Multiple instrument strategies would be nice, but cumbersome. An option for 1 second price candles only (which would coincide nicely with multiple instruments).
This would then lead to pairs, options hedging, etc, straight out of the box. Indicators that span days (i.e. a general "1 week volatility indicator"). Simple ones that could use the daily Open, High, Low, Close VWAP for the day. I had a lot of ideas on manageable ways to do this, we can discuss later. Proper support for 2 instances of the same indicator (I believe it messes up the graphs). Something better for graphing in general. I am tinkering with the idea of writing a program in C using GTK+ and open GL, that can hold ever 1 second tick for years and display it with a decent frames-per-second. On Fri, Feb 25, 2011 at 7:30 AM, Victor Martin < [email protected]> wrote: > Thx for the info Michael, > > The performance seems great, I'll try to find some time to study NNN deeply > and see if they're applicable to HFT and intraday > > Cheers > > > On Fri, Feb 25, 2011 at 4:18 PM, Astor <[email protected]> wrote: > >> Yes. I have built a NNN strategy which trades ETFs. Each ETF in the >> tradable universe is chosen to be a proxy of a sector of the economy. >> >> The strategy is market-neutral and can best be described as sector >> rotation strategy. >> >> Over seven years the annualized return is 25% and Sharpe ratio is 2.4. It >> had a single drawdawn of 30%, lasting one week when the markets >> imploded during the subprime meltdown. All other drawdawns were less than 6 >> %. The strategy is in the market 30% of the time. >> >> It is not an HFT strategy though. It trades only once a day, >> takes positions (or not) at the open and closes them at the close. No >> overnight positions and no intraday trading. >> >> I think the same approach can be used for HFT strategy as well. >> >> ------------------------------ >> *From:* Victor Martin <[email protected]> >> *To:* [email protected] >> >> *Cc:* Astor <[email protected]> >> *Sent:* Fri, February 25, 2011 3:54:04 AM >> *Subject:* Re: [JBookTrader] Poll for new features >> >> Astor, have you backtested successfully any NNN strategy? Can you share >> its results?? >> >> cheers >> >> On Fri, Feb 25, 2011 at 4:20 AM, Astor <[email protected]> wrote: >> >>> Da, I have built quite a few ANN models. Several of them had been (and >>> I think still are) used to manage portfolios with AUM in tens of billions. >>> Let me save you some time - if you are going to optimize thousands of >>> parameters, you will most definitely overfit the data. Your model will >>> perform spectacularly in the backtest and will fail in actal trading. >>> >>> I can give you a litany of other problems that you will encounter. You >>> will have no clue whether your forecasts come from densely or sparsely >>> populated sample space, i.e. confidence intervals of your forecasts will >>> vary greatly. When your model fails, you will not know if it is part of >>> normal operation or if there has been a structural shift. >>> >>> If you are determined to explore non-linear interactions for prediction, >>> you will get much more consistent and much more intuitive results using >>> N-nearest neighbor algorithm. NNN has no parameters to optimize, requires no >>> training and can be updated in real time - which is very important for >>> HFT. As long as your original hypothesis for your model makes sense, you >>> will be able to understand the basis for the predictions. >>> >>> Good luck. >>> >>> ------------------------------ >>> *From:* Da Xu <[email protected]> >>> *To:* [email protected] >>> *Sent:* Thu, February 24, 2011 6:41:18 PM >>> >>> *Subject:* Re: [JBookTrader] Poll for new features >>> >>> >>> As I posted before, I woud like to develop artificial neural networks >>> strategy on JBT. We have to add thousands of parameters and change the >>> optimization class. I have been focusing on this project for a couple of >>> months. Are there anyone that is interested in ANN strategy? >>> >>> Da >>> >>> >>> >>> On Wed, Feb 23, 2011 at 3:19 PM, nonlinear <[email protected]>wrote: >>> >>>> Do JBT users have a "wish list" for the new JBT features/functionality? >>>> If so, please post them here. >>>> >>>> -- >>>> 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. >>> >>> -- >>> 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. >> >> -- >> 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. > -- 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.
