Dear Eugene, this is an interesting discussion: I suppose, with the numbers you are referring to the values achieved on the training set? Or do you include test data (data not seen in optimization).
Best Klaus Am Mittwoch, 6. März 2013 10:37:50 UTC-3 schrieb Eugene Kononov: > > 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]<javascript:> > > 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] <javascript:>. >> To post to this group, send email to [email protected]<javascript:> >> . >> 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. 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.
