You are probably paying attention to the "Bias" metric in JBT when backtesting and optimizing the strategies. The Bias metric reflects the number of long trades vs the number of short trades over the strategy's test period. What it does *not *tell you is what percentage of profits is attributable to long and short trades. Over the last weekend, I made an interesting discovery. Despite the market run-up in the last 6 months, most of the gains made by my sample strategies were from the short trades. I guess there is something in the market dynamics which makes it possible to capture shorting opportunities better than the long opportunities by my strategies.
For the next release, I am going to make these changes: 1. Rename "Bias" to "Trade Bias" and add a new metric "Profit Bias" which will measure the percentage of profits attributable to the long/short trades. Perhaps you can thing of better names for this metrics. 2. The sample strategies as they are right now make an assumption of the symmetry of the indicators. For example, "enter long" when indicator is greater than +20, enter short when indicator is less than -20, go flat when indicator is around 0. Given my discovery, it looks like this symmetry is artificially imposed, and it constrains my models. I've refactored my strategies to break this symmetry, and I am running them live this week. I'll include the corresponding sample strategies in the next release. Feel free to contribute your thoughts in this subject. -- 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.
