Greetings, I should first mention that I don't believe historical data can "predict" the future. However, I do believe that price and volume data (within short time frames) provide a fast moving window of opportunity for profitable trading. In 2009 and 2010 I used JSystemTrader for index trading using a version of the Money Flow Index strategy. I have been skeptical about Order Book based trading for the following reasons:
1. Book data does not necessarily reflect the true intentions of market participants (i.e. dark liquidity, managed order placement, etc.); 2. Although I believe it's new information that drives the behavior of the market, it is Price (and volume) that embodies the sum of all the information available at the time of each trade (of course, volume is the other factor). It would be productive to explore new frameworks for trading strategies that use Price and Volume. Of particular interest to me are also variables such as the dynamics of the Ask-Bid versus filled price. I do understand that all such functionality are also available in JBookTrader (thanks to Eugene's masterful work); my suggestion is more on the strategy development side than it is on the technical (no pun intended) side. Kind regards, Ali On Wednesday, January 30, 2013 3:13:00 PM UTC-8, Eugene Kononov wrote: > > > > Secondly, in my case I optimized some sample strategies but they were >> really quiet during all the past year, weeks and months passed with 0 >> trades.. >> > > > Same thing for me. All the sample strategies (and the real ones that I > trade) have the same premise: enter the trade when the order book is > extremely out of balance, and exit the trade when the balance returns to > normal range. In 2012 (and 2013 so far), there were not that > many occurrences to enter the trade, compared to 2011. I am not sure what > that means. I could be simply because the volatility is low, or it could be > that the irregularities in the ES order book have dissipated due to more > efficient trading. It's tempting to adjust the sensitivity threshold lower > to trigger the trades when less "stretching" occurs in the balance, so that > more trades are generated, but if the market returns to the 2011 mode, this > would mean losses. So, I'm just patiently waiting, and yes, it may mean > weeks and sometimes months without taking a trade. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader?hl=en. For more options, visit https://groups.google.com/groups/opt_out.
