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General support questions.

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Daniel UK1 - 1-7-2021 at 06:03 AM

Quote: Originally posted by admin  
Quote: Originally posted by Daniel UK1  
Hi Nick,

I believe this wording at IB creates the issue i am mentioning.
So as far as my understanding, you can close out positions, but you can not open a new trade, "within 5 days to expiry of closing contract"

And i Believe IQ rolls 3 days before contract ends for CL.

"Additionally, beginning five business days prior to expiration, only margin-reducing transactions in expiring month contracts will be accepted for oil-based products eligible to trade at negative prices."

https://www.interactivebrokers.com/en/index.php?f=deliveryEx...


I think this is correct. in ts the correct symbol for cl (via ib) is


Hi Peter, Yes one can solve this by using custom contract you show in TC, we can also do this in MC, but this is more about if one wants to use the adjusted or non adjusted symbol IQ qcl c or just qcl,
I am pointing towards the regulation that no new positions is allowed in CL if trading with IB, after -5 days before contract ends. And IQ rolls 3 days for CL as far as i know, meaning that iif you wait for IQ rolls, you have 2 days where your orders for new positions will be rejected by IB if you waited to roll when IQ rolls.

This is my understanding based on the text on IB page, in my link above.

Perhaps someone else have a different or better understanding than me about this.

REMO755 - 1-7-2021 at 06:43 AM

Hello, the information is difficult to understand, sorry.

Can you give the name of the macro that makes the 300 and then the families?

Thanks.

Daniel UK1 - 1-7-2021 at 08:18 AM

Quote: Originally posted by REMO755  
Hello, the information is difficult to understand, sorry.

Can you give the name of the macro that makes the 300 and then the families?

Thanks.


Remo, if i understand you correct, you want to know the macro that places the system top 300 OOS in B and then top families in in C, you will find that in macro calledNQ_is2016 etc...

You then if you follow peter, change top 300 in B to no TRD Dates,then look at the OOS results, and based on that WF the systems you find interesting.. or you do this only with the ones in C.. As you like..

Wf is manual done of the ones you want to WF, remember to change dates back and Nth day to all before WF thought.

I think peter will fill in if something is missing.

REMO755 - 1-7-2021 at 04:23 PM

Thanks Daniel,

I have to understand this part, you say:
Remember to change the dates back and N-day for everyone before WF thought.

I do not understand this, what is it for?

admin - 1-7-2021 at 10:30 PM

Quote: Originally posted by REMO755  
Thanks Daniel,

I have to understand this part, you say:
Remember to change the dates back and N-day for everyone before WF thought.

I do not understand this, what is it for?


the macro might leave dates say from 20200630 to 20210631
This is not what you want to wf.
make sure all dates are used in the wf, and nth is on all. (likely to be the case)
when you look at a system on the graph, it should go from 1997/2000/2007 etc to
say 2020 before wf is done

REMO755 - 2-7-2021 at 11:48 AM

Quote: Originally posted by admin  
Quote: Originally posted by REMO755  
Thanks Daniel,

I have to understand this part, you say:
Remember to change the dates back and N-day for everyone before WF thought.

I do not understand this, what is it for?


the macro might leave dates say from 20200630 to 20210631
This is not what you want to wf.
make sure all dates are used in the wf, and nth is on all. (likely to be the case)
when you look at a system on the graph, it should go from 1997/2000/2007 etc to
say 2020 before wf is done


Sorry, I don't understand this part well

What is the difference between All, NoTrd or Trd?

REMO755 - 2-7-2021 at 11:48 AM

Quote: Originally posted by admin  
Quote: Originally posted by REMO755  
Thanks Daniel,

I have to understand this part, you say:
Remember to change the dates back and N-day for everyone before WF thought.

I do not understand this, what is it for?


the macro might leave dates say from 20200630 to 20210631
This is not what you want to wf.
make sure all dates are used in the wf, and nth is on all. (likely to be the case)
when you look at a system on the graph, it should go from 1997/2000/2007 etc to
say 2020 before wf is done


Sorry, I don't understand this part well

What is the difference between All, NoTrd or Trd?

portfolioquanttrader2020 - 2-7-2021 at 12:58 PM

They are used to configure the training periods inside and outside the sample.
Trd: it is a configuration that tells you that between the dates you build the system you are going to trade, that is, you train the system with that data, they are sample periods.
Ntrd: it is a configuration that tells you that between the dates that you build the system you will not trade, that is, they will be out of sample.
ALL: are the periods within the sample and outside the sample.

bud67 - 3-7-2021 at 06:14 AM

Sometimes when i do a WF @BestWorker I get exceptions like these:


It's only happening with the ES example not the NQ.


Unbenanntneu.jpg - 51kB

portfolioquanttrader2020 - 4-7-2021 at 03:18 AM

Hi Peter
I give you the results of the complete process of building a NQ system.
Do you detect an error in the process? Can you audit it for me?
In terms of systems, I think it is good for us, very unstable. It is right. Do you have any guide to interpret wfo results? I know you have a video, but don't you have a guide?

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portfolioquanttrader2020 - 4-7-2021 at 03:32 AM

Peter all those zeros that are parameters, why are they zero?

WhatsApp Image 2021-07-04 at 04.12.01.jpeg - 135kB

REMO755 - 4-7-2021 at 07:53 AM

Hello,
Is it possible to do this in GSB and then replicate in TS?

Hours 03:30 - 7:30
EC data 15. Regular. Exchange
MOC @ 730

GSB everything is perfect, departures 7.30, ok, when I import code in TS the departures are not at 7.30, the departures are at the close of the day.

That's wrong? It's a mistake? Something badly established? Where is the problem?

Funcionamiento.JPG - 467kB

Carl - 4-7-2021 at 08:00 AM

I think your TS session differs from the session used in GSB.

REMO755 - 4-7-2021 at 09:29 AM

Quote: Originally posted by Carl  
I think your TS session differs from the session used in GSB.


Hi carl


It is the usual time of the session.

The problem is that MOC 07.30 does not coincide with the closing time of the day, so TS does not replicate the code well.

I think it is a bug, or maybe I need to configure it differently.




I await Peter's response.

I am checking that when the session time is greater than the closing time of the MOC, TS does not close in MOC and GSB does.

Regular.JPG - 187kB





REMO755 - 4-7-2021 at 09:47 AM

Quote: Originally posted by REMO755  
Quote: Originally posted by Carl  
I think your TS session differs from the session used in GSB.


Hi carl


It is the usual time of the session.

The problem is that MOC 07.30 does not coincide with the closing time of the day, so TS does not replicate the code well.

I think it is a bug, or maybe I need to configure it differently.




I await Peter's response.

I am checking that when the session time is greater than the closing time of the MOC, TS does not close in MOC and GSB does.









Hi carl

Another example Carl, can you do the test?

Data: regular schedule ES of 30 minutes
Times: 08.30-9.00
MOC (market at close): TRUE
Session Moc @ 1230

You will see how GSB closes at 12.3 and TS closes at 16.00


Another example Carl, can you do the test?
Data: regular schedule ES of 30 minutes
Times: 08.30-9.00
MOC (market at close): TRUE
Session Moc @ 08.00-1230

You will see how GSB closes at 12.3 and TS closes at 16.00


Daniel UK1 - 4-7-2021 at 01:42 PM

Quote: Originally posted by portfolioquanttrader2020  
Hi Peter
I give you the results of the complete process of building a NQ system.
Do you detect an error in the process? Can you audit it for me?
In terms of systems, I think it is good for us, very unstable. It is right. Do you have any guide to interpret wfo results? I know you have a video, but don't you have a guide?


Hi 2020, I am not sure its possible to see if your process is off, from what you have sent. As long as you have used Peters dates for getting the main indicators, and then his macros for stats, and based your decisions along the way from a large quantity of systems, and then picked whole families based on OOS (not single systems )and fitness relative to all systems in B, AND then picking systems based on that together with WF stability, you should be pretty ok..... you wf example would not be on top of my list... me personally i would have liked better stablity of a system, also important would be how rest of your family looks like, are they stable etc :).. to feel better with a system you can test on other markets, other timeframes, etc, try to break it

portfolioquanttrader2020 - 5-7-2021 at 02:13 AM

Peter, on what do you base to choose the size of the stop on the Nasdaq?

admin - 5-7-2021 at 02:21 AM

Quote: Originally posted by portfolioquanttrader2020  
Peter, on what do you base to choose the size of the stop on the Nasdaq?

$2000 is likely my stop for most markets.

WHen a system is built you can manually optimize the stop.
last time I did this was $1900 the best, but I figure I like to go a little larger
as out of sample I feel I will get little better results.
Also many markets are extremely volatile right now, and tight stop will hurt profits

portfolioquanttrader2020 - 6-7-2021 at 01:25 AM

Hi peter
I understand that in order to create the methodology for each asset, you do different tests, and you see what works best, and the most robust. And once, you find the most robust and what works best, you write the methodology of each asset.
It is right?

admin - 6-7-2021 at 01:36 AM

Quote: Originally posted by portfolioquanttrader2020  
Hi peter
I understand that in order to create the methodology for each asset, you do different tests, and you see what works best, and the most robust. And once, you find the most robust and what works best, you write the methodology of each asset.
It is right?


Correct. Time consuming to do each market, but then very easy for those that follow using the same settings

portfolioquanttrader2020 - 6-7-2021 at 02:25 AM

Peter, do you think it is possible to know what is the best time of entry and exit in an asset, to create a robust system? Do you think there are robust hourly advantages? In GSB can you investigate the hourly advantages?

Daniel UK1 - 6-7-2021 at 03:50 AM

2020, one idea is to arrive to your initial idea forbest session time by exporting data and look at volume at time.. that would give you an idea, peter has created an indicator for that i believe and kindly shared it,.... after that yuo can use automation to toggle trough your time sessoins, and based on that you can draw you pick what you think is best, and do further testing.... or perhaps you question is not about session times but more entry and exit time?

admin - 6-7-2021 at 04:30 AM

@portfolioquanttrader2020 I think the latest copy of gsb automation allows you to shift the entry time, however in nearly all cases the best entry time is the beginning of the session time used.
THe more important issue is whats the session time.
for es ym nq rty etc that's really simple. GC,DAX much more complex as there can be multiple valid session times

portfolioquanttrader2020 - 6-7-2021 at 04:42 AM


Thanks Daniel
My question refers to hour filters, to look for simple advantages, hourly, I think they are seasonal calls.
Create systems only with hourly filters and an indicator for example.

REMO755 - 6-7-2021 at 04:37 PM

Hello

Default secondary filter ------- Auto mode vs genetic mode, what is the difference?

REMO755 - 6-7-2021 at 04:38 PM

Hello

Default secondary filter ------- Auto mode vs genetic mode, what is the difference?

admin - 6-7-2021 at 05:04 PM

@portfolioquanttrader2020 Such filters have been planned a long time ago and are high on the programers job ques. Better exits will be first.

admin - 6-7-2021 at 05:08 PM

Quote: Originally posted by REMO755  
Hello

Default secondary filter ------- Auto mode vs genetic mode, what is the difference?


This is a very important question.
By far the biggest errors GSB users made (and there are many) is having the wrong SF.
Inidicators were using closelessClosedBpv {not normalizied} and other markets like energies use closelessClosedBpv {Normalized}
This is critical to get right. So it was coded under contracts what one to use.
Trial users were locked out from changing this.
Now however we use CloseToHighLow3V4 secondary filter for inidices.

portfolioquanttrader2020 - 7-7-2021 at 12:36 AM

Peter did the tests by changing the fitness and stop to 3000, and these were the results of the best member of the family. Rest of family members 13 exceed the stability of 50 percent.
Tell me if they seem like good metrics

Sistema elegido.JPG - 320kB

portfolioquanttrader2020 - 7-7-2021 at 12:40 AM

In the secondary filter I have put geneticalgoritm, to build systems in nasdaq. Should I have set CloseToHighLow3V4?

admin - 7-7-2021 at 12:47 AM

Quote: Originally posted by portfolioquanttrader2020  
Peter did the tests by changing the fitness and stop to 3000, and these were the results of the best member of the family. Rest of family members 13 exceed the stability of 50 percent.
Tell me if they seem like good metrics

looks reasonable, but the second mber in sample and likely out of sample is even better

using the WF parameters, you can also see how its done on more recent data


good.png - 470kB

portfolioquanttrader2020 - 7-7-2021 at 12:59 AM

It does not have many trades. How many trades do you consider reasonable. The ZoneTrader I think has more than 1000
Is there any way to get more trades?

admin - 7-7-2021 at 01:07 AM

Quote: Originally posted by portfolioquanttrader2020  
It does not have many trades. How many trades do you consider reasonable. The ZoneTrader I think has more than 1000
Is there any way to get more trades?

tweaking the SF netrylevel down will give more trades but likely not better profit
after slippage and commison

you can add multiple systems on the same chart.
make sure you have setstopshare; in the ts code if you pyramid.

in time I will sell a very active NQ systems. Im just establishing a track record

portfolioquanttrader2020 - 7-7-2021 at 01:41 AM

How can I save the systems that I have chosen?

Daniel UK1 - 7-7-2021 at 08:46 AM

Quote: Originally posted by portfolioquanttrader2020  
How can I save the systems that I have chosen?


Hi, Right click on system and click save

REMO755 - 7-7-2021 at 05:09 PM

Quote: Originally posted by admin  
Quote: Originally posted by REMO755  
Hello

Default secondary filter ------- Auto mode vs genetic mode, what is the difference?


This is a very important question.
By far the biggest errors GSB users made (and there are many) is having the wrong SF.
Inidicators were using closelessClosedBpv {not normalizied} and other markets like energies use closelessClosedBpv {Normalized}
This is critical to get right. So it was coded under contracts what one to use.
Trial users were locked out from changing this.
Now however we use CloseToHighLow3V4 secondary filter for inidices.


So how do I choose if I want normalized or non-normalized?

REMO755 - 7-7-2021 at 05:09 PM

Quote: Originally posted by admin  
Quote: Originally posted by REMO755  
Hello

Default secondary filter ------- Auto mode vs genetic mode, what is the difference?


This is a very important question.
By far the biggest errors GSB users made (and there are many) is having the wrong SF.
Inidicators were using closelessClosedBpv {not normalizied} and other markets like energies use closelessClosedBpv {Normalized}
This is critical to get right. So it was coded under contracts what one to use.
Trial users were locked out from changing this.
Now however we use CloseToHighLow3V4 secondary filter for inidices.


So how do I choose if I want normalized or non-normalized?

If I select Genetic? Are they normalized and Auto is not normalized? It is right ?


admin - 7-7-2021 at 05:48 PM

@remo.
Your asking very good questions.
Genetic is always normalized
closedcloseBpv is never normalized

extra useful comment
you can have normalzied secondary filter say CloseToHighHLow3
with not normalized closedminuscloseDbpv as follows
this is the default settings for nq / es /ym /{tf??}



tf1.png - 205kB

Daniel UK1 - 8-7-2021 at 12:58 AM

Peter, i see you are utilising Tertiary filter in your example, have you started to test with that ? before this was never used by yourself if i remember correctly.

The tertiary setting as "1" in left side GUI, should not have any affect on other than to allow N amounts of the tertiary filters set to "true"by user in the indicator popup window, riiiiight ?

However in your example you have tertiary set to 1, despite having set 0 indicators to true as tertiary filter, in indicator popup confuses my logic.

Thanks

REMO755 - 8-7-2021 at 04:28 PM

Hello,

When looking for the best indicators, is it better to use All or NoTrd?

admin - 8-7-2021 at 05:13 PM

Quote: Originally posted by REMO755  
Hello,

When looking for the best indicators, is it better to use All or NoTrd?


The methadolgy works and it will be hard to improve it (its possible but not easy)
using ntn no trade pre build, and nth all post build.

Changing this will degrade results greatly

Daniel UK1 - 12-7-2021 at 12:59 AM

Peter, how would one go about feeding GSB with daily OHLC bars ?
Not derived from minute bars though (since daily bars history is better)

The price file name must be correct, but there seesm to be no support for day, inly minute sconds, ticks etc

Also the time settings in GUI, if one is using daily bars, what should these be set to? session template ? contract setting?

You see, many questions :) ... i though it would be an easy endevour .. but was for sure not

admin - 12-7-2021 at 01:08 AM

Quote: Originally posted by Daniel UK1  
Peter, how would one go about feeding GSB with daily OHLC bars ?
Not derived from minute bars though (since daily bars history is better)

The price file name must be correct, but there seesm to be no support for day, inly minute sconds, ticks etc

Also the time settings in GUI, if one is using daily bars, what should these be set to? session template ? contract setting?

You see, many questions :) ... i though it would be an easy endevour .. but was for sure not

Good question.
Depends if they have time in them
if they are
date,time,o,h,l,c then all ok
if date,o,h,l,c then I put into excel, and add a coloumb of time 15:00 etc
whats also important is , secondary filter must be disabled and MOC exit off
session 24x7.
GSB works on daily bars, but i have done almost zero work on them. My focus is intraday or intraday swing systems

Daniel UK1 - 12-7-2021 at 01:17 AM

Thank you, what should pricefile be named as ? since day is in filename is not supported.

Also multiplier, x1 ?

What makes me wants to try this is the historic data avaliiable to use, that is not possible to get with intraday.
Also less noise. Lets see stats, might be a disaster :)


admin - 12-7-2021 at 01:20 AM

Quote: Originally posted by Daniel UK1  
Thank you, what should pricefile be named as ? since day is in filename is not supported.

Also multiplier, x1 ?

What makes me wants to try this is the historic data avaliiable to use, that is not possible to get with intraday.
Also less noise. Lets see stats, might be a disaster :)


its worth trying.
you can use any minute period you like I think
ie 405 minute
Likely you need long only, depends on the market.

I dont like daily bars. Also had ts signals change on me after the fact. But that can happen intraday too to be fair. A lot of this is a personal preference.

Arndt - 12-7-2021 at 02:50 AM

Hi,
I try to get all available indicators activated. is there a macro available or any hint I can do this?

Looking forward you your reply! Thanks!!

Daniel UK1 - 12-7-2021 at 05:03 AM

Quote: Originally posted by Arndt  
Hi,
I try to get all available indicators activated. is there a macro available or any hint I can do this?

Looking forward you your reply! Thanks!!


If i have not misunderstood your question,
mark first indicator and then last one while holding shift, then set to TRUE, and all indicartors is now activated.

Dont know of any macro to do this..

admin - 12-7-2021 at 05:26 AM

the issue I think is Arndt doesnt have all the beta indicators
see this url for that.
https://trademaid.info/forum/viewthread.php?tid=249

Daniel, your tip is likely useful for a lot of users who didnt know how to do that

REMO755 - 17-7-2021 at 01:08 PM

Hello,
What am I doing wrong? W.F Current seems wrong

1.JPG - 272kB

Daniel UK1 - 20-7-2021 at 04:09 PM

Multicharts users, have any users come across the painfull IB rejection of order message "Order rejected due to crossing of resting order"
I am getting this when running multiple strategies in same symbol on same account that sometimes can be long and short same time. Since its an resting order, i dont believe it make sense to IB to reject any new orders. Have any MC users found a solution or come across this issue ?

Peter do not have this issue despite using IB because he is running his very compentent ib link api that sorts this out, but for the rest of us mortals using IB as broker, running a swing system long with stops and targets, and then next day you get a short in same market and account with a stop, you will get this message with a potential trade issue.

If IB would leave the orders and not rejecting them, it would net out as it should.

just a heads up




admin - 20-7-2021 at 04:58 PM

Quote: Originally posted by REMO755  
Hello,
What am I doing wrong? W.F Current seems wrong

It took me some time to think this through. Had the same issue myself recently.
but I found it on a other market
wf has done well. It current fitness is significantly increased.
However this is a poor end result in other metrics.
My conclusion so far is this fitness is not good for WF
If this is the case for all or most your nq systems, we will have to not use this fitness for building or wf systems.
save the system(s)
You can open a new manager,
change fitness to np*at {for example} then wf again
Im not sure this will work, but suspect it well.

At the heart of the issue is, i suspect fitness with mfe or nplateentry causes this issue

ftiness-nq.png - 158kB

admin - 20-7-2021 at 04:59 PM

Quote: Originally posted by Daniel UK1  
Multicharts users, have any users come across the painfull IB rejection of order message "Order rejected due to crossing of resting order"
I am getting this when running multiple strategies in same symbol on same account that sometimes can be long and short same time. Since its an resting order, i dont believe it make sense to IB to reject any new orders. Have any MC users found a solution or come across this issue ?

Peter do not have this issue despite using IB because he is running his very compentent ib link api that sorts this out, but for the rest of us mortals using IB as broker, running a swing system long with stops and targets, and then next day you get a short in same market and account with a stop, you will get this message with a potential trade issue.

If IB would leave the orders and not rejecting them, it would net out as it should.

just a heads up




not using PT might help, or delaying one order when you have two at the same instant may fix it. Probably hard for you to do in practice.

PRONOS - 20-7-2021 at 10:45 PM

So far I have not had this message. Perhaps it is due to the following setting in the "Strategy Properties" in Multicharts. Select "Async" under "Mode Selection".

admin - 20-7-2021 at 10:52 PM

Quote: Originally posted by PRONOS  
So far I have not had this message. Perhaps it is due to the following setting in the "Strategy Properties" in Multicharts. Select "Async" under "Mode Selection".

The triggering cause is going long and short at the same instant

PRONOS - 21-7-2021 at 12:56 AM

Where I can find function "GSB_DecisionExit7"?

Thank you!

admin - 21-7-2021 at 04:31 AM

see the eld GSB_SCRIPTS_2021_7_18+WITHUPDATEDGSBSYS1ES_V1.21.ELD
It should be in c:\gsb and C:\GSB\Supplementary Scripts (TS & MC)\
Only needed if you use the exits and my limited testing shows these are only good for swing trades. (non market on close systems)

admin - 21-7-2021 at 05:04 PM

Correction, Thats not totally correct. I will ask my programer. I get the message from time to time, but its completly taken care of in iblink.
Got it today and I did not go long and short at the same time

engtraderfx - 25-7-2021 at 04:06 PM

Hi all, does anybody have issues opening the mht tradestation reports files? Its been going for a while now, when open the file, i get the menu but when select a link just opens a blank page. Have tried multiple brownsers & even a mht viewer but nothing??? cheers, Dave

admin - 25-7-2021 at 04:37 PM

Quote: Originally posted by engtraderfx  
Hi all, does anybody have issues opening the mht tradestation reports files? Its been going for a while now, when open the file, i get the menu but when select a link just opens a blank page. Have tried multiple brownsers & even a mht viewer but nothing??? cheers, Dave


works fine, but only through internet explorer. Nothing else works.

engtraderfx - 26-7-2021 at 12:13 AM

Quote: Originally posted by admin  
Quote: Originally posted by engtraderfx  
Hi all, does anybody have issues opening the mht tradestation reports files? Its been going for a while now, when open the file, i get the menu but when select a link just opens a blank page. Have tried multiple brownsers & even a mht viewer but nothing??? cheers, Dave


works fine, but only through internet explorer. Nothing else works.


thanks, it was a bit of drama getting ie11 reinstalled but that did the trick. Cheers.

Daniel UK1 - 26-7-2021 at 02:54 AM

Quote: Originally posted by admin  
Correction, Thats not totally correct. I will ask my programer. I get the message from time to time, but its completly taken care of in iblink.
Got it today and I did not go long and short at the same time



Interesting Peter, would it be possible that your programer can share the solution ? Perhaps the solution your programer implemented can help.

This issue is a real issue for anyone trading outside of TS, such for example with IB. I have not been able to find a solution yet.


admin - 27-7-2021 at 02:18 AM

Quote: Originally posted by Daniel UK1  
Quote: Originally posted by admin  
Correction, Thats not totally correct. I will ask my programer. I get the message from time to time, but its completly taken care of in iblink.
Got it today and I did not go long and short at the same time



Interesting Peter, would it be possible that your programer can share the solution ? Perhaps the solution your programer implemented can help.

This issue is a real issue for anyone trading outside of TS, such for example with IB. I have not been able to find a solution yet.



I think it involves custom api programing, but not using profit targets will help.
Also if you can put your systems on one chart, and code a solution for going long / short at the same time.. that might work.
IB dont let you trade against yourself. I think the logic is brokers could abuse this to generate commission for themselves

Daniel UK1 - 27-7-2021 at 03:10 AM

Thank you, yes its tricky.

Problem is crossing resting order (stop or trg) target emulation locally helps, but stop in place resting at broker will still cause problems, and even if removed it would still be problem.
Issue is at entry time (since both long and short can happen at same time from different systems) and more probable at session close when all systems need to close positions at same time, then you will have shorts and longs covering at SAME TIME, resulting in rejection of your orders from your broker in this case IB.

I am surprised no other seems to have same problem or at least not engaging in topic.

My solution so far, would be to compose one portfolio trading longs in my systems, and another one trading shorts from same systems, and using two separate accounts... this is the easiest solution i think.


admin - 27-7-2021 at 04:59 AM

Daniel, im not convinced two accounts will help at all. IB detect that you are trading against your self
Iblink does virutal exits if it was long and short at the same time.
GSB systems very rare to trade oposite directions.
shift your exit times to a few second apart would help too, but hard to do with no API.
THere must be a lot on google over this issue

SwedenTrader - 27-7-2021 at 12:25 PM

Quote: Originally posted by Daniel UK1  
Thank you, yes its tricky.

Problem is crossing resting order (stop or trg) target emulation locally helps, but stop in place resting at broker will still cause problems, and even if removed it would still be problem.
Issue is at entry time (since both long and short can happen at same time from different systems) and more probable at session close when all systems need to close positions at same time, then you will have shorts and longs covering at SAME TIME, resulting in rejection of your orders from your broker in this case IB.

I am surprised no other seems to have same problem or at least not engaging in topic.

My solution so far, would be to compose one portfolio trading longs in my systems, and another one trading shorts from same systems, and using two separate accounts... this is the easiest solution i think.






Just want to add that im using TS for both brokerage and platform and i have no issues when different systems go short and long the same time in the same market, it will just show "flat" position until one of the systems exits by target,stop or other exit like EOD. This is even a good thing since you are not using any purchasepower in the mean time. Including swing systems, intraday systems both with stop orders held or not the end result is the same like trading them separate on different accounts. i Cant comment on IB but at TS its no problem.



admin - 27-7-2021 at 04:22 PM

@swendentrader. Thanks for your comments. This is not the case with IB, and there are many reasons why IB is used rather than TS.
Its a very personal decision like going PC or Mac, Andriod vs Apple

portfolioquanttrader2020 - 27-7-2021 at 10:54 PM

Peter I am building in gold, but the 57 systems only appear to me with data from 2018
why
which is the correct macro

Gold.JPG - 328kB

portfolioquanttrader2020 - 27-7-2021 at 11:28 PM

Hello, is there a problem that the training hours do not coincide with the contract hours?

Gold.JPG - 37kB

portfolioquanttrader2020 - 27-7-2021 at 11:28 PM

Hello, is there a problem that the training hours do not coincide with the contract hours?

Gold.JPG - 37kB Gold.JPG - 37kB

admin - 28-7-2021 at 01:22 AM

Quote: Originally posted by portfolioquanttrader2020  
Hello, is there a problem that the training hours do not coincide with the contract hours?


not a great issue
if data is 830 to 1500 and data session hours are 00 to 1400
then we can enter from 00 to 1400 (in practice 830 to 1400)
but cant enter after 1400

Daniel UK1 - 28-7-2021 at 02:23 AM

Quote: Originally posted by portfolioquanttrader2020  
Hello, is there a problem that the training hours do not coincide with the contract hours?



2020, you always want to set the end time in left side gui to end before your actual session ends, if not you could have entry exit same time at sessioin close, in other words you can get a signal just about as market closes and then your systems closes that position, no need to feed CME with more commissions than needed :)

The time settings in left side gui, is only controlling when your trades are allowed, the session time data used in price settings are used when building your system.

portfolioquanttrader2020 - 28-7-2021 at 12:07 PM

Hi peter
I have built a system in gold and cannot replicate it in TradeStation.
It is located on my server.

// Settings
// Platform: TradeStation
// Script Mode: LiveTrading
// ID: 20210727-150235-805306-8p2CD / WF:20210727-235714-982657-Ypbp6
// Info: File Name Prefix: , Comment: , App Settings: defaults.gsbappset, Opt. Settings: GC30-AdvancedModeOn_GReen.gsboptset, Workplace Manager's ID: YO0f7w4Nmq7RRUi4c.20210727-165555-066405, Manager's GSB Version: 1.0.62.77 / 2021-07-19, Worker's Instance ID: W9mDS9MDxEXYr3vke, Worker's GSB Version: 1.0.62.77 / 2021-07-19, Worker's Machine Name: GSB3_XEON2690V2
// Price Data: GC_230_1230_CENTRALUSATIME: (Data1: GC\gc.1.minute.0000_1500_localTime-centralTimeUSA.txt (Mult.: 30, Session: "0230-1230"))
// MaxBarsBack: 500
// Profits Mode: Currency
// Quantity: 1
// Quantity Mode: FixedShareContracts
// Trading Dates: 2017-07-01 - 2020-12-31
// Trading Dates Mode: All
// Trading Nth Day: 1
// Trading Nth Day Mode: All
// Exit Stop Loss: 2000
// Exit Profit Target:
// Exit Minutes:
// Exit Bars:
// Fitness Criteria: NetProfitOverDrawdown
// Entry Type: Cross
// Commission: 0
// Slippage: 0
// Reports Commission: 0
// Reports Slippage: 0
// Commission Mode: TradePerSide
// Slippage Mode: TradePerSide
// Positions Allowed: LongAndShort
// Max. Entries per Day:
// WF Type: GeneticAlgorithmMultiThreaded
// WF # of Random-Space Tests: 10000
// WF GA Generations: 100
// WF GA Population: 100
// WF Anchored: True
// WF OOS %: 20
// WF Runs: 10
// WF Search Space: Nearest
// WF Nearest %: 50
// WF Fitness Criteria: NetProfitOverDrawdown
// WF Result:
// Optimization/Original 111 68 1 0.5 1.25 3 3 100 1 10
// 1 62 30 1.25 1 1.25 1 1 100 1 42.5
// 2 71 87 1.25 0.75 0.75 6 6 100 1 32.5
// 3 71 87 1.25 0.75 0.75 6 6 100 1 32.5
// 4 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 5 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 6 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 7 75 91 0.5 1 1 6 6 100 1 32.5
// 8 75 91 0.5 1 1 6 6 100 1 32.5
// 9 75 91 0.5 1 1 6 6 100 1 32.5
// 10 75 91 0.5 1 1 6 6 100 1 32.5
// Current 75 87 0.5 0.75 1.5 5 5 100 1 22.5
// Params. Rol. Stability Coarse: 84
// Params. Anc. Stability Coarse: 78
// Equity Bollinger: 90.0%
// Equity Pearson Exact: 10.0%
// Equity Pearson Close: 90.0%
// Equity Spearman Exact: 0.0%
// Equity Spearman Close: 80.0%

// Manager's GSB Version: 1.0.62.77 / 2021-07-19
// Worker's GSB Version: 1.0.62.77 / 2021-07-19

// Performance (full period)
// Fitness: 20.29
// Net Profit: 136,530
// Commission (in $): 0
// Drawdown: -6,730
// Avg Trade: 191.76
// Percent Profitable: 56.04
// Pearson: 0.959
// Profit Factor: 1.81
// Trades Count: 712
// Net Profit / -Drawdown: 20.29

// Performance (walk-forward)
// Params. Rol. Stability Coarse: 84
// Params. Anc. Stability Coarse: 78
// Equity Bollinger: 90
// Equity Pearson Exact: 10
// Equity Pearson Close: 90
// Equity Spearman Exact: 0
// Equity Spearman Close: 80

// Inputs: // see warning at https://trademaid.info/gsbhelp/Script.html
Vars:
i1Data(1),
i1length(111),
i2Data(1),
i2length(68),
i3Data(1),
i1Weight(1),
i2Weight(0.5),
i3Weight(1.25),
entryParams(3),
iSFData(1),
iSFbpv(100),
iSFWeight(1),
sfEntryLevel(10),
stopLossValue(2000);

// If the statement below does not compile, please import the latest script file from C:\GSB\GSB (Managers)\TradeStation Code\GSB_Scripts_2021_07_04.eld
Once
Begin
Value1 = GSB_Scripts_2021_07_04;
End;

// MaxBarsBack check
Once (MaxBarsBack <> 500)
Begin
RaiseRunTimeError("MaxBarsBack (Maximum number of bars strategy will reference) must be set to {0} (from Properties for All button, General tab)");
End;

// Vars
Vars:
id("20210727-150235-805306-8p2CD-WF-20210727-235714-982657-Ypbp6"),
debugScriptPath("C:\GSB\Data\Debugs\20210727-150235-805306-8p2CD-WF-20210727-235714-982657-Ypbp6.ts.mgr.bktst.txt"),
dateYmd(0),
timeHms(0),
isSessionOpen(False),
nthDay(1),
lastDate(0000101),
daysCount(0),
weekDay(0),
currentBarDTOHLCV(""),
lastBarDTOHLCV(""),
v1(0, Data1),
v2(0, Data1),
v3(0, Data1),
vn1(0, Data1),
vn2(0, Data1),
vn3(0, Data1),
vSf(0, Data1),
vnSF(0, Data1),
result(0),
sfResult(0),
decision(0),
sfDecision(0),
flag(0),
BSE(1),
zs(0.0000000001);

// Date YMD, Time HMS, and Day of week
dateYmd = Date + 19000000;
timeHms = StrToNum(BarDateTime.Format("%H%M%S"));
weekDay = DayofWeek(Date);

// Is-Session-Open
isSessionOpen = (weekDay = 1 And Time > 0230 And Time < 1230) Or (weekDay = 2 And Time > 0230 And Time < 1230) Or (weekDay = 3 And Time > 0230 And Time < 1230) Or (weekDay = 4 And Time > 0230 And Time < 1230) Or (weekDay = 5 And Time > 0230 And Time < 1230);

// Contract's Session Close
If isSessionOpen = False Then
Begin
BuyToCover("SX-SsnDyCls") this bar on close;
Sell("LX-SsnDyCls") this bar on close;
End;

// Exit Stop Loss
SetStopLoss(stopLossValue);

// Indicators
v1 = GSB_Lowest(Low, i1length) of Data(i1Data);
v2 = GSB_Highest(High, i2length) of Data(i2Data);
v3 = TrueRange of Data(i3Data);
vn1 = GSB_Norm4(v1, 13, 100) of Data(i1Data);
vn2 = GSB_Norm4(v2, 13, 100) of Data(i2Data);
vn3 = GSB_Norm4(v3, 13, 100) of Data(i3Data);
vSF = GSB_CloseLessPrevCloseDBpv2(iSFbpv) of Data(iSFData);
vnSF = GSB_Norm4(vSF, 13, 100) of Data(iSFData);

// Result and decision
result = ((Sign(vn1) * Power(Absvalue(vn1), i1Weight)) * ((Sign(vn2) * Power(Absvalue(vn2), i2Weight)) * (Sign(vn3) * Power(Absvalue(vn3), i3Weight))));
result = Sign(Sign(vn1) + Sign(vn2) + Sign(vn3)) * Absvalue(result);
result = IFF(AbsValue(result) > zs, result, 0);

// entry type = Cross
decision = GSB_Decision7(result, 3000, Sign(entryParams) * Power(AbsValue(entryParams), 4), 0);

// SF Decision
sfResult = vnSF * iSFWeight;
sfResult = IFF(AbsValue(sfResult) > zs, sfResult, 0);
sfDecision = GSB_Decision7(sfResult, 1000, sfEntryLevel, 0);

// Entry-filter check
flag = 0;

If True
And ((timeHms >= 000000 And timeHms <= 140000))
And (isSessionOpen = True) Then
Begin
// Buy/Sell
If (decision = 1 Or decision = 2) And sfDecision = 1 Then
Begin
Buy("Long Entry") 1 contracts this bar on close;
flag = 1;
End
Else If (decision = -1 Or decision = 2) And sfDecision = -1 Then
Begin
SellShort("Short Entry") 1 contracts this bar on close;
flag = -1;
End;
End;

// Decision Exit (I/SF)
If CurrentContracts > 0 AND GSB_DecisionExit7(decision, sfDecision, 0) <> 0
AND barssinceentry(0) > BSE

Then
Begin
BuyToCover("SX-None") this bar on close;
Sell("LX-None") this bar on close;
End;

// Hash (DO NOT CHANGE)
// In order to restore the system that generated this script, save the full script as a .gsbscript file and load it from GSB (just like .gsbsystem and .gsbsystemz files).
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imagen_2021-07-28_130649.png - 98kBGold TradeStation.JPG - 122kB

portfolioquanttrader2020 - 28-7-2021 at 03:25 PM

What do you think of this system?

GSBES.JPG - 243kB

portfolioquanttrader2020 - 28-7-2021 at 03:53 PM

Hi
Peter
What about this system?

GSBES.JPG - 242kB

Daniel UK1 - 28-7-2021 at 04:45 PM

Quote: Originally posted by portfolioquanttrader2020  
Hi peter
I have built a system in gold and cannot replicate it in TradeStation.
It is located on my server.

// Settings
// Platform: TradeStation
// Script Mode: LiveTrading
// ID: 20210727-150235-805306-8p2CD / WF:20210727-235714-982657-Ypbp6
// Info: File Name Prefix: , Comment: , App Settings: defaults.gsbappset, Opt. Settings: GC30-AdvancedModeOn_GReen.gsboptset, Workplace Manager's ID: YO0f7w4Nmq7RRUi4c.20210727-165555-066405, Manager's GSB Version: 1.0.62.77 / 2021-07-19, Worker's Instance ID: W9mDS9MDxEXYr3vke, Worker's GSB Version: 1.0.62.77 / 2021-07-19, Worker's Machine Name: GSB3_XEON2690V2
// Price Data: GC_230_1230_CENTRALUSATIME: (Data1: GC\gc.1.minute.0000_1500_localTime-centralTimeUSA.txt (Mult.: 30, Session: "0230-1230"))
// MaxBarsBack: 500
// Profits Mode: Currency
// Quantity: 1
// Quantity Mode: FixedShareContracts
// Trading Dates: 2017-07-01 - 2020-12-31
// Trading Dates Mode: All
// Trading Nth Day: 1
// Trading Nth Day Mode: All
// Exit Stop Loss: 2000
// Exit Profit Target:
// Exit Minutes:
// Exit Bars:
// Fitness Criteria: NetProfitOverDrawdown
// Entry Type: Cross
// Commission: 0
// Slippage: 0
// Reports Commission: 0
// Reports Slippage: 0
// Commission Mode: TradePerSide
// Slippage Mode: TradePerSide
// Positions Allowed: LongAndShort
// Max. Entries per Day:
// WF Type: GeneticAlgorithmMultiThreaded
// WF # of Random-Space Tests: 10000
// WF GA Generations: 100
// WF GA Population: 100
// WF Anchored: True
// WF OOS %: 20
// WF Runs: 10
// WF Search Space: Nearest
// WF Nearest %: 50
// WF Fitness Criteria: NetProfitOverDrawdown
// WF Result:
// Optimization/Original 111 68 1 0.5 1.25 3 3 100 1 10
// 1 62 30 1.25 1 1.25 1 1 100 1 42.5
// 2 71 87 1.25 0.75 0.75 6 6 100 1 32.5
// 3 71 87 1.25 0.75 0.75 6 6 100 1 32.5
// 4 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 5 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 6 75 87 0.5 0.75 1.5 5 5 100 1 32.5
// 7 75 91 0.5 1 1 6 6 100 1 32.5
// 8 75 91 0.5 1 1 6 6 100 1 32.5
// 9 75 91 0.5 1 1 6 6 100 1 32.5
// 10 75 91 0.5 1 1 6 6 100 1 32.5
// Current 75 87 0.5 0.75 1.5 5 5 100 1 22.5
// Params. Rol. Stability Coarse: 84
// Params. Anc. Stability Coarse: 78
// Equity Bollinger: 90.0%
// Equity Pearson Exact: 10.0%
// Equity Pearson Close: 90.0%
// Equity Spearman Exact: 0.0%
// Equity Spearman Close: 80.0%

// Manager's GSB Version: 1.0.62.77 / 2021-07-19
// Worker's GSB Version: 1.0.62.77 / 2021-07-19

// Performance (full period)
// Fitness: 20.29
// Net Profit: 136,530
// Commission (in $): 0
// Drawdown: -6,730
// Avg Trade: 191.76
// Percent Profitable: 56.04
// Pearson: 0.959
// Profit Factor: 1.81
// Trades Count: 712
// Net Profit / -Drawdown: 20.29

// Performance (walk-forward)
// Params. Rol. Stability Coarse: 84
// Params. Anc. Stability Coarse: 78
// Equity Bollinger: 90
// Equity Pearson Exact: 10
// Equity Pearson Close: 90
// Equity Spearman Exact: 0
// Equity Spearman Close: 80

// Inputs: // see warning at https://trademaid.info/gsbhelp/Script.html
Vars:
i1Data(1),
i1length(111),
i2Data(1),
i2length(68),
i3Data(1),
i1Weight(1),
i2Weight(0.5),
i3Weight(1.25),
entryParams(3),
iSFData(1),
iSFbpv(100),
iSFWeight(1),
sfEntryLevel(10),
stopLossValue(2000);

// If the statement below does not compile, please import the latest script file from C:\GSB\GSB (Managers)\TradeStation Code\GSB_Scripts_2021_07_04.eld
Once
Begin
Value1 = GSB_Scripts_2021_07_04;
End;

// MaxBarsBack check
Once (MaxBarsBack <> 500)
Begin
RaiseRunTimeError("MaxBarsBack (Maximum number of bars strategy will reference) must be set to {0} (from Properties for All button, General tab)");
End;

// Vars
Vars:
id("20210727-150235-805306-8p2CD-WF-20210727-235714-982657-Ypbp6"),
debugScriptPath("C:\GSB\Data\Debugs\20210727-150235-805306-8p2CD-WF-20210727-235714-982657-Ypbp6.ts.mgr.bktst.txt"),
dateYmd(0),
timeHms(0),
isSessionOpen(False),
nthDay(1),
lastDate(0000101),
daysCount(0),
weekDay(0),
currentBarDTOHLCV(""),
lastBarDTOHLCV(""),
v1(0, Data1),
v2(0, Data1),
v3(0, Data1),
vn1(0, Data1),
vn2(0, Data1),
vn3(0, Data1),
vSf(0, Data1),
vnSF(0, Data1),
result(0),
sfResult(0),
decision(0),
sfDecision(0),
flag(0),
BSE(1),
zs(0.0000000001);

// Date YMD, Time HMS, and Day of week
dateYmd = Date + 19000000;
timeHms = StrToNum(BarDateTime.Format("%H%M%S"));
weekDay = DayofWeek(Date);

// Is-Session-Open
isSessionOpen = (weekDay = 1 And Time > 0230 And Time < 1230) Or (weekDay = 2 And Time > 0230 And Time < 1230) Or (weekDay = 3 And Time > 0230 And Time < 1230) Or (weekDay = 4 And Time > 0230 And Time < 1230) Or (weekDay = 5 And Time > 0230 And Time < 1230);

// Contract's Session Close
If isSessionOpen = False Then
Begin
BuyToCover("SX-SsnDyCls") this bar on close;
Sell("LX-SsnDyCls") this bar on close;
End;

// Exit Stop Loss
SetStopLoss(stopLossValue);

// Indicators
v1 = GSB_Lowest(Low, i1length) of Data(i1Data);
v2 = GSB_Highest(High, i2length) of Data(i2Data);
v3 = TrueRange of Data(i3Data);
vn1 = GSB_Norm4(v1, 13, 100) of Data(i1Data);
vn2 = GSB_Norm4(v2, 13, 100) of Data(i2Data);
vn3 = GSB_Norm4(v3, 13, 100) of Data(i3Data);
vSF = GSB_CloseLessPrevCloseDBpv2(iSFbpv) of Data(iSFData);
vnSF = GSB_Norm4(vSF, 13, 100) of Data(iSFData);

// Result and decision
result = ((Sign(vn1) * Power(Absvalue(vn1), i1Weight)) * ((Sign(vn2) * Power(Absvalue(vn2), i2Weight)) * (Sign(vn3) * Power(Absvalue(vn3), i3Weight))));
result = Sign(Sign(vn1) + Sign(vn2) + Sign(vn3)) * Absvalue(result);
result = IFF(AbsValue(result) > zs, result, 0);

// entry type = Cross
decision = GSB_Decision7(result, 3000, Sign(entryParams) * Power(AbsValue(entryParams), 4), 0);

// SF Decision
sfResult = vnSF * iSFWeight;
sfResult = IFF(AbsValue(sfResult) > zs, sfResult, 0);
sfDecision = GSB_Decision7(sfResult, 1000, sfEntryLevel, 0);

// Entry-filter check
flag = 0;

If True
And ((timeHms >= 000000 And timeHms <= 140000))
And (isSessionOpen = True) Then
Begin
// Buy/Sell
If (decision = 1 Or decision = 2) And sfDecision = 1 Then
Begin
Buy("Long Entry") 1 contracts this bar on close;
flag = 1;
End
Else If (decision = -1 Or decision = 2) And sfDecision = -1 Then
Begin
SellShort("Short Entry") 1 contracts this bar on close;
flag = -1;
End;
End;

// Decision Exit (I/SF)
If CurrentContracts > 0 AND GSB_DecisionExit7(decision, sfDecision, 0) <> 0
AND barssinceentry(0) > BSE

Then
Begin
BuyToCover("SX-None") this bar on close;
Sell("LX-None") this bar on close;
End;

// Hash (DO NOT CHANGE)
// In order to restore the system that generated this script, save the full script as a .gsbscript file and load it from GSB (just like .gsbsystem and .gsbsystemz files).
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Ovetl2dF6yE+5JjKnDB5SU2zcgaiLeRZVJrBpBbqG5wtxSHtpq7yLCZm4MmKsz6spaxbi1L0ewQv4y7q6XQSwmcfuW/7tEjfQZvWiHG5Vw+8wjRJKEa5PXrA34B6TZcVztATNn6g+lj0yLxylsJh1U Oq2OGkgWOI
5Ma/kgeis8m1W0jRNVOQyO/fIaSl6YV2nJx7zepjQE/IWr7zY8iLwcV52nwdBBp7jV5sgx952tZcdJ55gXUxzenqJrShXlv3QaJo6RC13U/C9xvltyn9+K9wneCXUknRXNmjuNfpGA8DrcfETKnXsd xvDhxQVKq9
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Your session time for data and allowed trade time looks perhaps a bit strange, check that

Siem - 29-7-2021 at 03:06 AM

Quote: Originally posted by portfolioquanttrader2020  
Hi peter
I have built a system in gold and cannot replicate it in TradeStation.

Hi Peter,

I'm also working on Gold systems. I have a similar issue.
At first I thought it were my session settings or timezone settings - which still might not be correct (see below).

However I noticed something else, when I compared the 1-minute data from "GC\gc.1.minute.0000_1500_localTime-centralTimeUSA.txt" to what is in my TS there were differences.
For instance in the file "10/08/2020,00:01,1888.9,1889.2,1888.7,1889.1,28,19" - in my TS with @GC [COMEX] opened at 1907.5 and none of the candles on 10/07/2020 and 10/08/2020 got to 1889.9
Am I using the correct symbol @GC in TS?

My computer is on Central Time (UTC-6)
TS Time Zone is: Exchange
Session settings: see screenshot

If the above settings were correct - would it help if I generated new price data with TS and used that in GSB for GC systems?


Screen Shot 2021-07-29 at 10.51.44.png - 589kB

admin - 29-7-2021 at 03:56 AM

Quote: Originally posted by portfolioquanttrader2020  
Hi
Peter
What about this system?


thats looks good, but i suspect it was just derived by getting the best system of 50,000 with no out of sample.
Thats deceptive
As i dont see any stats in favourite a,b etc.
You want to know how well does the entire setup work.
what is the session used with the data?

admin - 29-7-2021 at 04:01 AM

@siem, TS data is back adjusted so price will not match after contracts roll. Volume should as long as the data volume field in TS matches what was used
@portfolioquanttrader2020, your session times were wrong in TS, and data used in GSB was local (Central usa) time - which <> your session

It would be best for you to re-export your data using these settings.


gc.png - 372kB

portfolioquanttrader2020 - 30-7-2021 at 01:14 PM

Peter, do we have some kind of entry that is based on a schedule? For example, enter long from 18 pm to 20 pm

admin - 31-7-2021 at 12:20 AM

Quote: Originally posted by portfolioquanttrader2020  
Peter, do we have some kind of entry that is based on a schedule? For example, enter long from 18 pm to 20 pm


yes, time field in gsb

time1.png - 71kB

portfolioquanttrader2020 - 31-7-2021 at 11:05 AM

Hi peter
To leave at any time between two hours, for example between 6 and 10 am, how is it configured? I don't want to leave just after 6, I want to leave anytime between 6 and 10

portfolioquanttrader2020 - 31-7-2021 at 11:25 AM

Peter I would like to know if you have a guide to gold similar to that of building systems in intraday Nq. Where are the macros and the steps to follow to build systems and families?

Daniel UK1 - 31-7-2021 at 04:30 PM

A good idea is to watch trough all videos that Peter has made, and read trough the methodology in documentation, and then use for example Peters methodology as a start to create something that make sense for yourself, GSB is developing very fast, and the basic in the methodology is really the same for all markets. macros etc, each market has its unique character that requires its own settings, sf, sessions, etc... but methodology is the same... for gold you can use same macros as ES just change the dates to your liking, and just follow the stats.

I do believe there is macros for gold that Peter shared some time ago, perhaps in Automation folder or some other shared macro folder, not sure.
I do think there is some link in the forum to it.

portfolioquanttrader2020 - 1-8-2021 at 12:48 AM

Yes, that's what I'm doing, watch everything slowly and translate everything.
I have translated videos of the gold into Spanish.
I thought the same as you, that the methodology is the same, but with nuances for each market.
Thanks a lot

portfolioquanttrader2020 - 1-8-2021 at 12:58 AM

Is there some kind of time entry?
For example enter a time interval. I understand that energies are affected by seasonality, I think Perry Kauffman talks about it in his book. There is intraday seasonality, and that could lead to a type of hourly entry. It's right?

Daniel UK1 - 1-8-2021 at 02:48 AM

2020, A tip, would be to focus on the basics first, get it right on the major things, then when you nailed that, you can fiddle around with the tiny nuances etc. You control allowe trade time in the left side GUI, "times setting" you control session times to use (that you must first create from the window dropdown) under session in data popup.

Some markets have multiple session times one can use, such as for example metal markets.

Imho, get your settings for main session correct first, understand it, such as for gold 8-1430 ish eastern, this will take you months.
Then when you have squeezed out every inch of knowledge from that, look into your question about intraday seasonality etc etc, second or third session times etc.

Starting from the other way around, will most likely end up with a multivariable mess.


bud67 - 1-8-2021 at 05:18 PM

How is the fitness criteria NPAtMfeNPLateEntry calculated ? There is no documentation about it.

REMO755 - 1-8-2021 at 05:27 PM

Hello,

What does EntryParams -7 mean?

SwedenTrader - 2-8-2021 at 03:04 AM

Anyone know why gold contract GCV was jumped to GCZ contract ? I dont remeber this happening last year.

admin - 2-8-2021 at 04:07 AM

sorry missed these posts.

@bud67
its net profit * average trade * MaxFavoruableExcursion) net profit if you end 1 bar later than normal entry
It seems to work really well building systems, but not doing walk forward.
likely its due to mae or npLateEntry

@remo
It means typically result >-7 to go long for entry cross or cross over at -7 for entry compare2
(I found compare1 constantly works poorly out of sample and Ive never used it for a live system)

@sweedentrader

ts has this sequence
GJMQVZ

SwedenTrader - 2-8-2021 at 05:26 AM



@sweedentrader

ts has this sequence
GJMQVZ[/rquote]

i know this but at the moment the V is the next roll for today, but it has only 3,300 in volume and Z has 66,000. Thought it was a bit strange that already everybody is at the december contract but it happens i guess.

admin - 2-8-2021 at 05:40 AM

@sweedentrader, ive noticed that @gc=103nc is not correct, but I dont know why
It should have matched @gc this many days after rollover. I think something is wrong. Im not clear exactly what.

coccigelus - 2-8-2021 at 11:32 AM

For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this rather than use the continuos contract.

Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July - example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)

There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)

Hope it helps.

REMO755 - 2-8-2021 at 03:45 PM

Quote: Originally posted by coccigelus  
For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this rather than use the continuos contract.

Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July - example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)

There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)

Hope it helps.


Hello,

The GC volume does not always change in the second month, sometimes the result is the fourth month.

How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?

Why does the rollover change the open interest?

http://help.tradestation.com/09_01/tradestationhelp/fu/conti...


I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.


dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009

admin - 2-8-2021 at 05:36 PM

Im not sure on gold. I thought some months can have physical delivery and others dont. Any comments from other users.
Im not concerned about this, I just trade on @gc and substitute to the correct month... but I know ts users cant do this.
The custom symbol I think works regardless.

coccigelus - 2-8-2021 at 10:36 PM

Quote: Originally posted by REMO755  
Quote: Originally posted by coccigelus  
For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this rather than use the continuos contract.

Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July - example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)

There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)

Hope it helps.


Hello,

The GC volume does not always change in the second month, sometimes the result is the fourth month.

How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?

Why does the rollover change the open interest?

http://help.tradestation.com/09_01/tradestationhelp/fu/conti...


I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.


dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009


Some months in gold are thinly traded. For this reason I use the custom contract I mentioned above that avoid those months.

Unfortunately not all the continuos contracts offered by TS are built correctly. By correctly I mean switch when volumes swap to the next contract (timing) AND to the next following month with max volumes. (chosen of the right month) . For instance @LH roll over in their continuos contract is performed with a couple of week delays and in summer They jump the super liquid July month. Clearly this is plain wrong.


I am using custom contracts in gold and crude oil while I am forced to make by myself the roll over for @LH. (switching manually contract when needed)
Why don't I use custom contract in @LH? Because the data offered is full of spurious.

admin - 2-8-2021 at 10:41 PM

thats a good explanation. Thank you

Siem - 3-8-2021 at 08:32 AM

Quote: Originally posted by admin  
@siem, TS data is back adjusted so price will not match after contracts roll. Volume should as long as the data volume field in TS matches what was used

It would be best for you to re-export your data using these settings.


Thanks, it works correct now and everything matches. I just noticed I forgot to match the end-date it with the original data file (it was 10/08/2020). The start-date is the same, but the end-date is today.

Would this be negative for building systems? For instance I see that during the "Green"-phase GSB takes all of the data it has given to generate systems. The Goldv1.1 build-macro uses the end of 2020 as the latest date.

What kind of end-date for the data would you recommend using for GC?
Would you recommend tweaking the dates of the macro's GC uses, by looking at the newer build-macro's (e.g. ES, NQ) - so GSB can generate more up-to-date systems?

admin - 3-8-2021 at 05:14 PM

@siem
good your working
its fine to have some extra oos data in ts. This gives just another thing to show if oos is good.
IM rusty on gc as havnt made systems for some time. Sometime changing dates screws a good setup, so im happy to keep as is.
Fine to experiment though as long as you do 4 identical tests on each test.
why 4 is results vary so much, one test is not a good indicator

REMO755 - 4-8-2021 at 03:05 PM

Quote: Originally posted by coccigelus  
Quote: Originally posted by REMO755  
Quote: Originally posted by coccigelus  
For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this rather than use the continuos contract.

Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July - example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)

There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)

Hope it helps.


Hello,

The GC volume does not always change in the second month, sometimes the result is the fourth month.

How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?

Why does the rollover change the open interest?

http://help.tradestation.com/09_01/tradestationhelp/fu/conti...


I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.


dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009


Some months in gold are thinly traded. For this reason I use the custom contract I mentioned above that avoid those months.

Unfortunately not all the continuos contracts offered by TS are built correctly. By correctly I mean switch when volumes swap to the next contract (timing) AND to the next following month with max volumes. (chosen of the right month) . For instance @LH roll over in their continuos contract is performed with a couple of week delays and in summer They jump the super liquid July month. Clearly this is plain wrong.


I am using custom contracts in gold and crude oil while I am forced to make by myself the roll over for @LH. (switching manually contract when needed)
Why don't I use custom contract in @LH? Because the data offered is full of spurious.


How do you build a custom contract in TS? I do not see information.

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