> I think there may be a simpler solution, and I am willing to look into it, > but I'd like to see the evidence that the multi-week and multi-months trends > affect the intraday strategies.
Yes, the classic chicken and egg problem ;) I favor attempting anything sane and logical, but obviously the burden is on the person who actually wants the feature in the first place. I am fine keeping these features as patches, as having a bloated code base in a trading app is asking for bugs that cost real money. I have a hunch that some basic parameters would work well as a simple function of historical volatility. These parameters could be levels at which a trade could be opened or closed, for instance, or perhaps indicators that trading at a given time could be dangerous. > This is certainly doable. My only objection is that it would complicate > things quite a bit. Specifically, for the purposes of backtesting and > optimization (as well as trading and forward-testing), you would now need 2 > historical data files (one containing 1-sec market depth samples, and the > other one containing historical prices with some lower resolution). On top > of that, from what I hear from Judson, the market depth historical data file > would contain the future prices (as it's now), but the second one would > contain the underlying index (such as SPY, if I am trading the ES). My thought on the OHLC daily bars is that they give a lot of information for very little actual data. I do not think adding the feature would be "hard", but it wouldn't be trivial. Much much easier than trying to do full book pairs trading. And repairing the data by hand would be a cinch if a day is lost (assuming the data is available, but you could probably extrapolate something "good enough" from a plethora of readily available sources. A years worth of data is less than 1000 datapoints. So doing a "setup long term indicators" routine at strategy start would be simple. Except, yes, i just remembered the one thing that was complicated: we would need to implement a trading schedule calendar, to know when the exchanges are open and closed. On Wed, Jan 9, 2013 at 3:55 PM, Eugene Kononov <[email protected]> wrote: > > On Wed, Jan 9, 2013 at 5:02 PM, Marcus Williford <[email protected]> > wrote: >> >> Looking at the code, and this feature request. I think we can use IB API >> to get the historical data, since we all pay for it! >> >> My suggestion is to create a new type of object, which lazy loads a 1yr >> security historical data for any security. Let's call it SecurityHistory >> (think of this like a macro marketbook, with no book data). >> Next, we need to have a tier for HistoricalIndicators, which can get >> access to SecurityHistory. These HIstoricalIndicators can have state, for >> EMA calculations, etc. Then, any Strategy can create as many >> HistoricalIndicators it wants. I don't think this would break the existing >> object oriented model too much ;). >> > > This is certainly doable. My only objection is that it would complicate > things quite a bit. Specifically, for the purposes of backtesting and > optimization (as well as trading and forward-testing), you would now need 2 > historical data files (one containing 1-sec market depth samples, and the > other one containing historical prices with some lower resolution). On top > of that, from what I hear from Judson, the market depth historical data file > would contain the future prices (as it's now), but the second one would > contain the underlying index (such as SPY, if I am trading the ES). > > I think there may be a simpler solution, and I am willing to look into it, > but I'd like to see the evidence that the multi-week and multi-months trends > affect the intraday strategies. The average holding period of my strategies > is about 30-40 minutes. I really don't anticipate that these types of > strategies would be affected by taking long-term trends into consideration. > More importantly, all my strategies are actually anti-trend (or > mean-reversion, using a different terminology). However, there are of course > so many ways to trade (and to auto-trade), that it would be silly for me to > say that long term trends don't matter. If someone has such a strategy, it's > still possible to use it with JBT as it is, by simply specifying filters > (such as EMAs and SMAs) as indicators of long length. As Judson noted, the > discontinuity associated with contracts rollovers would be a problem, but > that can be hacked for the "proof of concept" purposes. If I see such as > proof of good performance, I'd be motivated to enhance JBT so that it can > support the time frames larger than a day. > > > -- > 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. -- 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.
