Thanks Eugene and Judson for your answers. I agree with Judson that using the ES index seems a priori the best solution, to avoid contract switch distortions in the JBT logged data, and volume seems not so important. I'll keep you posted if I have any progress in any of those areas.
El miércoles, 9 de enero de 2013 05:27:23 UTC+1, Judson Wilson escribió: > > On Tue, Jan 8, 2013 at 1:43 PM, Iñaki Andersen > <[email protected]<javascript:> > > 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 view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/Uditd7bns3YJ. 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.
