Judson, If you have a standard format you want to use for daily date/open/high/close/low/volume(optional), send over a sample. Otherwise, I'll just make something up for testing.
Marcus On Thu, Jan 10, 2013 at 2:58 PM, Judson Wilson <[email protected]>wrote: > 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. > > -- 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.
