Thank you for quick response. On Sat, Jul 23, 2011 at 4:23 PM, nonlinear <[email protected]> wrote:
> > >> 1) What is the way to exit from position. >> I saw such line of code addParam(EXIT, 12, 18, 1, 14); at >> Pendulum1 class. >> 12 -- min >> 18 -- max >> 1 -- step >> 14 -- value >> I didn't understand how these parameters relates to stop .(may be in >> case of price will be 12 or 18 exit from the trade , but if so what is >> the step and value parameters are responsible for?) >> > > The "value" is used for live trading, backtesting, and forward testing. The > other three (min, max, step) are used for optimization. During the > optimization, JBT iterates through all combinations of parameters. For > example, if one of the parameters is EXIT, an it's set with min=12, max = > 18, and step=1, the optimizer will try all values in the range from 12 to > 18. It's important to note that in the case of this particular strategy, the > EXIT does not refer to the number of points at which the stop loss happens. > Instead, it's simply a threshold for the indicator used in this strategy. > This strategy is called Pendulum for a reason. Think of a real pendulum. > When its swing reaches the extreme point (defined by the pendulum velocity > and acceleration), you can think about this moment in time as a "long entry" > condition. When it reaches the neutral point, it can be thought as an "exit" > condition. > Thank you , it is become much more clear now. > > >> 2) What is the way to define stop loss? >> > > There is no built-in method for this in JBT. However, this can be easily > implemented. In my experience, stop losses do not improve the risk/reward > profile of the strategies, so I don't use them, and that's why JBT doesn't > have it. > Can you give some Idea of implementation stop loss , Is more comfortable for me using stop loss. > 3) What is the best practice to test strategies based on bar/candle >> stick analysis? >> For example: I need to check: >> in case after predefined condition I start >> counting the bars number and enter the trade after closing bar number >> 3? >> >> > JBT is meant for book trading (i.e. microscopic analysis of the market > based on the exchange limit order book). It's not a bar-based trading > system. > Oh , I see. I have to learn more about book trading. Investigating the code I understand that the product has part of infrastructure like Bar class and other facilities. From your experience is it complicated to add functionality to use bar-based analysis? I liked the clean and well structured code of the product. But I have no experience in Automatic trading. May be you can share your experience (approaches) how to add the bar-based analysis and I'll contribute the implementation of it. Or any other Idea like integration with another product. From mail list it is mentioned JSystemTrader , JArbitrager. Do these product provides bar-based functionality. > 4) What TAU parameter means? >> >> > TAU refers to time delay. It's just a smoothing parameter in this > particular strategy. > > > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To view this discussion on the web visit > https://groups.google.com/d/msg/jbooktrader/-/g7f-4bwqqAMJ. > 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.
