I would use csv format like the lines in the JBT standard backtest file. Just leave out the hours/minutes/seconds/etc and change the columns.
On Thu, Jan 10, 2013 at 10:54 PM, Marcus Williford <[email protected]> wrote: > 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. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. 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