Update to GSB methodology. A must read, the backpacker and the Art of war by Sun Tzu

Just some ideas for experienced users.
Happy to say I learn things from the user base.

One idea I think is valid, is to build systems on one day of the week only (or more). I saw a system doing this, that has 600 or so trades, and good out of sample. Results on the other days terrible.

The other idea which is more complex is to build long only systems, and put on the same chart as short only systems.
The weakness is you get 1/2 the amount of trades when you build your long only system, so the sample size is smaller and that means its likely less robust.
One smart user as combining a long short system, that is much better going long, and disabling short entries
I like this idea better then long only & short as its got more trades and might be more robust as it can trade long and short
However its very valid to make long only systems, esp on stock indices

Then he gets a long short system that is stronger short, and disables long entries, and combines them on the same chart.
IM not going to give more detail on this, as its complex. GSB has long short ration in the GUI
However the day of week ideas Im going to test and build the features into GSB automation

A number of significant updates.
1) Egg on my face. A lot of my later testing on gold accidentally had the dates changed to the out of sample dates, not the in sample dates.
That means much of my work in the last month is not correct. Im rapidly redoing things and it was not all wasted.

Lession learnt, make copies of a master opt settings files and always make changes to this file. Thats to stop the human error that I made


2) I have a short cut method that reduces the amount of cpu but a bit over 50% with no significant negatives and its really simple to implement.
I will document this in the next week.


It is valid to make trading systems on a day of the week, as long as you have >300 trades (rough number, more the better)
GSB and GSB automation and automation excel spread sheet can now do this.
It may be some time before I try to build systems using this due to time pressures
However here as an example. (picture coming later) You need todays GSB 66.25, automation 20230814.3 and excel build version 67)
Automation is shuffling a day of the week each test.
One comment, the pearsons and number of trades in test period needs to be reduced significantly as you will always get lower pearsons, trade count and np/dd when you have in effect 1/5 of the data (one day a week)
Later im going to try trading 4 days a week and excluding 1 day



Repeatability tests
You can now put 100's of tests, and see the results of each 100 tests all in one spread sheet. (takes excel 30 min or so to process)
Example shown here was lots of 10, instead of 100

Hi,

Some thoughts from a norwegian with an increasing interest of algorithmic trading...

I recently came across a video talking about genetic algorithms and one of the fitness functions that was mentioned there was the Martin ratio, or more commonly known as the Ulcer index.

I don't have GSB in front of me now, but I cannot remember seeing the Ulcer index as a FF.

In short terms as of my understanding the Ulcer index measures the depth and duration of a drawdown, and rewards shallower and shorter/lesser durations of drawdown.

Paper describing Ulcer index : https://www.tangotools.com/ui/ui.htm

Youtube video that describes this with an genetic algorithm. The results are not the point here, but the content of the Ulcer index. I find his thoughts on elitism, parent selection and generation to be intriguing.

https://www.youtube.com/watch?v=2XQ3PsZActM&ab_channel=neuro...

Note: My understanding of genetic algorithms and algoritmic trading is nothing to brag about, nor my knowledge of computer science

Here is an example, that in once sense could be any market, but is NQ using 23 hours bars, 5.5 days a week, long only
With massive effort i got 3 extremely linear systems that are very different to all other GSB systems built. It has a little non gsb code that improved performance too.
Effort is also high as there is about 4 times more bars than a standard 30 min 830 to 1500 system, so cpu time is longer and gsb workers are using 10 to 15 gb of ram each
I will publish more as time permits. This also makes optimization in TS significantly slower. (I nearly always do manual optimization checks in TS with EWFO if I sell a system)
there are only 2500 systems per test, but two tests per indicator build (short cut method I wrote about earlier)
GSB needs to new features to maximize this sort of system
One of them is break even stop.
Im also working on getting atr stop and a new filter.

ATR

Quote: Originally posted by admin

@daniel here is gsbsys2nq Only a filter is being optimized, no other settings are touched, so perhaps not a perfect example Basically there is a 18% reduction in the amount of trades and a $500 in total increase in NP equity curves are very parallel Note that in run 2 and 4 only, the input value of 0.2 made this filter pass all trades but when the filter kicked in in most other runs 0.06 was a fairly consistent value atr value of 0.42 and above pass 100% of all trades

The long only 23 x 5.5 nq systems ideal environment is a over sold market that has long term reversals
On a monthly basis, all 3 of these are at new monthly highs. (1 at new daily highs)

More research has show
20 &60 min bars work just as well.
20 min will be slower to build, need even more ram but give better liquidity as 2 of 3 orders are not at the end of 30 min bar.
60 min is faster, but means all orders are at the end of the 50 min bar, which is not good for liquidity
Whats also different compared to some other GSB systems is the DailyClose price which is used is at midnight or 5pm sunday while GSB intra-day systems that use closeD (not all of them do)
use a 3pm close.
Couple that with the fact that they are longer term systems, means you have got some good diversification.
enclosed are screen shots of my first systems. These are basically the same system but 2 nq, 1 es, 1 nq is 23 hour day, 1 nq is 22 hour day and parameters differ a little.

Here is a system a GSB user sent me this week.
Here where it differs from what ive spend much of the last month on
Its '@es.d 830 to 1515 30 min data while i have been on @nq 23 hour 5.5 days 30 min data
I think all else is the same. Profit target, stop, breakevenprofit lock, secondary filter

Note also how the last few years are the best in history since 1997
out of sample since February 2022 and all years before 2007

a few minor things
the session i used for building 23 x 5.5 day systems was not correct
i used one that end with 23:59
It should match whats used in ts chart.
It wont affect results massively but they wont match gsb to ts for this reason.

There is a bug in the hull moving average filter. While it improves the result using it, i suspect the end of session was closed, not the midnight close.
Bug only shows on 23 hour data, not day session data. I expect the fixed version to have further improved results

Much of the week was spent on 23 hour nq systems, and I learnt a fair bit and made numerous variants of the same system that give significantly different results
see correlation table

Coming soon
I have made significant break through on crude oil day trading systems, though much of the concept is from another GSB user.
CL systems are fast to make, and seem to have high chance of having good out of sample results in unseen data

Here is the original system


the wf is another system that I built today.

Likely in the next release, I will include the default settings for these cl systems.
You must be on the 2024 may GSB resource manager to get this update. (in private forum)

SO much has been happening.. hard to get time to write it all down.
GSB users will range from people who run default settings, to those who via GSB automation run exhaustive checks on new markets, or re-explore old markets.
There are many secondary filters that can be tested, and an exhasutuve test via gsb can be done, but its very cpu intensive to do.

I have a hybrid appoach i used on CL.
I built CL systems with a very good setup. Recorded the top 10 indicators of what was a good run.
Then I built 10,000 systems with these same 10 inidcators, but all secondary filters enabled.
Here are the results
From this I take the top ones, and test one at a time in gsb automation

I think CloseLessPrevCloseDBpv is the best SF for the day of week CL systems (a significant improvement I found this week)
but my previous best sf CloseLessPrevLowDPrevCloseD is number 76 on the list

Doing this is best left for the GSB user who knows GSB well, and has lots of CPU power. Eventually what is learnt will make its way into the default settings
GSB automation has been updated today to allow import of SF from GSB into GSBautomation sf list

A question

This was my first system from my results. It will be for sale soon
the WF is as good as WF ever get

test 1 is the gsb equivalent of ts accumdist(ticks) and test 20 is ts accumdist(ticks)

so we can see one test that massivly better, and another 2 thats greatly better.

This system used was a 3 inidcator system, with the other two indicators removed

for aic (any indicator cross systems) you can just comment the line, and you will see the results of jsut the one inidcator.
//v2=inidcatorx; {the // is a comment which removes the line}
//v3=inidcatory;


for entry type cross you can change this line

result = Sign(Sign(vn1) + Sign(vn2) + Sign(vn3))* Absvalue(result);

to
result = Sign(Sign(vn1) + Sign(vn2) + Sign(vn3));
and then comment out v2=... and v3=..

tips for expert traders.
GSB is not a black box, so dont treat it like it is.
Here is an example
for ES/NQ AIC (any indicator cross) is the best entry types.
this means any of 3(default) indicators cross, you get a trade.
What happens if you use 5 inidcators? So many indicators are true, bad indicators get less significant - but are still active and you get higher chance of systems with inidcators that are bad and give negitve, or erratic postive results
thats why I will test every inidicator, one at a time too see the equity curve
ie
v1 = GSB_S2R2LessClosev2 of Data(i1Data);
v2 = GSB_Dist(Ticks) of Data(i2Data);
v3 = GSB_LessCloseS1R1v2 of Data(i3Data);

change to
v1 = GSB_S2R2LessClosev2 of Data(i1Data);// and note the np, dd , pf here etc
//v2 = GSB_Dist(Ticks) of Data(i2Data);
//v3 = GSB_LessCloseS1R1v2 of Data(i3Data);

repeat for v2, and v3

if you have one of the many stop methods as well as fixed stop, what happens if you remove it from the code?
if it makes little difference, then remove the logic.
Trading systems should be as simple as possible


unrelated
Im re-doing nq & ES day trading. Any contribution of workers appreciated - and I will send you results of the outcome. Please give me you share key so I can use your workers
here is an example of work so far. Test of 126 secondary filters. I had also done bar interval and session times, and trading times

Ive had an extremely fruitful week of research
Ive tested 195 different secondary filters on es nq, long , short and long and short
What ive learnt is
We have many secondary filters, different for long, different for short and different for long & short
Day of week bias's seem to be consistent over numerous secondary filters (a good sign)
Massive improvements in results can be found by using DOW filters.
New release of gsb automation has totally programmable dow patterns
ie you can do
tue LngSht Wed LS Fri Lng
then
Mon Sht, tue Sht Wed LS Fri Lng


So what does this look like at the end of the day
lets say nq 30 min system suing highlowless3 secondary filter and filter closelessClosedBPV
this gave 102 systems in my favorites B

With the correct DOW LS mask, we got 170 ave systems in Fav B

However with the best secondary filter I found so far, and best DOW LS mask I got 268 systems in favorite B

GSBshort2nq series are finished, but not tidied up for sale. IE documented, auto detect for micros etc, paypal link etc
However im keen to roll them out, especially as October statistically tends to be a bearish month and the market is over bought. Many indexs are above or at all time new highs
This also is good for Bounce, which loves the violent retracements of a bear market
https://trademaid.info/gsbhelp/BounceES-NQ-DAX-RUS-DOW.html
enclose are reports of GSBsys2short series (7 systems in the family)
The systems are on special for this month at $600 for the entire family
As there is no paypal link, you can just buy another system for $600, and send me an email that you want the GSBNQshort2 series.
These systems are quite different to what will eventually come out when the short only day trading nq systems are done.
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Hi Carl.
thank you. You should be a data analyst.
this looks like my results are correct.
do you know how to "Use regression or feature importance analysis to identify which metrics contribute most to AB."?

i want to do one or two more test of this to confirm results again to get some more data sets.
Likely done monday

Peter, Carl, interesting for linear correlations could also be the Pearson Correlation in Excel and I hope that I will find out how to attach files soon . Feature importance helps to improve machine learning predictions, both could benefit from using more lines of data. Happy to contribute as well!

Hi Frank
to attach files, make a new post, do preview post and then attach files.


Here are the results of my tests. - different set of systems. Very successful proof of concept.

Setup is a good nq short only settings I have been working on for some time.
Too make it degrade a bit more than my best settings, I did a one pass build with all 200 indicators (numerous indicators not released, and some of them might work poorly), not the recommend 2 pass method using the top 10 indicators.
I verified with 15 20 40 60 minute nq data. This data was by far the best data to verify systems with compared to the others I used.
Even the worst of these systems likely are good, but we get a 12 to 19% improvement in fitness (np*at)
I suspect if there were more poor systems, the improvement would be better.

I made this system using the "nq-23Hours_SF.bpvNotNorm_pt6500-t21430-No-Tuethur23hr-SysBuild" settings, but changed secondary filter to be false, and used filter RSIDlyClose
This filter makes daily bars from the intra day 30 minute bars (data1)
I had to update the nq data file as i got match check errors with gsb <> ts
It looks like there are a number of variations of the above setup that can be done.
IE secondary filter RSI (which is working on 15 minute bars, not emulated daily bars)
The finished system is shown here too on the right side graph
All results include 2 ticks slippage and $4.80 commission round turn.
Systems were made by the ususal 2 pass method and using the macros on the nq-23Hours_SF.bpvNotNorm_pt6500-t21430-No-Tuethur23hr-SysBuild file (m1,m2)

coming.... pivot stop and limit orders
This was the very first system I looked at, just chosen from building systems with no indicator pass etc

also here is a system from the recent release of stop entry systems.
Im going to pull every module of this code apart and see if it can be improved, or if there is bad logic.

Ive had very interesting research results this week.
Experimented with the stop / limit / pivot results on Nasdaq futures and Gold Futures
Significant improvement in results - though NQ has not changed since the settings released about 2 weeks ago.
What is interesting is GC results have different entry type to NQ, and best normalization method is also different. Still doing more testing on them.
Enclosed one system I found on GC.
Very unusual in that it gave 100% parameter stability - part of the reason is the indicators dont have parameters, but they do have weights.
Here is the original system found in GSB and the system in TS. TS has 2 ticks slippage round turn + $4.80 brokerage. (gsb zero slippage)

For some years I have a someone subjective concept that I allocate more leverage to markets thats are going well. Elephant in the room is they may be going well today but not tomorrow.

One clue is market volatility, but keep in mind volatile markets dont always trend well. One comment from president Trump can break or spike any trends was the pattern earlier this year
Hope you like these graphs
Whats going well is gold systems, many Nasdaq long only systems, and Nasdaq / ES mean reversion systems. I have a number of MR systems I will sell when time permits
my PL for last month reflects this.
eminis were used only for some day trading systems. Longer term systems and mean reversion systems used micros.

Most but not all of the profits came from the GSB gold systems here
https://trademaid.info/gsbhelp/GSB_GoldSystems.html


Im also revisiting the setup of long only Swing NQ systems testing other normalization modes and the many new stop entries we have. Its very cpu intensive to will take me a few weeks. Anyone got workers to contribute, send me an email. Thanks in advance for this.
While these swingnq60 systems have gone fairly well, i suspect we can improve the setup significantly.
https://trademaid.info/gsbhelp/GSBSWING60-23NQ.html

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Quote: Originally posted by admin

Major Product release coming. This is the high level compressed version in the video. Feedback welcome Have done some things no one has yet done. AI direct to ELD in your TS Ai has been taught to do Easy Language (its very poor otherwise) Export all ELD to txt to be read by AI, use for Git version tracking etc txt to ELD Import .tsw files into batch processor, and output with a click of a button to PA pro or alternative program If you want to be a Beta tester, let me know. Im 1 or 2 weeks away from pre-release build. All of this is working now though Early bird discounts will apply

Ive had very good success with AI and building a system
Here is GC and NQ system, out of sample 1.1.2025
Zero slippage used. I know thats bad practice but this is from my production machine which I have to keep slippage on zero for slippage tracking.
same system different paramaters. Not easy to get a system on Gold that works on NQ
Have done 80% of the next video. Entire week spent on it. Im very excited about this.

Quote: Originally posted by admin

Ive had very good success with AI and building a system