Sure, I made returns 18.3% last year (partial year, I started in April) mostly on the ES long strategies. I started trading CL long strategies late last year once I had enough data, but the PI in live trading was slightly below my cut off point for live trading (PI of 3), so I'm reviewing and forward testing those strategies along with the ES & CL shorts.
I had a very high standard deviation in the returns on average, but by constantly monitoring strategy performance, I've been able to weed out weaker strategies, and let the good performers carry on in live trading. Now the returns seem to be more consistent. I currently only have three strategies in live trading (all ES long), but their live trading PIs are great: 8.16, 5.43 and 5.19. The rest are either in review or forward test. Really happy with JBT, it's an excellent framework, thank you again. Vincent and I have actually expanded it a great deal to incorporate multiple symbol, inter-day trading. I've connected it with my own portfolio management software from which JBT receives data for each strategy, position, etc, each morning and JBT reports back new trades to the manager. So I get an updated PI so soon as the trades come in. JBT works very well as the execution node of a broader trading platform. Michael On Sunday, January 12, 2014 4:25:02 PM UTC+1, Eugene Kononov wrote: > > Ok, yeah, that makes sense now. I was going to recommend IB quote > boosters, but it sounds like you've already did your cost-benefit analysis. > > Would you care to share your live trading performance results? > > > On Sun, Jan 12, 2014 at 10:10 AM, Mick O'Donnell > <[email protected]<javascript:> > > wrote: > >> It's the limit of three rows of L2 data that IB imposes. So I added more >> usernames (the market subscriptions) to my IB account so that I could mine >> further symbols, but because they're different username, I need an instance >> per username. I think this is cheaper then the booster pack IB offers when >> I looked into it. >> >> Two instances (on two Linode servers) for trading the ES & CL strategies >> on two different accounts (and collecting data on AUD and JPY). And four >> instances on four net-books collecting data on three symbols each. There >> may be a better approach though. >> >> regards, >> >> Michael >> >> >> -- >> 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. >> 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. For more options, visit https://groups.google.com/groups/opt_out.
