The sample strategy in JArbitrager is pretty much what you were describing. It trades when the spread between the SPY and the ES becomes too wide, and closes the trade when the spread reverts to its recent mean. My paper trading of this strategy showed that this particular pair is essentially arbitraged to death, so there is no hope for a small trader to squeeze any profit. Did you backtest your pair yet?
On Wednesday, December 3, 2014, <[email protected]> wrote: > Thanks, I will get to work on it. > > On Wednesday, December 3, 2014 9:53:25 PM UTC-6, Eugene Kononov wrote: >> >> I don't think it would be able to place trades. It has an old version of >> IB API which is not compatible with the latest version of TWS. That API >> needs to be updated. You can take the newer version of that API from >> JBooktrader and drop it in your JArbitrager project. Then test everything >> using a paper trading account. >> >> >>> -- > 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:_e(%7B%7D,'cvml','jbooktrader%[email protected]');> > . > To post to this group, send email to [email protected] > <javascript:_e(%7B%7D,'cvml','[email protected]');>. > Visit this group at http://groups.google.com/group/jbooktrader. > For more options, visit https://groups.google.com/d/optout. > -- 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/d/optout.
