Rather than start a bunch of post asking newbie questions, I thought I
would put my log, experiences and questions in this one, so as not to
clutter the forum. Its mostly for me, but I hope it may uncover something
worthwhile for the rest of the group.
Thanksgiving weekend: Got started by downloading JBookTrader v9.01.
It would not compile. After some digging I figured jar 1.6 does not allows
<Script> after a class name, and only works on jar 1.7
updated to Jre7 and it compiled ok.
Tried brute force optimization and it crashed. Changed Vm parameter to
-Xms1024M -Xmx1024M and got it to work. Divide and conquer still takes over
an hour on the sample ES data (got an old laptop 3G max ram).
Heat map looks cool, but hard to see lines are very thin and spaced out.
Thinking about plotting interpolated values so I can see them better.
In the meantime increased MAX_SAVED_RESULTS to 5000 from 100, in
OptimizerRunner.java
Default values for ES Sample strategy result in loss, figured how to pick
numbers within the 'profitable island', re-ran backtest and got paper
profits.
12/2: My IB account not funded, doing only foward tests. Did forward test
on CL Nymex expiry Jan 2014, beginning ~ 7:30am pacific, ended ~5:16pm
pacific.
Price data starts at 7:30am pacific time, has flat spot corresponding to
17:15 to 18:00 eastern time stop in electronic trading, then continued on
until I shut off TWS at 5:16 pm pacific.
At first had me confused, no trades in forward testing. Back tested a bad
strategy with >200 trades on that day to verify that the trading period
ended at 15:25 ET as indicated in the StrategyCL.java.
Hard to tell when high swinging trading ends, but it looks like more like
14:40 pm. Checking CME site on trading hours it says open outcry is from
9:00-14:30 ET.
But TWS says regular trading hours are 9:30 to 16 ET
Changing my StrategyCL.java to be 8:30-16:00 to reflect 1 hour indicator
initialization (since there is electronic trading before 9:30 am ET)
TradingSchedule tradingSchedule = new TradingSchedule("8:30",
"16:00", "America/New_York");
Checking margin in TWS, it indicates initial/maintenance of 2125/1700
during day 4250/3400 overnight.
Changing comments on my StrategyCL.java to read the above, and changed
GLOBEX comment to NYMEX (tried to find GLobex CL futures, but none
available in TWS)
Trying to find what defines the ~11 hour duration of data collection, cant
find it yet. Seems data past end of trading schedule not used and enlarging
file record.
Read indicators post that talks abut derivatives. Have a derivation of a
formula for a derivative which is the difference between a moving average
and a weighted average. Need to see how it compares with the more compact
(recursive?) formula in PriceVelocity.java.
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