs for Kalman and EMA that you have posted below. Is there a feature in > JBT to create those graphs or did you have to export the data to external > package? > No, there is no direct support for that in JBT. What I did was simply print a comma-separated list of indicator values from the onBookSnapshot method, and then copy and save the output in a file, which can then be imported to Excel. Example: double priceKalmanFast = priceKalmanFastInd.getValue(); double priceKalmanSlow = priceKalmanSlowInd.getValue(); double priceEMAFast = priceEMAFastInd.getValue(); double priceEMASlow = priceEMASlowInd.getValue(); double price = getMarketBook().getSnapshot().getPrice(); System.out.println(price + "," + priceEMAFast + "," + priceEMASlow + "," + priceKalmanFast + "," + priceKalmanSlow); -- 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. -- 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.
