Please explain how to reproduce the problem. The price should *not *be affected by indicator parameters.
On Wednesday, December 15, 2010 10:10:18 PM UTC-5, Alexana wrote: > > > 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. > *out*.println(price + "," + kalmanResult[0]); > > > > 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. > ------------------------------ > *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 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.
