> Are the offered strategies based on the same idea (thresholds of > tension/force = balanceVelocity – factor * priceVelocity) or is there an > entirely new approach? > > The offered strategies are based on the same idea, which is to detect the extreme imbalances in the exchange limit order book and to enter the position when this happens. When the balance returns to normal range, the position is closed. The difference with the "paid" strategies is that they use improved methodology of such detection, and are carefully optimized, backtested, and forward tested. I trade all 14 of them in real time, every day. My live results from late October 2010 can be seen here: http://rapacapintro.com/account/leaderboard/landingpage (I am listed as nonlinear/JBookTrader)
> Are the 5 Long strategies (or the 6 Short strategies) programmed as the > same code with just different parameters? > > There are now 14 instead of 11, I updated the page: https://docs.google.com/document/d/1cYjooxpxqUftqkvUWkb3CBlTFyQSx2jmi16KDVXeykk/view The intent is diversification across different optimization parameters, short and long bias, and time frames. > The optimization period (often called the “In Sample” period) was Oct 1, > 2010 to Jan 9, 2012, i.e. 15 months. What period is covered by the results > shown on the paper "Best-Performing JBookTrader Strategies)? If that is the > same period, could you provide a backtest covering just the year 2012 (the > “Out of Sample” period) using the optimized parameters from the “In Sample” > period? > I periodically re-optimize my strategies to let them evolve with the market. The results are shown for the backtest period from October 2010 to December 2012. -- 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.
