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Hi Peter, I use TradeStation data window with @CL to download data and compare it to the data in GSB CL.1.Minute.0900-1430_ExchangeTime and see big difference in the prices. Do you know why ? I attached the screenshot.

Thanks

Hi Chituan,

Continuous contract prices are always adjusted after every contract rollover.

More information here:
https://blog.quantinsti.com/continuous-futures-contract/

admin - 25-12-2022 at 04:26 PM

@Chituan
I should say there are issues with GSB and CL. Its possible all issues fixed in the next build, but not sure yet
One of the issues is CL price <0 and the lowest low GSB assumed was possible in price was zero.
This will cause missmatch.

Chituan - 25-12-2022 at 06:25 PM

Quote: Originally posted by Carl

Hi Chituan,

Continuous contract prices are always adjusted after every contract rollover.

More information here:
https://blog.quantinsti.com/continuous-futures-contract/

Hi Carl,

Would it cause issue ? say I am using the default GSB data CL.1.minute as above, then GSB generates trading systems and in these systems, there is an indicator based on some sort of prices difference from time 1 to time 2 . Then we move to tradestation using @CL, trying to check if tradestation backtest match with GSB, but continuous futures prices got adjusted based on return (i.e log of prices difference) . I would think this will invalidate the systems learned by GSB .

Please correct me if I am wrong here.

Thanks

goodoboy - 25-12-2022 at 07:02 PM

Much better for us both to use TS if you are familiar with TS. TS/MC will always be leading in features as we test things on TS/MC, then if we like the feature later add to NT

Thank you Peter for responding

admin - 25-12-2022 at 07:24 PM

Your welcome. there is a thank button below post you can click.

Carl - 26-12-2022 at 07:02 AM

Quote: Originally posted by Carl

Hi Chituan,

Continuous contract prices are always adjusted after every contract rollover.

More information here:
https://blog.quantinsti.com/continuous-futures-contract/

Hi Chituan,

GSB mainly uses normalized indicators, so the signals generated are the same for both data sets.
However the trade result can vary somewhat.
Overall I found the differences to be so small, they can be ignored.

You can test this yourself:
1. build on the old price data set dated 2020
2. verify a strategy on the recent price data set (GSB left window)

Latest Systems/Diag and Statistics

ChuckNZ - 30-12-2022 at 02:18 PM

I admit to being new to GSB (142 intensive hours) and watching dozens of videos, but certainly not new to trading (60 years).

In a couple of videos, Peter has shown the Latest/diag and Statistics tabs to be populated with very useful information. What do I have to do to populate those tabs?

What does the verify process do and how is the verify data different from the trade data?

Thanks in advance for the help.

admin - 30-12-2022 at 04:38 PM

@ChuckNZ
not sure what video you refer to, but this is done via macros, and much easier done by gsb automation
The gold videos on my web site show how this was done in automation, but the nq settings are best to start with
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...

Also verify info. You could mean we verify a system on differnt markets / time frames. (I now have much less faith in this) of you could mean veryify the method via statistics. Hard for me to reply without more specifics

Verification vs. Validation?

ChuckNZ - 4-1-2023 at 02:27 PM

I would appreciate if someone can help me to understand the difference between "verification" and "validation". When I set "validation %" in the optimization section, what data is it using? If it's just using the same data that it's using for the training and testing, why not just make the testing period bigger?

This is all a very "gray" area for me. Thanks in advance for helping me to understand.

admin - 4-1-2023 at 08:08 PM

Hi Chuck
its ok to do that, but I no longer user verification / validation like what you propose
You have to have some out of sample data, else you are going to curve fit and find live trading tanks
If you follow the nq methodology, it has multiple years out of sample, with another year ++ still not seen by gsb
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...

When you understand current methodology of testing concepts on 10,000++ systems, you see looking at one system is legacy method.

You can verify a system on other markets or bar intervals. After much research the experienced GSB user had little faith in this working.
The objective proof is make 10,000 systems ->300, take the top 30% by whatever verification method you chose, and see how it compares say to the bottom 30%
(say in sample 2007 to say 2018in sample) and oos 2017-Feb-28

ChuckNZ - 5-1-2023 at 04:05 AM

Thanks Peter. I think I finally "got it". To be fair, however, I was working my way through a bunch of old videos lingering around the place. It's the content of the old videos that prompted my question.

I applied your "latest" technology to six instruments and the number of favourites were typically (300,250,50,30) or similar. In other words, a diminishing number of strategies as the process worked away.

When I ran 60,000 strategies on NQ, however, I ended up with (300,300,300,300). Is this an indication that I must have done something wrong or were the strategies simply "too good".

Thanks

admin - 5-1-2023 at 04:24 AM

I saw someone else with 300,300,300,300 recently. I dont remeber who, or if it was you
Proof of 2 good is ther eis nearly 2 years oos that gsb has not seen when you add into ts.

i stoped doing videos as they take forever to make, and can be out of date in no time. Hence I do the documatation and thats easy to change
Normally 20,000 systems is fine
you can also look at the stats F I think was the entire out of sample period.

SwedenTrader - 5-1-2023 at 10:01 AM

I also got 300 in all A,B,C,D recently on NQ and did not find anything strange in settings.Happened several times. However when looking at the families in D, only about 4 of them had more than a couple of members. So picked only them for going forward with WFO.

Performance filters not working for me

ChuckNZ - 5-1-2023 at 01:50 PM

For the last ten days or so of intensive testing, something has puzzled me. I set the Minimum Pearson to 0.9 for training and testing periods. I also set Minimum Profit Factor to 1.8 for those two periods. But, I see hundreds of strategies in the grid that don't even come close to those minimum requirements. Pearson's, for instance. Some are even negative. Same thing for Profit Factor.

I must have a setting wrong, or I would be seeing others mentioning this.

Daniel UK1 - 5-1-2023 at 02:01 PM

For the last ten days or so of intensive testing, something has puzzled me. I set the Minimum Pearson to 0.9 for training and testing periods. I also set Minimum Profit Factor to 1.8 for those two periods. But, I see hundreds of strategies in the grid that don't even come close to those minimum requirements. Pearson's, for instance. Some are even negative. Same thing for Profit Factor.

I must have a setting wrong, or I would be seeing others mentioning this.

I do believe you are doing yourself more harm than good, by setting the filter that high also for the period after build.. you only then end up with good systems.. what good will that do during your research ? I would focus on understanding whats bad, and try to minimize the bad.. for this you need to see and understand the bad ... not just filter it away so you dont have to see it...

Just my 2 cents... focus on what is causing the "bad" so you can remove that.. and you end up with something good in the end :smilegrin:

Carl - 5-1-2023 at 02:46 PM

Are you using the Nth method or IS/OOS/VAL?

Because when you use the Nth method, during the build process GSB is only using the training filter to filter strategies .

ChuckNZ - 5-1-2023 at 03:35 PM

Can anyone enlighten me about what the highlighted area on this chart is telling me? I'm aware that many of you think that verifying with random ticks is "old school", so just ignore those lines.

Comments about the walkforward graph are welcome along with all comments.

[img]

[/img]

admin - 5-1-2023 at 04:48 PM

@chuck
this means the wf stability of parameter is 60% for rolling, and 52% for coarse (reasonable)
the faster a system gets stable wf parameters, the better it is. If its a curve fit more likely to jump all over the place and have a low score

I have zero faith in random noise as validation.
You are asking questions which imply your doing your own learning (great if your an expert in trading and GSB), and not going down the path where years of collective research is clearly laid out in the recent nq methodology. It means you waste lots of your own time with poor outcomes.
the bolleneger bands means the equity curves are close (good)
In all fairness, awesome your able to try new things at a mature age

SwedenTrader - 5-1-2023 at 06:23 PM

If doing ES with the new NQ methodology, should we change only the data/symbol or also something else in the standard settings for NQ ? Not including stop level.

Also regarding other markets like energy and metals, have you tried the latest NQ metgodoly there also or are these markets still recommended being created by the latest methodoly described specific for them ?

admin - 5-1-2023 at 06:28 PM

@SwedenTrader
Good question. I think change just the symbol. Ideal stop might vary between markets but its not critical and err on the side of big.

I need to publish the NG settings. Im trying to be in holiday mode, but working more hours than normal.
I have done all the NG work, but not tried to build systems.
If you wait till I publish, it will save you massive amounts of work.
A lot of CL work done, but too early to tell results. You must have the next build as significant GSB bug with CL.
GSB wrongly assumed lowest price possible was zero. This is fixed in the next build that I will release.

the macros will be the same for NG, but the inital gsb setup will not be the same
session hours, secondary filter, entry type etc different.
I think GSB works well on NG, which you can also see in the NG systems being sold

ChuckNZ - 5-1-2023 at 07:21 PM

For the record, I followed the directions in excruciating detail in the "recent nq methodology" document. I found the directions and the concept to be very worthwhile. The fact that I like to see how random data may or may not affect the action shouldn't really offend anyone.

@chuck
this means the wf stability of parameter is 60% for rolling, and 52% for coarse (reasonable)
the faster a system gets stable wf parameters, the better it is. If its a curve fit more likely to jump all over the place and have a low score

I have zero faith in random noise as validation.
You are asking questions which imply your doing your own learning (great if your an expert in trading and GSB), and not going down the path where years of collective research is clearly laid out in the recent nq methodology. It means you waste lots of your own time with poor outcomes.
the bolleneger bands means the equity curves are close (good)
In all fairness, awesome your able to try new things at a mature age

admin - 5-1-2023 at 11:18 PM

No offense taken. Great to hear you followed the methodology. GSB users often have very varied opinions on some things, and often we can now objectively confirm concepts that are assumptions traders have made.
Its great to have you on board and asking questions.

Daniel UK1 - 6-1-2023 at 10:37 AM

For the record, I followed the directions in excruciating detail in the "recent nq methodology" document. I found the directions and the concept to be very worthwhile. The fact that I like to see how random data may or may not affect the action shouldn't really offend anyone.

Chuck, in case you are reading the replies to your messages.
Fwiw,a good tip for you, would be to use mote than one type of validation, I use Random data, Other timeframes but most importantly other 3-4 similar markets, to give me hints of what i have is valid or not..

I dont touch systems with anything below 70 in stability in wf and stay away from systems that shows negative numbers in wf oos.. and demand all systems in family to have high wf scores...

This is of course my own personal opinion, and I am sure other does things differently.

Daniel UK1 - 6-1-2023 at 10:40 AM

@Peter, when do you think we can start working on CL again? will each GSB indicator be tested by your dev team, so it matches GSb vs TS MC again?

admin - 6-1-2023 at 03:55 PM

My understanding is the most recent build has fix for the 80 or so indicators in the trial mode of GSB. All the best indicators are put into the trial mode.
I will push out 65.21 by monday.
THe big killer for CL was that GSB wrongly assumed the 0 was the lowest price possible. That would cause missmatch on all CL systems from the point of cl being below zero.
There were other fixes like gsb_highd <> highd (ts function) This is a ts bug that was never spotted for years. We now do match checks on 50000 bars, instead of 5000 and thats what picked that up

How to see parameter ranges being tested?

ChuckNZ - 8-1-2023 at 11:12 PM

Somewhere over the last couple of weeks I came across (or saw in a video) where it was possible to see the parameter ranges being tested for indicators. For instance, the range of parameters for a particular indicator might be 10 to 50 incrementing by 5. In particular, I would like to see (and be able to change) the range of parameters and increments for the ATR Trailing Range.

If you can point me in the right direction, I would really appreciate it.

admin - 8-1-2023 at 11:46 PM

@Chuck,
its here. You might need to be in beta mode to access these features, which gives you even more to play with and go wrong.
Beta features are more buggy and may be removed / changed.
If you change these settings, you will loose compatibility with previously saved settings in gsb

Days with shortened hours?

ChuckNZ - 9-1-2023 at 10:24 PM

Going through some trade listings of GSB-generated trades, I see trades entered in the morning on shortened trading days (like the day before Thanksgiving and Black Friday) that aren't closed using the MOC statement. I can easily understand how/why this happens. One or two trades in ten years or so isn't going to upset the stats, but can we overcome this minor inconvenience? I guess this is really a Tradestation problem?

Perhaps the answer is to simply be in the driver's seat on those days?

admin - 9-1-2023 at 10:36 PM

@Chuck, yes we are doing this in the ts end,
you are correct it wont affect gsb stats in any significant way, but for live trading this is important to get right.
Holidays is complex. I put a lot of work into it.
different markets and countries have different holidays.
metals have some days they close early, but I still get the full session out of the 'holiday'
and i have made some good money on holidays
However I never will trade a day on a specific market when the theoretical close is after the holiday close.
There also are a new holiday last year (forgot the name)

this topic was discussed a few weeks ago in the forum somewhere,
also ts code used was too cpu intensive for my liking.

admin - 12-1-2023 at 07:44 PM

I have updated the GSB diagnostic documentation features to show how to test any and every indicator.
There were quite a number of bugs, some which took years to show. Became apparent on CL when price was below zero for example
This is only for fairly technically competent users.
Many bugs were fixed in the last build, but in the beta tester indicators, more bugs are known to exist.

https://trademaid.info/gsbhelp/GSBDiagnostics.html

Piet - 14-1-2023 at 03:35 AM

I have updated the GSB diagnostic documentation features to show how to test any and every indicator.
There were quite a number of bugs, some which took years to show. Became apparent on CL when price was below zero for example
This is only for fairly technically competent users.
Many bugs were fixed in the last build, but in the beta tester indicators, more bugs are known to exist.

https://trademaid.info/gsbhelp/GSBDiagnostics.html

Hi Peter,
what if we found something? I found 2 out of 5000 of the GSB_S3R31 results within the SM futures have significant differences. (in MC) Not worth it I think, but could you provide some more guidance?

admin - 14-1-2023 at 04:19 AM

@PIET
We are putting a great deal of work into this at the moment. WIll know more next week.
Will keep you posted.

TradingPrice - 15-1-2023 at 12:35 PM

Hi Peter,

I'm missing GSB_CloseLessOpenDFilter

I've installed latest script GSB_Scripts_2022_12_23_2

admin - 15-1-2023 at 03:54 PM

@Tradingprice
Opps

its here

Attachment: Login to view the details

Pearson's Metrics

ChuckNZ - 17-1-2023 at 01:33 PM

I'd like to play a bit of Devil's Advocate regarding the use of the Pearson's Indicator. There seems to be a lot of emphasis on this site and the documentation/videos on using Pearson's, looking for equity curves with a fairly straight line. The straighter the line, the higher the Pearson number.

When looking at the equity curves for @NQ and @ES, the curves do have a fairly straight line from 2010 to 2019. Then, the equity curve almost goes vertical for 2020 through the end of 2022. The result is that a lot of excellent strategies are being rejected due to having a Pearson's less than (say) 94.

So, I'm questioning the wisdom of using Pearson's as a filter. I'm not rubbishing the idea. I'm just interested in other users' thoughts on the subject.

admin - 17-1-2023 at 07:29 PM

Excellent comment. I have very deliberately excluded data from 2020.2.28 from the the build process.
Its really problematic to have this in the build process. The reason is most of the money to be made is in this period and you will have a system thats curve fitted for the extremely volatile and profitable time
I made this mistake after the extremely profitable 2007 - 2008 period, and didnt make significant money the following year when volatility dropped.

A great deal of thought and effort has gone into the default nq /es settings, and so most details are extremely well thought out

Daniel UK1 - 27-1-2023 at 08:19 AM

@Peter, was just about to create a new macro for my new GC run, however i can see that i cant create stats for anything further than H, could you kindly allow more stats letters to be used please, that would be very kind of you

admin - 27-1-2023 at 03:59 PM

@daniel,
Im using the nq macro here.
Let me know your f stats. Reason I ask is I have one user who is getting really low f stats, but dont see any issues with his setup.
I have not had much time to do any system building for some, so never got to finished revised NG and GC

Attachment: Login to view the details

Daniel UK1 - 27-1-2023 at 06:30 PM

@daniel,
Im using the nq macro here.
Let me know your f stats. Reason I ask is I have one user who is getting really low f stats, but dont see any issues with his setup.
I have not had much time to do any system building for some, so never got to finished revised NG and GC

Hi Peter,

Not sure what dates you use for your F stats in your macro that seems to be Nct derived form the name of it. But in my new GC Macro my F stats period for GC is 2019 03 - 2022 02..

What period does F represent for the user you had in mind ? I can see what that period delivers if i have a matching period in my macro, since i am running GC now... just me let know and i can check

admin - 28-1-2023 at 01:14 AM

I think f is the entire out of sample period.
From memory I deliberately avoid any stats after 2.28.2020 as the profit in the years after this is so large, you will end up finding systems that only work in extreme volatility
I made this mistake during global financial colapse in 2007 to 2008 and didnt make money the next year. (no big deal in light of the massive profits of 2007-2008)

Daniel UK1 - 28-1-2023 at 04:15 AM

@Peter, got it, but I thought you wanted my stats since you wanted to compare for the user you mentioned, so in order to find a period in my GC macro comparable to the users F stat period, i just need to know the dates. I dont think my whole OOS period, represent same dates as this user.
And also does "OOS" includes "trd" period (or no trd depending on your setup) in the build.

I do agree with you in regards to high vol environment and the challenges it provides in dev.

admin - 28-1-2023 at 04:33 AM

@daniel
try this file
date file is in central usa time, not exchange

Attachment: Login to view the details

Daniel UK1 - 28-1-2023 at 05:35 PM

@Peter i cant run this file, to many differences to make it possible.. but i can share some stats for GC, i am not finished with my GC run, but should look like this at least or much better in the end...

I see in the shared opt setting, that build date ends 2021 02, (must be wrong?) I can suggest also to test much earlier session start time than in opt setting, and also other Nth than 80, since that is not what i found is "best" and stop less than the opted for 2k.

Just my 2cents

admin - 29-1-2023 at 03:34 PM

I havnt looked at the file for some time. I though end should have been 2020.2.28. I need to revisit this but are too busy to do system building for some time.
Point taken on the stop. I would optimize that last in your system in ts/mc just to get an idea of the range that works best.

In times of extreme volaitlity , tight stop works badly - but im havent even tested if GC is much more volatile in the last 2 years.
I thought 3am or so was best session time. Not even sure whats in the settings as gsb_automation would be over riding whats in them anyway.
Your comments appreciated

Carl - 1-2-2023 at 06:47 AM

I'd like to play a bit of Devil's Advocate regarding the use of the Pearson's Indicator. There seems to be a lot of emphasis on this site and the documentation/videos on using Pearson's, looking for equity curves with a fairly straight line. The straighter the line, the higher the Pearson number.

When looking at the equity curves for @NQ and @ES, the curves do have a fairly straight line from 2010 to 2019. Then, the equity curve almost goes vertical for 2020 through the end of 2022. The result is that a lot of excellent strategies are being rejected due to having a Pearson's less than (say) 94.

So, I'm questioning the wisdom of using Pearson's as a filter. I'm not rubbishing the idea. I'm just interested in other users' thoughts on the subject.

Hi Chuck,

Yes, I agree. I stopped using Pearson as my fitness function. I mainly sue Peters NPxAT and NP/DD.

Recently I was re-reading Pardo book and came across his PP (= perfect profit) approach. And comparing the results of a trading strategy to the PP number. This is the "model efficiency".

I exported ES 390 minute 0830-1500 data from 1997-now.
And choose as my "perfect profit": the absolute value between open and close.
Then did a summation starting in 1997 up to today. Result with one ES contract (without costs and slippage) 3.8 million USD.
Next I took one of my better systems, aggregated the trade results per day and put both equity lines in one chart.
Pardo states: getting 5% or more of PP is a very good strategy. Especially when the "model efficiency" is stable across time.

Maybe this "perfect profit" approach is a good addition to GSBs fitness function?
Edit Feb 2: I meant adding the correlation between a equity line of a strategy and the "perfect profit" equity line as a fitness function.
What are your thoughts about this, Peter?

GSB, perfect profit, model efficiency 20230201.JPG - 81kB

timemeantnothing - 4-2-2023 at 02:34 PM

Hi Peter, is it possible to make an ES or NQ system that does well during low volatility periods? For example maybe the system automatically doubles the contract size when the volatility is low or another approach.

Max.Dup.Indics. ???

ChuckNZ - 5-2-2023 at 05:49 AM

When I run GSB, I get thousands of systems that are using more than one instance of the same indicator. I have even seen instances where a strategy is using three copies of the BollingerBand indicator with different parameters. I have also seen a situation where BollingerBand indicator is used twice with the same settings.

I tried setting Max.Dup.Indics. to zero, one or even two. Then I end up with NO systems being generated. I think it might be counting occurences of GSB_Norm4.

I would really like to generate systems without duplicate indicators if possible. I may find that performance degrades, but at least I will know.

Thanks for any assistance in this area.

Portfolio Analyst

catmore - 5-2-2023 at 11:00 AM

I am using TS 10 and Portfolio Analyst. Using the ELD file to export trades as TS 10 no longer supports exporting trade data into xml format. Is there any workaround to get intra-day pricing in the export trades file to enable intraday pricing on lower timeframes below daily? (ex. 240 minute bars) Without the high and low per bar the intraday drawdown calculations are not available in Portfolio Analyst.

admin - 5-2-2023 at 03:46 PM

@catmore
I think in most but no all situations we get the intra day pricing exported.
There were many complaints over ts over the removal of xml export and a ticket was lodged internally in ts to take care of the issue.
You can use ts 9.5 or go back to a older version of ts10
There is also a registry hack to stop ts10 updating to new versions - as it does so without the users permision.

admin - 5-2-2023 at 03:54 PM

@chucknz
The choice of multiple duplicate indicators was a very deliberate one.
Im still interested in the same indicators with different parameters, even in one system.
However I agree that there is an issue here and have logged an issue with one of the programmers.
It doesnt build systems till this is set to 0 or>3

admin - 5-2-2023 at 04:04 PM

@timemeantnothing, lots of low volatility periods are profitable, but the extreme like 2004 to 2006 I could find nothing that works
you could try position sizing, but I have no personal interest in looking into that.
We are in extreme volatility and the best conditions in my 22 years of trading.
Its nice to be prepared for future conditions, as we know one day low volatility will occur. Happily I was very well prepared for the last change in market regimes to our current conditions.

Is there a trick to get custom indicators to work?

ChuckNZ - 5-2-2023 at 05:09 PM

This is what I have done:
1. Created a custom indicator (tools,custom indicators, generate export script).
2. Pasted the script into an easylanguage strategy called GSB_Custom.
3. Opened the desired chart and applied the strategy.
4. Waited for it to write the txt file.
5. Imported the txt file into GSB.
6. Set the Custom Indicators to know about my new function. enabled it as an indicator as well as a secondary filter. I think it should work fine in either case.
7. Even tried forcing gsb to use either or both (indicator or sf).
9. Loosened all of the performance filters in case the function was total crap.
10. Ran GSB in a mode where it would count the indicators that were used.
11. ZILCH... nothing.

For what it is worth, this function returns a one if sees a buy condition and minus one for a sell condition. That should work, right?

I spent 22 hours getting to this point and i'm stuck. any words of wisdom would be appreciated.

admin - 5-2-2023 at 07:58 PM

Hi Chuck
assuming you followed the docs here https://trademaid.info/gsbhelp/Customindicators1.html
then time for anydesk.com session. While I appreciate users read the docs, and try to figure things out... spending 22 hours on a task is too long. Better to ask for help earlier.
Long term we intend to have dll support so you can write CI, rather than go through all those steps.
Note however CI doesnt yet support the pass1 on best indicator support ranking, which makes CI useless to me.
However simple public domain indicators im happy to get added into GSB
The indicator ranking issue is on the todo list, but likely will be some time.

Random Space Walk Forward?

ChuckNZ - 7-2-2023 at 11:47 AM

Can someone tell me what is meant by "Random Space Walk Forward"? How is it different from the "Genetic Algorithm Walk Forward"? Thank you.

Carl - 7-2-2023 at 02:42 PM

Can someone tell me what is meant by "Random Space Walk Forward"? How is it different from the "Genetic Algorithm Walk Forward"? Thank you.

Hi Chuck,

Some info here:
https://trademaid.info/gsbhelp/ofRandom-SpaceTests.html

Random space performs a WF over the entire oscillator range. Genetic performs WF over a smaller range relative to the initial oscillator values.

If you don't use Genetic Algorithm Walk-Forward (WF), this figure (10,000 in the Example) is the amount of tests. 10,000 or more for 3 indicator system recommended. If repeated identical WF results very a lot with identical parameters, increase this figure.

Default WF method is Genetic Algorithm, not random space.

TheMetalDog - 7-2-2023 at 09:54 PM

What is the recommended approach for adding an End of Week Exit in GSB? (Swing)
Is there already a Filter, ExitMode, or other? Or would setting the Exits.Minutes or Exits.Bars be the way to go?

Thanks.

admin - 8-2-2023 at 12:24 AM

I think we had a exit Friday option, but I cant find it. Ive asked programer for it

admin - 8-2-2023 at 07:43 PM

@TheMetalDog
We definatly dont have it, but i was confused as it was added into iblink.
Its on the to do list, but very unsure when. Depends what programer takes it on.
I know a number of users want the feature and it should be added.

Daniel UK1 - 9-2-2023 at 03:49 PM

I think we had a exit Friday option, but I cant find it. Ive asked programer for it

Hi Peter, I am also very sure I have seen this, are you sure its not been there ?
left hand side GUI..

admin - 9-2-2023 at 06:05 PM

I cant find it, and neither can the programmer. Regardless we will get the feature.

timemeantnothing - 16-2-2023 at 10:10 AM

Hi Peter, GSBsys1ES soon to be approaching its max drawdown with out of sample results. Curious on your thoughts about it and the system. Thanks

Daniel UK1 - 16-2-2023 at 04:04 PM

Quote: Originally posted by timemeantnothing

Hi Peter, GSBsys1ES soon to be approaching its max drawdown with out of sample results. Curious on your thoughts about it and the system. Thanks

Often the max combined dd, is just a result of the series of trades in past order.. look at the curve for short and long separate, look and try to see if you see a change in charachter, I dont... I think the combined result you see now, is just the series of outcome, from a random trade order of normal trade distribution for the system. also the max dd is very low, which most likely is to low for it to hold going forward.. so it will most likely break without system bad...

You also have lots of filters on these systems, test 1.1 which is the raw one, the review signal power alone, strip it of stops.

Anyway, pause it and switch it back on, when it reaches new highs, if you are worried,, nothing wrong with that, its a costly endeavour though

admin - 16-2-2023 at 05:35 PM

Good question.
Look at the hypothetical graph. $20 rt commission and $25 round turn slippage used.
Unusual in that the OOS last few years was better than IS- but i put that down to extremely good market conditions
note also how the OOS curve is choppier than the IS curve - again normal that oos is in some ways worse.
The previous oos drawdown from in sample results was about twice the later drawdown. Again this is normal. (as of a month ago)

Another factor is there was also one trade in the last 2 months that ts went long - stopped, but after data refresh made a good profit. Rare but it does happen for good and bad.
System trading is dangerous, and thats why I diversify. Systems can and do fail, but I think this is far from failed, and we also have a big cash buffer if you have traded this for a while.
I also use 4 * max drawdown as a capital base per system, NOT per portfolio. After 23 years I consistently see the aggressive traders blow up.
Look at today, numerous other systems had wins - but smaller than gsbsys1es that was stopped out
As im diversified, my account is just hitting new high level mark and then dropping down again numerous times this month - so for me insignificant drawdown
Its why I recommend not trade one system but many.
GSBsys1es has the longest track record, but personally I think the v2 variants are better, and the nq is nicely diversified. (I trade all variants though)
Also the flt versions are also totally different in characteristics.
I dont like stopping systems on a whim, I reduce and increase position size rather than drastic kill or double exposure to one system
Personally, the profits in the last 8 months have been amazing, but i didnt increase position size that much. But in all fairness have not done the maths to re balance my portfolio, mainly due to time pressures.
I also look at what are all the other similar systems doing in comparison. There are many variants of this, including numerous v2 variants on es / nq

this might be useful
https://trademaid.info/gsbhelp/Arealworldexample2.html

U.S. Government Required Disclaimer - Commodity Futures, Trading Commission Futures, Derivatives and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures, options, or any other assets. The past performance of any trading system or methodology is not necessarily indicative of future results.

CFTC rule 4.41 - Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.

timemeantnothing - 16-2-2023 at 11:48 PM

Thank you for the replies

admin - 17-2-2023 at 04:29 PM

you are welcome but I forgot the graph
you can hit the thank button on posts (anyone can) which also saves an email being sent out to subscribers to the thread when content updated

timemeantnothing - 17-2-2023 at 07:46 PM

Oh wow. Very interesting to see the OOS curve. Puts things into better perspective

admin - 17-2-2023 at 10:21 PM

agreeded, awesome run up but I suspect the v2 variants will out perform the v1 variants, and nq differs a decent amount from es

sabrol - 22-2-2023 at 09:11 PM

I ran GSB for the first time for NQ for 2001-01-01 to 2017-02-28 and have two questions:

1) Do the results from the workers get added to the Manager once they are done?

2) I only got around 20K results and not the 50K is that OK?

admin - 22-2-2023 at 11:03 PM

@sabrol,
I now use 20,000 in all tests. I havnt tested the difference of 20k vs 50 k for a very long time
20k or course is much faster.
Its likely on the left side of GSB, number of systems is set to 20k

Yes results from all your workers get added into the manager.

sabrol - 23-2-2023 at 06:22 AM

I ran GSB for the first time for NQ for 2001-01-01 to 2017-02-28 and have two questions:

1) Do the results from the workers get added to the Manager once they are done?

2) I only got around 20K results and not the 50K is that OK?

SwedenTrader - 2-3-2023 at 05:38 AM

I belive someone asked about this before but cant find it right now. My WFO tests stall right after they pass 90% of the test. Before this was only a problem if using the manager, now its on the standalone also...

JozefSusko - 3-3-2023 at 01:13 AM

Quote: Originally posted by SwedenTrader

I belive someone asked about this before but cant find it right now. My WFO tests stall right after they pass 90% of the test. Before this was only a problem if using the manager, now its on the standalone also...

see the forum
https://trademaid.info/forum/viewthread.php?tid=6&page=18

admin - 3-3-2023 at 02:15 AM

This is fixed in the next build, but the build is not compatable with any older versions. Hence my delay to release it. The entire cloud has to be updated for people to share workers etc
Planned release when there are more features /fixes. I will email more to you

TwntySQ - 13-3-2023 at 06:17 AM

Hi,

Fairly new here in the forum and recently bought GSB.

I have encountered two questions which may or may not be easy to answer.

1) What is reasonable time to build a system? Given around 7-20 workers. Some days it builds like a crazy and some days it goes really slow without configuring any paramteres.

2) How do I open saved systems into GSB? My Manager crashed but got to save some systems before it shut down.

Thanks.

TwntySQ - 13-3-2023 at 06:18 AM

Hi,

Fairly new here in the forum and recently bought GSB.

I have encountered two questions which may or may not be easy to answer.

1) What is reasonable time to build a system? Given around 7-20 workers. Some days it builds like a crazy and some days it goes really slow without configuring any paramteres.

2) How do I open saved systems into GSB? My Manager crashed but got to save some systems before it shut down.

Thanks.

Carl - 13-3-2023 at 08:11 AM

Quote: Originally posted by TwntySQ

Hi,

Fairly new here in the forum and recently bought GSB.

I have encountered two questions which may or may not be easy to answer.

1) What is reasonable time to build a system? Given around 7-20 workers. Some days it builds like a crazy and some days it goes really slow without configuring any paramteres.

2) How do I open saved systems into GSB? My Manager crashed but got to save some systems before it shut down.

Thanks.

Hi TwntySQ,

Welcome to the forum.

1. This depends on a few different factors.
a. markets and settings
b. availability of GSB workers.

ES and NQ are really easy in GSB. On good days (10-20 GSB workers) GSB can build 100k strategies in 1 hour. On slow days (0 or a few GSB workers) it can take half a day to get 100k strategies.

2. you can load saved strategies by right-clicking when the cursor is in the bottom pane and choose "Load" (number 6 counted from the bottom of the menu), then browse to the saved strategy code and click "Open". It takes a few seconds to open the code in GSB.

All the best

TwntySQ - 13-3-2023 at 08:29 AM

Thanks Carl.

I have GSB build 65.31 with beta.

Now I have around 7 builders and it has taken about 3 hours for 10k systems..
The other day I got around 100k after 2-3 hours with the same amount of workers.

Thanks.

Also - studied the metodology yesterday and as of my understanding the default settings in GSB is the latest optimal settings to go for? 11 indicators and added random noise 5 and 10 ticks? Have tried the 4 and 8 ticks random noise.

Where is the latest version of methodology?

thowoc213 - 13-3-2023 at 08:58 AM

Hi,

The GSB 65.30 expire problem gets a headache.
The RM downloads the newest GSB version (65.311) but it is removed by Norton.
That has never happened with any earlier GSB version.
Has the GSB been hacked?
Has anyone experienced the same problem?
Please advise.
Thomas

Carl - 13-3-2023 at 09:08 AM

Quote: Originally posted by thowoc213

Hi,

The GSB 65.30 expire problem gets a headache.
The RM downloads the newest GSB version (65.311) but it is removed by Norton.
That has never happened with any earlier GSB version.
Has the GSB been hacked?
Has anyone experienced the same problem?
Please advise.
Thomas

My Avira autovirus always gives false positives on GSB exe files.
I excluded the GSB folder in Avira.

Carl - 13-3-2023 at 10:07 AM

Quote: Originally posted by TwntySQ

Thanks Carl.

I have GSB build 65.31 with beta.

Now I have around 7 builders and it has taken about 3 hours for 10k systems..
The other day I got around 100k after 2-3 hours with the same amount of workers.

Thanks.

Also - studied the metodology yesterday and as of my understanding the default settings in GSB is the latest optimal settings to go for? 11 indicators and added random noise 5 and 10 ticks? Have tried the 4 and 8 ticks random noise.

Where is the latest version of methodology?

Hi TwntySQ,

Peters most recent preferred methodology is here:
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...

He created and shared 3 GSB macros to control the development process. Works really well.

CustomParamaters

greenMax10

nct3-300_build_p0.9_AT+stats_is2017.2_2018.2_2019.2_2020.2_2021.2-NoStartDates

TwntySQ - 17-3-2023 at 12:49 AM

Hi,

I have tried to export a system to Tradestation. Have done all the steps to get it up to work I think.

Here is the problem.

Once I try to automate the system/strategy in Tradestation and push OK I get the following message:

Tried to reference back more bars than allowed by the current MaxBarsBack setting. Please increase the maxBarsBack setting.

Im using TS 10.

Another error I get is: "Call stack:GSB_HighestFFC.main()GSB_NQ_V1.9.main()ELRte"

Any advice or anyone have experienced the same errors in Tradestation?

Thanks,

admin - 17-3-2023 at 01:00 AM

@TwntySQ
You need to right click the chart, go to properties and set bars back to 500
Did you import the latest gsb eld and verify all
in C:\gsb\Supplementary Scripts (TS & MC)

Check also you have a number of years of data, your session time is correct (800 to 1500 or 830 to 1500 is common)

TwntySQ - 17-3-2023 at 07:10 AM

Seems like it still doesn't work.

If anyone have encountered the same issue, please let me know - I accept any advice.

The tradestation forums/help desk isn't always the best to give advice.

Have a great weekend.

TS 9.5 crash while trading GSBSYS1NQ_V2-15M

BlackBox - 17-3-2023 at 01:23 PM

Today I traded the new bought GSBSYS1NQ_V2-15M system and it crashed my TS 9.5 at the trade entry, same issue I had with the AG_ES_15_L_SWING_101 system a while ago. That issue was never solved and I was forced to stop trading that system. Do anyone trade the GSBSYS1NQ_V2-15M system without issues? I don't experience any of these issues with other systems.

All prerequisites on TS crashes are executed
https://trademaid.info/gsbhelp/Tradestationbestpracticeandfi...

admin - 17-3-2023 at 02:40 PM

@blackbox,
TS is crashing a great deal and overeall we have made significant improvements to covering it up its bugs.
I feel the issue will not be due to the systems even though thats what you appear to see from a small sample of trades
I would make a system that buys and sells every few bars on sim account as a test.
Both systems are just standard ts code.
You also need to see if you have the memory leak issue. A restart of ts each day is wise and ts10 has much less issues even though i strongly prefer ts 9.5
No users have ever reported what you experience related to specific systems.
You can also phone ts support

brk - 19-3-2023 at 11:03 AM

New User - Portfolio Analyst Pro question/issue.

I'm trying out the software and trying to get the ELD strategy to work with my strategies.
I see in the strategy that its trying to create a file in:

C:\Program Files (x86)\Portfolio Analyst Pro\data\

which exists and has files there. But the strategy crashes with "FileAppend function failed". I tried changing permissions on the folder, removing the read-only and uses advanced sharing to share it.
I'm more of a unix & linux person. So I'm out of my element with Windows 10 and TS 10 and what's required to allow TS to write to that folder. Or is that even the problem?

admin - 19-3-2023 at 01:13 PM

@brk,
if you are on ts 10, and not running ts as windows administrator, ts didnt have permission to write to that folder.
So either run ts 10 as windows administrator or change the path to say c:\papro
you will need to create the folder c:\papro

brk - 19-3-2023 at 04:38 PM

Actually, I am the windows administrator. Sorry, I'm more a unix & linux person, not as versed in windows. I realize I can write to my home folder but wanted to not change things if possible...

admin - 20-3-2023 at 11:18 PM

CPU % busted
On my new i9 13900 I didnt go to windows 11 as the cpu measurement per process is busted. (all report zero)
and its optimized that the front on your screen process gets much more cpu allocation.
Both of these are bad for me personally.
I dont need my email client with massive cpu allocation while gsb gets very little
Wrong cpu measurement also causes mild issues with gsb resource manager

I now have the same cpu issue with windows 10. Anyone else have it?

SwedenTrader - 22-3-2023 at 06:25 PM

Why does the scripts TS matchcheck and TS live trading differ so much when opening the entire dataset in TS ? How and when are we using the different scripts when a system is finished in GSB ?

admin - 22-3-2023 at 06:50 PM

@SwedenTrader
If using match check, you should get a 99% + match
if not reasons are - human error in setup, data not the same or indicator miss-match in GSB. Most but not all miss matches are fixed in the current GSB release, but more fixed in the next release
For live trading, you must export live trading script

SwedenTrader - 23-3-2023 at 11:16 AM

@admin the match check code is 99% in TS vs GSB results.
But the live trading code is not, how come they differ on the same TS chart ?

@SwedenTrader
If using match check, you should get a 99% + match
if not reasons are - human error in setup, data not the same or indicator miss-match in GSB. Most but not all miss matches are fixed in the current GSB release, but more fixed in the next release
For live trading, you must export live trading script

admin - 23-3-2023 at 04:15 PM

@SwedenTrader
live trading will not match as there are new trades that are not in the GSB report

SwedenTrader - 23-3-2023 at 04:23 PM