I have raw ES index data from IB for (guessing here) 6 months? If someone wants to write a program to synthesize a simpler dataset, i can possibly dig up a subset of it for you to play with. But I am pretty busy for the next week.
On Thu, Jan 10, 2013 at 2:22 PM, Iñaki Andersen <[email protected]> wrote: > 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. >> >> >> >> >> -- >> 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. > -- 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.
