On Tue, Jan 8, 2013 at 1:43 PM, Iñaki Andersen <[email protected]>wrote:
> - It seems that the strategies work fine over a period of weeks following > a certain market trend or market conditions. However, as JBT strategies are > intraday, they do not take into account the overall trend of the last > weeks. However, my experience is that they can be quite sensitive to it. > > For example, perhaps the platform could easily generate a file (from the > logged data or from IB) with some daily values e.g. the open, close, max, > min, volume, etc. so that strategies use this info when launched everyday > e.g. to not enter (or control position sizing in the new version?). Maybe > it goes a bit agains the JBT phylosophy, and maybe there are other ways to > avoid entering in adverse periods, but I thought it was worth commenting... > This was one of my next areas of work, but I am on indefinite hold for the moment (grad school). The main issue I found is that every few months the contract switches. This creates a disconnect in your data. This is a long known-about issue, and blending the edges goes back probably to the beginning of quantitative futures or options trading. My proposed solution is to use the underlying ES index. This would be price only, not volume. Volume is a strange beast to think about when it comes to roll-over. I was thinking a simple open/high/low/close bar for each day would be very useful for creating basic notions of long term trend and volatility. -- 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.
