Judson, I was thinking of incorporating book size (bid/ask sizes) as some kind of weight. I am digging into the code to see what I need to modify. I like booktrader's framework. Implementing all of its functionality in C++ would be a major undertaking.
On Wednesday, 1 August 2012 09:57:22 UTC-7, Judson Wilson wrote: > > That should read "(or fourth or fifth)" > > On Wed, Aug 1, 2012 at 9:56 AM, Judson Wilson 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 > > 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. > -- 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/-/d8vp_u9PEc4J. 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.
