Thank you for explaining that, I was wondering what these parameters mean too.
So, would the back testing mode close all opened positions when a GAP is detected? In other words, does it avoid overnight positions? Thank you, Victor On Tue, Jan 11, 2011 at 3:58 AM, Eugene Kononov <[email protected]>wrote: > 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]<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.
