Neither jbooktrader nor jarbitrager hold positions overnight. If your trades span multiple days, you would have to make changes in the way jarbitrager trades, backtests, and optimizes trading strategies.
On Wednesday, December 3, 2014, <[email protected]> wrote: > I actually found a different pair that Goldman Sachs has not thought of > yet, I have done no long-term backtesting but it reverts pretty reliably I > think. I look forward to backtesting it for real. I made about $4k last > week on one 3 day trade though. > > On Wednesday, December 3, 2014 10:06:48 PM UTC-6, Eugene Kononov wrote: >> >> 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? >> >> >> >>> -- > 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.
