I guess I should have documented this better, since you are not the first one who is asking about. GAP_SIZE and MIN_SAMPLE_SIZE control how JBT handles data gaps. Let's say your trading schedule is 10am to 3pm, and you have recorded two days worth of data. Your recording session covered the data from 7am to 4pm on day one, and 7am to 4pm on day two. When you backtest and optimize this data set, what happens after you go from 4pm on day one to 7am on day two? Your indicators still have the values as of 4pm from the previous day, and although there was an overnight trading session, they will continue to update as if nothing happened since 4pm yesterday. Effectively, the indicators will reflect the state of the market as of the end of the last recorded day, and that state may, of course, be irrelevant. It will also produce different results in real trading, compared to your results in backtesting. To prevent this situation, JBT resets all the indicators when a data gap of larger than GAP_SIZE is encountered. Subsequently, the indicators are allowed to "settle" to their values for the amount of time which corresponds to the MIN_SAMPLE_SIZE period of time, and no trading is allowed even if trading signals are generated . With this handling of data gaps, your back tests, forward tests, optimization, and trading will produce the same results.
Does this make sense? On Mon, Jan 10, 2011 at 7:54 AM, aqc <[email protected]> wrote: > Hi Eugene, > > In IndicatorManager.java, there are following codes: > > private static final long GAP_SIZE = 60 * 60 * 1000;// 1 hour > private static final long MIN_SAMPLE_SIZE = 60 * 60;// 1 hour worth of > samples > > What are the definitions of GAP SIZE AND MIN SAMPLE SIZE? I played > around with min sample size by changing it to 60*45 and 60*30. I > noticed that the smaller the min sample size, the more trade signals > generated by defender strategies. Can I know how GAP SIZE and MIN > SAMPLE SIZE got used by the indicator? > Thank you for your help. > > -- > 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.
