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

Quote: Originally posted by admin

Im having great success with secondary filters. The top rating filters via secondary filters stats are NOT the best secondary filter. Note my benchmark using the two closed SF vs some of the others on the list.

Thought I would share with the group a little work I am doing to further analyze indicator performance. The following graph is based from top 1000 fitness function values taken from a dataset of 50k systems. Clearly shows the indicator and sf-indicator combination that was most successful.

Quote: Originally posted by RandyT

Thought I would share with the group a little work I am doing to further analyze indicator performance. The following graph is based from top 1000 fitness function values taken from a dataset of 50k systems. Clearly shows the indicator and sf-indicator combination that was most successful.

On a roll this week. This was using RSI as SF in indicator selection, and RSI only as secondary fitlers.
this is the 91 top VSS

Quote: Originally posted by Daniel UK1

Quote: Originally posted by admin   Im having great success with secondary filters. The top rating filters via secondary filters stats are NOT the best secondary filter. Note my benchmark using the two closed SF vs some of the others on the list. Hi Peter many thanks for sharing. I am having a bit difficulty to understand what you mean with "Top rating filter via secondary filters" ? and that those are not the best secondary filters?# And Note my benchmark using the two closed SF vs some of the others on the list." I could not understand which one in your pic was the benchmark, and what is the "other" you arereferring to? and which "list do you mean? Sorry for not understanding your properly. Thanks

So see here, a test of all SF (done with my favorite 19 CL indicators, # of indicators=3, training pf 1.8 pearsons 0.95, cl15min (data2=30 min)
It appears that CloseD are much better than all other SF.





but then we do the same test with no CloseDsf
We get this list




So we then build systems , but try HighLowD. Results terrible



Then we try close.preveHd
Results fantastic.

and we go down the list of all whats in green.
it gets better further down with some of the others.

Quote: Originally posted by admin

Quote: Originally posted by Daniel UK1   Quote: Originally posted by admin   Im having great success with secondary filters. The top rating filters via secondary filters stats are NOT the best secondary filter. Note my benchmark using the two closed SF vs some of the others on the list. Hi Peter many thanks for sharing. I am having a bit difficulty to understand what you mean with "Top rating filter via secondary filters" ? and that those are not the best secondary filters?# And Note my benchmark using the two closed SF vs some of the others on the list." I could not understand which one in your pic was the benchmark, and what is the "other" you arereferring to? and which "list do you mean? Sorry for not understanding your properly. Thanks So see here, a test of all SF (done with my favorite 19 CL indicators, # of indicators=3, training pf 1.8 pearsons 0.95, cl15min (data2=30 min) It appears that CloseD are much better than all other SF. but then we do the same test with no CloseDsf We get this list So we then build systems , but try HighLowD. Results terrible Then we try close.preveHd Results fantastic. and we go down the list of all whats in green. it gets better further down with some of the others.

Here is current CL system im working on. It used 5 separate indicators - which gives a little better result than 3.

However im not happy with 5 indicators in that the correlation of the top families with each other is very high.

updates on CL results.
Earlier total of 3955 (a few posts above) is now 9380.
2019.2.28 till 2019.12.31 results are g / h
Im still playing around with many options, but it looks outstanding.
Will publish more details when the dust has settled.

Quote: Originally posted by admin

updates on CL results. Earlier total of 3955 is not 9380. 2019.2.28 till 2019.12.31 results are g / h Im still playing around with many options, but it looks outstanding. Will publish more details when the dust has settled.

Quote: Originally posted by Daniel UK1

Quote: Originally posted by admin   updates on CL results. Earlier total of 3955 is not 9380. 2019.2.28 till 2019.12.31 results are g / h Im still playing around with many options, but it looks outstanding. Will publish more details when the dust has settled. Looks very very good Peter. What do you mean with "Earlier total of 3955 is not 9380." Regards typo, ive fixed it now thanks. Daniel

Started to check in detail diff between real live trading and backtest, its done by hand.. usually compare and take note when i am restarting trade server... number in white cell is number of trades pnl is calculated from.. Real is with IB commission and based on live trading and real fills, Backtest is with IB comission only. Strats with gsb in name is as it says, GSB systems. Obviously amount of trades since i started tracking like this, is not statistical sign, but perhaps interesting anyway..

Im showing an optional validation methods at the end of the process - and later will show how we got CL systems
GSB exports into EWFO. EWFO is much more specialized in WF ability.
Fitness can be curve fitted like many other things in trading. So im going to take 3 years of data off and run fitness stability scores.
This takes some time as each fitness we try is a separate WF run.
The best fintess is area under drawdown. It has best metrics of astab-c,rstab-c, np & DD, etc
Incidently TS, fitness is half way down the rank (Np/-draw-down*winners)

I then put the full dates back to 20191231 and do the WF with fitness sum of area under draw-down curve)

Note since 2013 in sample is exactly the same as out of sample





a rolling wf also works well.
I find GSB systems work better with anchored WF, but feel rolling is a greater stress test.
Tomorrow we will show the cluster analysis results

here is the results of cluster analsysis.
anchored




and rolling




It is very rare to find systems that have a perfect pass. Keep in mind there are additional criteria that EWFO has compared to TS WFO

Big thank you gdk13 for your comments.

Here is another CL system.
It has (deliberately different) secondary filter to the above.
It passed all EWFO tests perfectly. (hard to do)




Interesting that the systems are UN-correlated. Thats not an easy thing to get when day trading the same market, time zone / bar interval.

Quote: Originally posted by moresi522

Hi, first af all I want to apologize for my english and for each grammar mistake. I want to share with you my first complete experience of ES Methodology. I have some doubts about results and I really would like to hear your opinion. in the xls file attached you could find all tests I made with ES. I simply loaded the file that GSB give us with default installation, tuning parameters as video "Genetic System Builder, updated methodology! Build a trading system with great out of sample result" (file attached Baseline.gsboptset) and run for 50k systems. At the end I run Macro M1 and immediately I found inconsistencies with the video results (see Baseline Sheet A50 -my fitness result- A52 - Peter's result). The fitness result are so much lower than video result. And I've only run run 50k system as peter does with the same (I think) parameters. As secondo step I looked for good indicators (file SearchIndicators.gsboptset). 20k Systems and macro IndicatorStats+FullSettingsReset_new.gsbmacro under C:\GSB\Data\Settings\Macros gives my 9 indicators Decycler,Oscillator,Dmi,DmiPlus,Momentum,RoofingFilter1Pole2,RSI,CounterTrend,CloseLessPrevHighD,VolumeLessPrevAverageFc Thirth step. Then I'v used that indicators with all settings, the results are slightly better than Baseline (Sheet 3IndAll from A46), but nothing special. fourth step. If you look for 3IndCustom1 Sheet (file 3IndCustom1.gsboptset) you can see the parameter list I have used (a little different from video indication, It's my mistake but I'd like to see how it worked). Fitness value for Main Astab e Vss are better but far from Peter's video. At the end I've set all right parameters (well, I think), (File 3IndCustom1Final.gsboptset) but the result is poor and even worst from "not reccomended" setting of 3IndCustom1 sheet. I'm definitely doing something wrong, but sincerly I don't understand where. Another strange thing is that running macro 5 it found only 57 elements, not 90. I have also all 250 WF systems if you want. I am absolutely available to give you all the files and informations that I have. What do you thing? Thanks in advance for any advice

Moresi,

I am no expert, but here are a few comments about what I see in your Final settings.

1. You have an exit mode set. If you are trying to duplicate results Peter is showing, you will want to disable all exit modes.

2. FYI, in "Sign mode, I believe we are finding that SumOfIndicatorsSign is better than "Original".

3. In the Optimization section, if you are following Peter's new methodology, you will want to set Training 100%, Test 0%. I think this may be limiting your training data given you are setting Nth Day = 1, Nth Day Period 80.

4. You'll also want to set Trading Periods - Post Build Auto Nth Day Mode = All.

5. In General Volume, make sure that if you have up/down volume tick data (2 columns for volume) that you set this to TickCount. It will matter for some indicators.

6. Lastly, make sure you are running with latest indicators. These are available for download in one of the forum threads. There have been some fixes to these lately.

That should get you a bit closer.

And BTW, no need to apologize for your English. I should be apologizing because I only speak one language...

Edit: Link to latest macros: https://trademaid.info/forum/viewthread.php?tid=262&goto=search&pid=4649

Quote: Originally posted by moresi522

Hi, first af all I want to apologize for my english and for each grammar mistake. I want to share with you my first complete experience of ES Methodology. I have some doubts about results and I really would like to hear your opinion. in the xls file attached you could find all tests I made with ES. I simply loaded the file that GSB give us with default installation, tuning parameters as video "Genetic System Builder, updated methodology! Build a trading system with great out of sample result" (file attached Baseline.gsboptset) and run for 50k systems. At the end I run Macro M1 and immediately I found inconsistencies with the video results (see Baseline Sheet A50 -my fitness result- A52 - Peter's result). The fitness result are so much lower than video result. And I've only run run 50k system as peter does with the same (I think) parameters. As secondo step I looked for good indicators (file SearchIndicators.gsboptset). 20k Systems and macro IndicatorStats+FullSettingsReset_new.gsbmacro under C:\GSB\Data\Settings\Macros gives my 9 indicators Decycler,Oscillator,Dmi,DmiPlus,Momentum,RoofingFilter1Pole2,RSI,CounterTrend,CloseLessPrevHighD,VolumeLessPrevAverageFc Thirth step. Then I'v used that indicators with all settings, the results are slightly better than Baseline (Sheet 3IndAll from A46), but nothing special. fourth step. If you look for 3IndCustom1 Sheet (file 3IndCustom1.gsboptset) you can see the parameter list I have used (a little different from video indication, It's my mistake but I'd like to see how it worked). Fitness value for Main Astab e Vss are better but far from Peter's video. At the end I've set all right parameters (well, I think), (File 3IndCustom1Final.gsboptset) but the result is poor and even worst from "not reccomended" setting of 3IndCustom1 sheet. I'm definitely doing something wrong, but sincerly I don't understand where. Another strange thing is that running macro 5 it found only 57 elements, not 90. I have also all 250 WF systems if you want. I am absolutely available to give you all the files and informations that I have. What do you thing? Thanks in advance for any advice

> The reason likely is the dates are not set back to 2000-2015.
you are right Peter. My bad.

I'm not able sto start Macro 11/12 Peter, I've downloaded the last macro from here
https://trademaid.info/forum/viewthread.php?tid=262&goto=sea...
but I got this error (see image attached) for both macros

Quote: Originally posted by moresi522

> The reason likely is the dates are not set back to 2000-2015. you are right Peter. My bad. I'm not able sto start Macro 11/12 Peter, I've downloaded the last macro from here https://trademaid.info/forum/viewthread.php?tid=262&goto=sea... but I got this error (see image attached) for both macros

for days like today where there is a limit down move,
adding this code to ES systems I feel has merit.
Im NOT adding it to GSBSYS1es but am to most of my other ES systems

the logic is, if the open has droped so much its a limit move (exchange wont allow more movement) there is decent chance market will go up, not down. So dont go short.

I just implemented this minutes before the open.
For today it means dont trade shortif at 9am central time the market is <2910. (gsb systems wont trade long unless market goes miles up.)
I am asleep in a minute and will not reply till after the close on this issue

Great idea Peter, for times like this, taking a few days of holiday without trading and focus on research is also a great option... to not hit stops now is more luck than actual edge in a system..

Vacation and research it is for me right now

Quote: Originally posted by admin

basically to choose indicators on ES, follow whats in the CL docs see step 4 https://trademaid.info/gsbhelp/Crudeoilmethodology.html

Quote: Originally posted by moresi522

Quote: Originally posted by admin   basically to choose indicators on ES, follow whats in the CL docs see step 4 https://trademaid.info/gsbhelp/Crudeoilmethodology.html Peter, I didn't understand very well. You told me to use the 14 indicator as wrote in "Crudeoilmethodology" the use the part4 documentation to find out what? Step 4 is "Find best primary indicators for the chosen secondary filter".. I have to use the video methodology or the Crudeoilmethodology? Could you be a little clearer please? ps. in step4 you say to launch macro15 . But I'm not able to find out that macro. I saw "file repository" thread but there is no such file Thanks

Quote: Originally posted by Daniel UK1

Quote: Originally posted by moresi522   Quote: Originally posted by admin   basically to choose indicators on ES, follow whats in the CL docs see step 4 https://trademaid.info/gsbhelp/Crudeoilmethodology.html Peter, I didn't understand very well. You told me to use the 14 indicator as wrote in "Crudeoilmethodology" the use the part4 documentation to find out what? Step 4 is "Find best primary indicators for the chosen secondary filter".. I have to use the video methodology or the Crudeoilmethodology? Could you be a little clearer please? ps. in step4 you say to launch macro15 . But I'm not able to find out that macro. I saw "file repository" thread but there is no such file Thanks Hi Moresi, You use Peters 14 proposed indicator to find your preferred SF Filters. Then you could do WF stats and decide on what SF you like best, after that you could do Main indicator stats to find your own best main indicators for your decided SF filters, those might not at all be like peters 14 proposed and will most likely differ from SF to SF used. You really dont need macros for all this apart from the usual WF stats, astab, vss etc.. Regards

Yes true Randy you are correct..., i thought it was about CL, however... i would still test myself.. and just use what we or anyone else say as rough guidelines or best start..
I will at least myself, redo from scratch ES and every other market after our findings for CL, in order to verify for myself that what i have found until now, is best for me to use...

One thing that i find interesting though is that after each "from scratch research run", i do for a single, market which perhaps happens 1-2 times a year, i always find something new or an improved version of my previous "optimal" setup

Regards

Quote: Originally posted by Daniel UK1

Yes true Randy you are correct..., i thought it was about CL, however... i would still test myself.. and just use what we or anyone else say as rough guidelines or best start.. I will at least myself, redo from scratch ES and every other market after our findings for CL, in order to verify for myself that what i have found until now, is best for me to use... One thing that i find interesting though is that after each "from scratch research run", i do for a single, market which perhaps happens 1-2 times a year, i always find something new or an improved version of my previous "optimal" setup Regards

Quote: Originally posted by Daniel UK1

Yes true Randy you are correct..., i thought it was about CL, however... i would still test myself.. and just use what we or anyone else say as rough guidelines or best start.. I will at least myself, redo from scratch ES and every other market after our findings for CL, in order to verify for myself that what i have found until now, is best for me to use... One thing that i find interesting though is that after each "from scratch research run", i do for a single, market which perhaps happens 1-2 times a year, i always find something new or an improved version of my previous "optimal" setup Regards

Test done.

28707 Unique systems I though it was enough for testing

setting file is attached
3 indicators
All indicators (tried Beta Mode mode with 84 indicators)
4 operators
8/12 Entry modes
2/4 Norm Mode
SF Mode enabled with CloseLessPrevCloseDBpv (as in video)
0/3 stop loss
0/8 exit modes
date 1900-01-01 end 2015-06-30
DatesMode Trd
Times 0:0:0 - 23:59:0
NthDay 1 Mode NoTrd Period 80
Max Sl 1000


I think they are the identical settings of the video

here the very bad result:
First M1 marco then M3 Macro
Total C,D,E,F =$ 99 (Peter -> Total C,D,E,F = $ 4.906) (image attached)

AStab With Macro M11
Total C,D,E,F =$ 1.273 (Peter -> Total C,D,E,F = $ 4.807)

VSS With Macro M12
Total C,D,E,F =$ 1.465 (Peter -> Total C,D,E,F = $ 4.162)

but has anyone had similar results to those of the video?
if yes, please. Could you share the baseline settings?

Peter could you tell me if my baseline setting file has something wrong?

How can I start to build a live system trading if my demo result are 4 times worst than official methodology?

I admit that I am quite worried




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Quote: Originally posted by moresi522

Test done. 28707 Unique systems I though it was enough for testing setting file is attached 3 indicators All indicators (tried Beta Mode mode with 84 indicators) 4 operators 8/12 Entry modes 2/4 Norm Mode SF Mode enabled with CloseLessPrevCloseDBpv (as in video) 0/3 stop loss 0/8 exit modes date 1900-01-01 end 2015-06-30 DatesMode Trd Times 0:0:0 - 23:59:0 NthDay 1 Mode NoTrd Period 80 Max Sl 1000 I think they are the identical settings of the video here the very bad result: First M1 marco then M3 Macro Total C,D,E,F =$ 99 (Peter -> Total C,D,E,F = $ 4.906) (image attached) AStab With Macro M11 Total C,D,E,F =$ 1.273 (Peter -> Total C,D,E,F = $ 4.807) VSS With Macro M12 Total C,D,E,F =$ 1.465 (Peter -> Total C,D,E,F = $ 4.162) but has anyone had similar results to those of the video? if yes, please. Could you share the baseline settings? Peter could you tell me if my baseline setting file has something wrong? How can I start to build a live system trading if my demo result are 4 times worst than official methodology? I admit that I am quite worried

Quote: Originally posted by moresi522

Test done. 28707 Unique systems I though it was enough for testing setting file is attached 3 indicators All indicators (tried Beta Mode mode with 84 indicators) 4 operators 8/12 Entry modes 2/4 Norm Mode SF Mode enabled with CloseLessPrevCloseDBpv (as in video) 0/3 stop loss 0/8 exit modes date 1900-01-01 end 2015-06-30 DatesMode Trd Times 0:0:0 - 23:59:0 NthDay 1 Mode NoTrd Period 80 Max Sl 1000 I think they are the identical settings of the video here the very bad result: First M1 marco then M3 Macro Total C,D,E,F =$ 99 (Peter -> Total C,D,E,F = $ 4.906) (image attached) AStab With Macro M11 Total C,D,E,F =$ 1.273 (Peter -> Total C,D,E,F = $ 4.807) VSS With Macro M12 Total C,D,E,F =$ 1.465 (Peter -> Total C,D,E,F = $ 4.162) but has anyone had similar results to those of the video? if yes, please. Could you share the baseline settings? Peter could you tell me if my baseline setting file has something wrong? How can I start to build a live system trading if my demo result are 4 times worst than official methodology? I admit that I am quite worried

To start of the weekend

3 Tips for new GSB traders
that in my imho is good to look into

- 1, Make sure you limit your strategy new trade end time for example 30 min before session close time, so you dont enter into a new trade just before ssession closes.

- 2, Limit amount of trades per day to 1
In order to avoid potential issues, for example if trading multiple strategies on same symbol, that they trades in different directions, that you dont know max total risk per day per strategy if you dont limit it to 1, you also might end up getting stopped out and then right away take a trade in same direction as you was stopped out.

- 3, You WILL regret after some time after you started with GSB, that you from start did not have a process, that you did not document your testing into excel in detail including dates, stats and thoughts , that you did not saved each test as a unique opt setting and finally.. that you did not had a thought trough system for how you saved your opt settings so can find that great SI Opt setting that you used a year ago for that brilliant SI system that is really killing it and since you did NOT saved your WF results to your excel, you cant compare that either to the new shiny from scratch SI system you are building..

Happy Saturday

Quote: Originally posted by Carl

Great tips, Daniel. I fully agree. Developing systems "on the fly" will get you into trouble after a while. You really need to structure your development process, document the steps taken and save the gsbopset file with a unique name and/or code. For the top 10 best systems for every GSB test, I also save the system code. And I save the results of the top 10 best systems by making GSB screenshots and copying them into a Word document. For every system in the top 10: 1. screenshot equity line per date 2. screenshot equity line per trade 3. Parameter tab (just to see what indicators and entry modes are used) 4. WF tab 5. TS code (because I am using Tradestation) And I save further Tradestation test results (backtest, WF and to on) in the same Word document.

Best practices to find Secondary Filter.

Hi,
i'm, trying to find the best SF for ES. I've read https://trademaid.info/gsbhelp/Crudeoilmethodology.html (aware that it's a "work in progress").
These are the varius steps I followed:
1 - Builded 50k systems, Recorded all the values (Main, Astab and VSS)
2 - Builded 20k Systems, founded best primary indicator.
3 - Applied those indicators.
4 - Enabled all secondary filters (with the indicators founded at point 3), so I have 11 Primary Filter and 84 SF filter (see strategy.png) entry mode only CrossDualLevels
5 - Builded 50k System to find best sf filter..

And here I don't understand the result, because selecting 25k best fitness systems, put those in Fav A -> Click dx -> Statistics -> Save Params Perfs. Under Statistics Params. (SF) I have only, well please see image attached. 1 Result, only one , CloseLessPrevCloseFBPrevUnNormalized with ratio 0.5. I've got the same result launching Macro IndicatorStats+FullSettingsReset_new.gsbmacro (by the way, for your experience is it better selecting half result then Fav A -> Click dx -> Statistics -> Save Params Perfs or launching the macro?)

How can obtain only 1 result?

I think I'm doing something wrong with build indicators SF and SF Mode with SF Indicator, but It's not very clear for me how they work together.

Thanks

Quote: Originally posted by moresi522

Best practices to find Secondary Filter. Hi, i'm, trying to find the best SF for ES. I've read https://trademaid.info/gsbhelp/Crudeoilmethodology.html (aware that it's a "work in progress"). These are the varius steps I followed: 1 - Builded 50k systems, Recorded all the values (Main, Astab and VSS) 2 - Builded 20k Systems, founded best primary indicator. 3 - Applied those indicators. 4 - Enabled all secondary filters (with the indicators founded at point 3), so I have 11 Primary Filter and 84 SF filter (see strategy.png) entry mode only CrossDualLevels 5 - Builded 50k System to find best sf filter.. And here I don't understand the result, because selecting 25k best fitness systems, put those in Fav A -> Click dx -> Statistics -> Save Params Perfs. Under Statistics Params. (SF) I have only, well please see image attached. 1 Result, only one , CloseLessPrevCloseFBPrevUnNormalized with ratio 0.5. I've got the same result launching Macro IndicatorStats+FullSettingsReset_new.gsbmacro (by the way, for your experience is it better selecting half result then Fav A -> Click dx -> Statistics -> Save Params Perfs or launching the macro?) How can obtain only 1 result? Thanks

soon will have a batch file to compress the ts.bin files used for ewfo.
here 1.72 gb files compress to 47mb.

The next release of ewfo supports .7zip files (bin files zipped up using .7zip)

Quote: Originally posted by ants222222

What stop is recommended for the free gsb system? default is 3000?

cl methodology now completed but might need to be polished a little.
https://trademaid.info/gsbhelp/Crudeoilfastrevisedmethodolog...
comments welcome

Quote: Originally posted by asobi

Hello Peter, What's the rationale to use "Trading Periods - Post Build"? Also, for settings under "Trading Periods" and "Trading Periods - Post Build", I saw different configurations (Trd/NoTrd/All/left blank) on different step of your methodology. Why doing so? Can you please help elaborate? I got stuck here for quite a long time. Many thanks!

Just a few things
This is RC2dax results. made by the command line predecessor ofGSB
57262 Euro less brokerage.
Its much older than shown but I dont have the track record

shown also is fibonacci lines on 24 hour es data.
Market seems to work well with them

disclaimer, past returns can not be used to determine future returns.
Trading has significant risk

FREE cl system for GSB purchasers.
Reports etc are here for any forum member
https://trademaid.info/forum/viewthread.php?tid=63&page=2#pi...

Just a note.
For CL we have many secondary filters.
Whats interesting is the loosing day correlation of systems with different secondary filter is very low but winning period correlation very high.

Quote: Originally posted by Daniel UK1

Not sure where to put this, but i wanted to check if other have checked with IB about CL and negative pricing? i was hearing stories about people not being able to exit trades when may got negative.. and suffered huge losses... and then I though or perhaps assumed it was fixed since TWS could as of now at least show negative prices... but i contacted IB today to make sure of things, since getting into several CL contracts now knowing if i can get out despite using stops, is not really optimal... to my surprise over several chats and over 4 hours and several IB support teams... no one could provide a clear answer to the question, can i trade CL june contract if it goes negative, can i get out of existing trades or open new ones? does IB gateway work as intended with negative prices, and TWS? first person said NO, second person said YES, third person said MAYBE.... Have anyone else managed to get clarity in regards to this ? Regards

Im trading with IB but havnt hit negative prices on CL.
Im not sure if it was you, but one user had good wins on CL recently but there contract roll was way to late. Thats getting much more risky. Volume was the same on both contracts on 13 april.

You could always code gsb system to say if price >$5
ie

if time >= 900 and Time < 1330 and price >$5 then ....
Were there any updates to tws of late to support this? I have a extremely older version and need to update soon regardless


No big deal but this should go under general support section




Even in the beta tws, there are no comments about negative prices
https://www.interactivebrokers.com/en/index.php?f=1656
you should contact api@interactivebrokers.com

Also, if you can try the tws sim/paper account. Esp good to do this if prices go < $0

Quote: Originally posted by admin

Quote: Originally posted by Daniel UK1   Not sure where to put this, but i wanted to check if other have checked with IB about CL and negative pricing? i was hearing stories about people not being able to exit trades when may got negative.. and suffered huge losses... and then I though or perhaps assumed it was fixed since TWS could as of now at least show negative prices... but i contacted IB today to make sure of things, since getting into several CL contracts now knowing if i can get out despite using stops, is not really optimal... to my surprise over several chats and over 4 hours and several IB support teams... no one could provide a clear answer to the question, can i trade CL june contract if it goes negative, can i get out of existing trades or open new ones? does IB gateway work as intended with negative prices, and TWS? first person said NO, second person said YES, third person said MAYBE.... Have anyone else managed to get clarity in regards to this ? Regards Im trading with IB but havnt hit negative prices on CL. Im not sure if it was you, but one user had good wins on CL recently but there contract roll was way to late. Thats getting much more risky. Volume was the same on both contracts on 13 april. You could always code gsb system to say if price >$5 ie if time >= 900 and Time < 1330 and price >$5 then .... Were there any updates to tws of late to support this? I have a extremely older version and need to update soon regardless No big deal but this should go under general support section Even in the beta tws, there are no comments about negative prices https://www.interactivebrokers.com/en/index.php?f=1656 you should contact api@interactivebrokers.com Also, if you can try the tws sim/paper account. Esp good to do this if prices go < $0

Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than normal though. As you say volume on CLMO was same at may on 13th.

Anyway, yes to code in a safety feature might be good.

In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words.

I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can enter negative but not trade during negative, and third person said maybe.
So as you can see this is very much unclear even for IB and needs further investigation.

I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem.

Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry

Anyway i am investigating further and will update..

Quote: Originally posted by Daniel UK1

Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than normal though. As you say volume on CLMO was same at may on 13th. Anyway, yes to code in a safety feature might be good. In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words. I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can enter negative but not trade during negative, and third person said maybe. So as you can see this is very much unclear even for IB and needs further investigation. I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem. Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry Anyway i am investigating further and will update..

IB Negative Prices

Interesting thing to note is that CME customers were warned on April 3rd about the possibility of negative prices on the energy complex.

I am still searching myself for anyone that traded those negative prices on IB...

Quote: Originally posted by NickW

Interesting thing to note is that CME customers were warned on April 3rd about the possibility of negative prices on the energy complex. I am still searching myself for anyone that traded those negative prices on IB...

I have paper traded on in sim account today.
just did a limit and stop limit

Quote: Originally posted by RandyT

Quote: Originally posted by Daniel UK1   Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than normal though. As you say volume on CLMO was same at may on 13th. Anyway, yes to code in a safety feature might be good. In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words. I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can enter negative but not trade during negative, and third person said maybe. So as you can see this is very much unclear even for IB and needs further investigation. I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem. Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry Anyway i am investigating further and will update.. Daniel, FWIW, I've too am running on MC and using DTN data, although I am executing through Rithmic. I have decided to roll based on OI which seems to be reasonably good way to stay out of this current mess in CL. I've created custom contracts in MC and am rolling based on 2 days higher OI and using 'difference' to back adjust. I tried a ratio adjustment but it led to some unrealistic gains in backtest. Then it is just a matter of mapping to the contract month on Rithmic that my OI tracking shows. For now, this seems to be working and it is keeping me in what appears to be the safer contract. I have debated changing current CL system to only allow short trades but have not gone there yet.

Hi Randy, thanks for feedback..

Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single monthly contract though . Would it not be great if one could search for all monthly contracts and then just import all in one time..

IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better.

I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply.

Regards

Quote: Originally posted by Daniel UK1

Hi Randy, thanks for feedback.. Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single monthly contract though . Would it not be great if one could search for all monthly contracts and then just import all in one time.. IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better. I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply. Regards

Quote: Originally posted by RandyT

Quote: Originally posted by Daniel UK1   Hi Randy, thanks for feedback.. Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single monthly contract though . Would it not be great if one could search for all monthly contracts and then just import all in one time.. IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better. I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply. Regards Daniel, the only reasonable way to set these up is to import the contract list. I include a list of all of the CL contracts needed to have custom contract back to about 2007. Just import that into QuoteManager and you are good to go. Note: you will want to make sure that QCL is defined in the symbol dictionary for IQfeed so that contract details are correct. Not all of them are there by default.

Quote: Originally posted by Daniel UK1

Update in regards to negative pricing discussed previously, IB confirmed its not an issue anymore, but has been though. Summary: Interactive Brokers IBCS 2020/04/30 08:42:18 Dear Further to our recent conversation in the chat, please note the following: We have updated our trading platform, TWS, in order to allow the entering of negative prices for Futures. Therefore, should a Future have a negative price again as recently occurred, you can enter your order and order routing is expected to work without any issue and as normal. Regarding options, we are currently working to enable our platform to display and allow order entry for options with negative strike prices, should that scenario occur again. I hope this helps, should you have any further questions please do not hesitate to contact us. Kind regards, Trade Desk

Quote: Originally posted by admin

Quote: Originally posted by Daniel UK1   Update in regards to negative pricing discussed previously, IB confirmed its not an issue anymore, but has been though. Summary: Interactive Brokers IBCS 2020/04/30 08:42:18 Dear Further to our recent conversation in the chat, please note the following: We have updated our trading platform, TWS, in order to allow the entering of negative prices for Futures. Therefore, should a Future have a negative price again as recently occurred, you can enter your order and order routing is expected to work without any issue and as normal. Regarding options, we are currently working to enable our platform to display and allow order entry for options with negative strike prices, should that scenario occur again. I hope this helps, should you have any further questions please do not hesitate to contact us. Kind regards, Trade Desk what im not clear on is do we need to upgrade tws? negative prices worked fine on the sim account with very old tws

I would like to understand better the meaning of the graph in GSB.
example, getting one of the systems generated from EURUSD GSB I see the result in the image attached.
from 2010 30/6/2017 training with nth of 80 days
and WF goes from 2010 to 28/2/2019)
the first is image is the comparison between the two equity with mathchecking script. and the result is the same. Also the trade numbers are the same. Good.
Problems came when I use the live trading script. As you can see in the second image I have in GSB the WF until 2019 with WF OOS the still improve the equity. The same thing in the same period does not happen in MC where the result are not good.
So, How do we understand immediately if a system is good also outside the training period? I thought WF OOS would give us the right direction with live trading, but It does not seem the way.
Thank you

Quote: Originally posted by moresi522

I would like to understand better the meaning of the graph in GSB. example, getting one of the systems generated from EURUSD GSB I see the result in the image attached. from 2010 30/6/2017 training with nth of 80 days and WF goes from 2010 to 28/2/2019) the first is image is the comparison between the two equity with mathchecking script. and the result is the same. Also the trade numbers are the same. Good. Problems came when I use the live trading script. As you can see in the second image I have in GSB the WF until 2019 with WF OOS the still improve the equity. The same thing in the same period does not happen in MC where the result are not good. So, How do we understand immediately if a system is good also outside the training period? I thought WF OOS would give us the right direction with live trading, but It does not seem the way. Thank you

Quote: Originally posted by admin

Here is 46 minute video on CL. Its part 1. Its not finished. Its not fully edited. There is at least 1 mistake. I said no out of sample after 2018 but its actually 2019.2.28 uploading now

Quote: Originally posted by cotila1

Quote: Originally posted by admin   Here is 46 minute video on CL. Its part 1. Its not finished. Its not fully edited. There is at least 1 mistake. I said no out of sample after 2018 but its actually 2019.2.28 uploading now thanks Peter. I guess final version(s) will be on your Utube channel too?

warning.
Interactivebrokers reject jun contract today, turns out they have forced us to roll earlier. (new policy)
6 or 7 days before expiry.
Im at a loss to make a ts sybol to auto roll earlier
Even if i set to 12 days prio to expiration, price doesnt change.
so price on both the same, but it says colagate palmolive!

Quote: Originally posted by Daniel UK1

Yeah also saw this. Not allowing new risk, (new positions) after 5 days before expiry on CL. Exits etc allowed though. Kind of tricky.. cant you just for a few days, use CL JULY contract and manually add june data to it before you can switch back to the adjusted contract?

Quote: Originally posted by admin

video is live. Please hit the youtube like button. Macros will be uploaded in a number of hours https://youtu.be/QYg5eH2Q1_s

Quote: Originally posted by cotila1

Quote: Originally posted by admin   video is live. Please hit the youtube like button. Macros will be uploaded in a number of hours https://youtu.be/QYg5eH2Q1_s If Im not wrong, you're gonna to upload a second part of video on private forum only?

Quote: Originally posted by meldinman

In the documentation for GSB there are a few pages on the methodology. Proving the methodology and legacy updates seem to have similar instruction with differences. Are these from earlier builds? Which file page should I be referring to?

Quote: Originally posted by Daniel UK1

Sunday thoughts, each settings in GSB i treat as non multi optional, i.e per market i chose trough research one specific setting choice and move on to next... with latest findings in regards to SF its more complex, and for now in my process i treat each SF as unique that needs its own settings/research per market. Interested to hear other peoples thoughts ..

Just a reminder,
if you want to contribute to the CL research being done by letting me your your workers, then send me the your share keys
I will in turn give you the output
Here is an example of tests im doing
Im up to over 200 workers (thanks for those who have given me workers)
What im doing here is 4 tests each on 7 different secondary filters.
Im also doing similar tests, some with 40 inidicators, some with 100 indicators
some two pass using green / green and some with green.orange/green etc

Quote: Originally posted by DocBober55

Could you please explain "share keys". How would sending my share key affect my computer and my ability to utilize the GSB program for other strategy development? Overall, what is your research trying to accomplish? Are those who contribute to your research expected to get a better trading system? I don't currently have enough margin to trade crude oil (CL), though I might be able to trade emini Crude (QM) - does that symbol work with this?

Quote: Originally posted by admin

Just a reminder, if you want to contribute to the CL research being done by letting me your your workers, then send me the your share keys I will in turn give you the output Here is an example of tests im doing Im up to over 200 workers (thanks for those who have given me workers) What im doing here is 4 tests each on 7 different secondary filters. Im also doing similar tests, some with 40 inidicators, some with 100 indicators some two pass using green / green and some with green.orange/green etc