Dear Nonlinear, I think, it is perfectly right to differentiate between up- and downward trends. By and large downward seems in general much faster. This would speak for a difference in parameters. I always wanted to look at what happens if you do separately optimize a upward-only and a downward-only strategy and compose it later (going flat if both are opposing) and compare this with two-sided optimization. But I never got around to doing this systematically. Given the intensity you work on it, you might want to take a look.
Cheers Klaus On Mar 8, 5:16 pm, nonlinear <[email protected]> wrote: > 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.
