That should read "(or fourth or fifth)" On Wed, Aug 1, 2012 at 9:56 AM, Judson Wilson <[email protected]> wrote: > You would have to re-write a few sections of code, but it is not hard. > I have messed with this before, but I was just dabbling. > > I would recommend adding it as a third (or fourth or fight0 parameter > to the backtest files, and then go from there. > > Also of interest may be the 'book size', which is the total number of > bids and asks. I'm not sure how it pertains to the strategies you > mention, but I believe there is value in there, and this would be a > good time to add it as well if you are interested. > > On Tue, Jul 31, 2012 at 11:42 PM, Lawrence Perepolkin > <[email protected]> wrote: >> Has anyone created a strategy that uses a statistic measuring the difference >> of bid and ask? I want to develop a mean reverting strategy that would use >> this. I believe when the bid ask spread expands the market is experiencing >> and increase in volatility. The strategy I am thinking of would use a option >> straddle or strangle to protect against large moves up and down and then >> implement at strategy in BookTrader to buy lower lows and sell higher highs >> in a tight range. In trend less time periods this works quite well. For >> example, after hours ES is mostly trend less, and one can make some money >> buying lower lows and selling higher highs. High volume trend less days are >> also quite profitable. On potentially high volatility time periods, >> earnings and Fed announcements, use option straddles/straggles no need for >> an ATS, on trend less days use and ATS for mean reversion trading about 100 >> buy sell cycles a day. Has anyone considered this? Your thoughts? >> >> -- >> 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/-/EOFMkhaOgX8J. >> 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.
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