Hi all,
First, thanks very much to the responses to the idea of looking at long
term trends. I am not as familiar as you with Java and JBT (but
improving...), so my 'simplest' idea is:
- To get the S&P index daily data from another source, e.g.
http://finance.yahoo.com/q/hp?s=%5EGSPC&a=00&b=10&c=2000&d=00&e=10&f=2013&g=d
. It allows to even download a csv file with the data we want. It'd be
relatively easy to make a script that updates the file every day
independently from JBT, or even make JBT get if a more definitive
solution is implemented.
- Everytime the strategy starts to run or there is a day change (from IB
in trade mode or from the file in backtest), the strategy recalculates a
trend indicator that looks at the historical file (daily
open/close/min/max) based on the day info and the indicator input
parameters (e.g. period of days to look at). According to this
indicator, it determines the number of contracts (0,1,...) to use for
that day and it doesn't run it anymore until the next day/start.
I guess it may require some changes in the indicators management as it
has been suggested but it doesn't seem too difficult (maybe I'm wrong
though). I'll keep you posted if/when I get to something. Of course any
kind of support would be welcome.
Cheers,
Iñaki
Eugene Kononov escribió:
Regarding the GUI, I think I can do this with no GUI impact. This
would simply be another type of indicator that a Strategy can get
a reference too. This would keep things really simple for the
initial impl, and reduce the risk of any impact to the existing
trading code.
Not sure how you'd do this without affecting the GUI. Wouldn't you
need to add the corresponding controls to the backtesting and
optimization dialogs to specify the *second* historical data file? The
GUI changes aside, there is a lot more to do in the back end to
somehow synchronize these data files.
There is a much simpler way out, though. We can add another column to
the existing recording format, to record whatever we define as a "long
term trend". For example:
# This historical data file was created by JBookTrader
# 1. date in the MMddyy format
# 2. time in the HHmmss format
# 3. book balance
# 4. price
# 5. volume
# 6. long-term trend (in relative strength units)
timeZone=America/New_York
010713,080904,4.0,1455.875,10,95
010713,080905,4.61,1455.875,5,95
010713,080906,4.63,1455.875,1,95
010713,080907,4.64,1455.875,0,95
010713,080908,4.59,1455.875,1,95
010713,080909,4.63,1455.875,0,95
That way, very few things would need to change, and all components of
the system would be intacts. The downside is, of course, you've got to
collect this for a year or so, before it becomes usable.
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