Thanks Eugene for your reply. I realize that the price for the strategies you trade has doubled since I first came back here two weeks ago. While this is probably still worth the price, it's too much for me right now. I was willing to take the offer of the previous 11 strategies, and if you agree this would be still fine with me without having your latest additions.
Periodically re-optimizing strategies is important, as market conditions change. How this is done however depends on the person who does the optimizing. It could well be that this worked so great for you because you did the periodical optimizing. For a person who buys a system it would be important to see how a system optimized in your manner for 2009-2011 turned out during 2012. That's why I asked for it. Do you have an idea of the maximum draw down of your system while trading all strategies simultaneously? From a risk management perspective, this would be the figure to look at. Of course I could sum up all individual draw downs but the actual maximum draw down is probably much less. Alexander On Saturday, January 12, 2013 2:26:02 AM UTC+1, Eugene Kononov wrote: > > > 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 view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/cPFynUrlijIJ. 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.
