PI>7: "holy grail". PI>6: excellent PI>5: good PI>4: decent
You should have at least 100 trades and at least 1 year worth of data for statistical significance. The number of strategy parameters should not be too large (I consider 5 parameters to be the max, with a preference for fewer parameters). You should also have decent out of sample results, to make sure that you have not over-optimized. On Wed, Mar 6, 2013 at 7:30 AM, Simba DIARRA <[email protected]> wrote: > Hi Eugene, > > One question for you with respect to optimization. I read in some old post > that you have preference for PI and Kelly factors for best strategy choice. > From what level of these per indicator you would consider trading live a > strategy? > > thanks > > > > > On Saturday, 23 February 2013 23:53:15 UTC+9, Eugene Kononov wrote: > >> Yes, it's all about "resistance" and "support", which are the results of >> either excessive supply or excessive demand. The amount of "excess" is what >> JBT attempts to quantify by analyzing the exchange limit order book. >> >> On Sat, Feb 23, 2013 at 8:52 AM, Mick O'Donnell <[email protected]> wrote: >> >>> Hi Eugene, Ali, Simba & Marcus, >>> >>> Thanks for your repsponses. The "JBook Trader Sample Indicators and >>> Strategies" document was exactly what I was looking for, thanks Ali. I >>> understand now, how JBT is using the velocity indicators to find points of >>> tension. I'd used the terms "resistance" and "support" in the past, but I >>> see it's effectively the same thing (but far more quantifiable than my >>> previous trading methods). I'll keep reading the documentation and come >>> back with any questions. >>> >>> Many Thanks, >>> >>> Mick >>> >>> >>> >>> >>> >>> >>> On Friday, February 22, 2013 10:11:01 PM UTC+1, Ali Farahani wrote: >>>> >>>> As I reviewed the discussions from 2010 and 2011 again, I have started >>>> doing more research on the topic. I came across this paper that you may >>>> find useful: >>>> >>>> http://iospress.metapress.com/****content/07522352T341037L/**fullt** >>>> ext.pdf<http://iospress.metapress.com/content/07522352T341037L/fulltext.pdf> >>>> >>>> Regards, >>>> >>>> Ali >>>> >>>> >>>> On Wednesday, February 20, 2013 5:59:46 AM UTC-8, Eugene Kononov wrote: >>>>> >>>>> Hello Simba and Mick, >>>>> >>>>> I was going to say something like "sorry, there is no documentation >>>>> yet on strategy writing", but then I looked at the links referenced by Ali >>>>> and realized that we had several good discussions around it. Please read >>>>> through these discussions, and if you still have questions, feel free to >>>>> post here. >>>>> >>>>> Thanks, >>>>> Eugene. >>>>> >>>>> >>>>> >>>>> On Wed, Feb 20, 2013 at 1:05 AM, Ali Farahani <[email protected]>wrote: >>>>> >>>>>> Simba and Michael, >>>>>> >>>>>> The link to JBT User Guide: >>>>>> https://docs.google.com/**docume**nt/d/**1uNQzIbuNyNZXxuv9NFCZRgx0** >>>>>> nYeEf**wuG1ZRfHBnFfZk/preview<https://docs.google.com/document/d/1uNQzIbuNyNZXxuv9NFCZRgx0nYeEfwuG1ZRfHBnFfZk/preview> >>>>>> >>>>>> There is also: >>>>>> https://docs.google.com/**viewer**?a=v&pid=forums&srcid=**MTI4NDcy** >>>>>> NzUzNDYwMDc4NTI0OTYBMT**U5NjI2ND**MwMDgwNTY0NDk3MDgBMlhX**ak10SmMz** >>>>>> YmNKATEBAXYy<https://docs.google.com/viewer?a=v&pid=forums&srcid=MTI4NDcyNzUzNDYwMDc4NTI0OTYBMTU5NjI2NDMwMDgwNTY0NDk3MDgBMlhXak10SmMzYmNKATEBAXYy> >>>>>> >>>>>> For a more in-depth understanding of JBT's theoretical foundation, >>>>>> review these previous posts: >>>>>> >>>>>> https://groups.google.com/**foru**m/?fromgroups=#!topic/**jbooktra** >>>>>> der/JsywY3YYAY4<https://groups.google.com/forum/?fromgroups=#!topic/jbooktrader/JsywY3YYAY4> >>>>>> >>>>>> and >>>>>> >>>>>> https://groups.google.com/**foru**m/?fromgroups=#!topic/**jbooktra** >>>>>> der/tLi_P_T8Py4<https://groups.google.com/forum/?fromgroups=#!topic/jbooktrader/tLi_P_T8Py4> >>>>>> >>>>>> Hopefully these items will help you get started! >>>>>> >>>>>> Kind regards, >>>>>> >>>>>> Ali Farahani >>>>>> >>>>>> >>>>>> >>>>>> On Tuesday, February 19, 2013 4:51:50 AM UTC-8, Simba DIARRA wrote: >>>>>>> >>>>>>> Hi Eugene and the Community, >>>>>>> >>>>>>> I am a bginner to this tool, and was wondering if there is some doc >>>>>>> resources explaing the various indicators in use by JBT. >>>>>>> >>>>>>> Cheers >>>>>>> >>>>>>> -- >>>>>> 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 jbooktrader...@googlegroups.**co**m. >>>>>> To post to this group, send email to [email protected]. >>>>>> Visit this group at http://groups.google.com/**group** >>>>>> /jbooktrader?hl=en <http://groups.google.com/group/jbooktrader?hl=en> >>>>>> . >>>>>> For more options, visit >>>>>> https://groups.google.com/**grou**ps/opt_out<https://groups.google.com/groups/opt_out> >>>>>> . >>>>>> >>>>>> >>>>>> >>>>> >>>>> -- >>> 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 jbooktrader...@**googlegroups.com. >>> To post to this group, send email to [email protected]. >>> Visit this group at >>> http://groups.google.com/**group/jbooktrader?hl=en<http://groups.google.com/group/jbooktrader?hl=en> >>> . >>> For more options, visit >>> https://groups.google.com/**groups/opt_out<https://groups.google.com/groups/opt_out> >>> . >>> >>> >>> >> >> -- > 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. > > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. 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