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saycem - 9-10-2019 at 09:24 PM

I have 4 strategies that are using setexitonclose trading live from GSB for the last couple of months and I have not seen an issue, so I'm confused as I was unaware of other options. What are you using if not setexitonclose?

admin - 9-10-2019 at 09:48 PM

Quote: Originally posted by saycem  
I have 4 strategies that are using setexitonclose trading live from GSB for the last couple of months and I have not seen an issue, so I'm confused as I was unaware of other options. What are you using if not setexitonclose?

If thats the case then fine.
It may depend on your execution method.

appengineer - 11-10-2019 at 06:45 PM

Quote: Originally posted by saycem  
I have 4 strategies that are using setexitonclose trading live from GSB for the last couple of months and I have not seen an issue, so I'm confused as I was unaware of other options. What are you using if not setexitonclose?


I am using this to manually close all trades at 1500 for ES
sessionEnding = CalcTime(SessionEndTime(0,1), 0);
If Time >= sessionEnding and MarketPosition(0) <> 0 Then


admin - 13-10-2019 at 06:35 PM

Quote: Originally posted by appengineer  
Quote: Originally posted by saycem  
I have 4 strategies that are using setexitonclose trading live from GSB for the last couple of months and I have not seen an issue, so I'm confused as I was unaware of other options. What are you using if not setexitonclose?


I am using this to manually close all trades at 1500 for ES
sessionEnding = CalcTime(SessionEndTime(0,1), 0);
If Time >= sessionEnding and MarketPosition(0) <> 0 Then


that should work fine.

LucaRicatti - 14-10-2019 at 08:13 AM

Hi,
I'm evaluating GSB and it's impressive. I would like to test forex systems but got aggregate exceptions errors few seconds after hitting Play (ES and stocks are ok).
Is there a working forex setup to share?

Thanks

admin - 14-10-2019 at 04:17 PM

Quote: Originally posted by LucaRicatti  
Hi,
I'm evaluating GSB and it's impressive. I would like to test forex systems but got aggregate exceptions errors few seconds after hitting Play (ES and stocks are ok).
Is there a working forex setup to share?

Thanks

Thanks for your comments.
this is fixed in 55.61. There was no volume in your price data

https://trademaid.info/forum/viewthread.php?tid=227#pid3769

I will get the build to you in the next 24 hours after its had some testing
GSB 2.0 is going to be working better in for forex. We will add pattern filters etc

LucaRicatti - 14-10-2019 at 04:45 PM

Quote: Originally posted by admin  

Thanks for your comments.
this is fixed in 55.61. There was no volume in your price data

https://trademaid.info/forum/viewthread.php?tid=227#pid3769

I will get the build to you in the next 24 hours after its had some testing
GSB 2.0 is going to be working better in for forex. We will add pattern filters etc


Many thanks, added the volume to my data and now it's running.

If you need help in testing beta or forex I got Multicharts/Interactive Brokers data subscription (and time to devote)

admin - 14-10-2019 at 05:29 PM

Quote: Originally posted by LucaRicatti  
Quote: Originally posted by admin  

Thanks for your comments.
this is fixed in 55.61. There was no volume in your price data

https://trademaid.info/forum/viewthread.php?tid=227#pid3769

I will get the build to you in the next 24 hours after its had some testing
GSB 2.0 is going to be working better in for forex. We will add pattern filters etc


Many thanks, added the volume to my data and now it's running.

If you need help in testing beta or forex I got Multicharts/Interactive Brokers data subscription (and time to devote)

Your welcome to give me a list of additional indicators you want added. Pattern filters are more important for forex, but we have a list of them to be done already. Ive emailed you 55.63 version

Sten - 7-11-2019 at 08:26 AM

I tried to run an optimization process in GSB 1.0.54.97 / 2019-08-31 (latest available trial version). And what I notice is that when optimization process goes on and I change a system by selecting, let's say, OOS column in the Unique Systems window, I get an exception (probably any column except "ID" produces an exception, and exceptions also occurs after optimization process ends).

See the screenshot below.

Is it a known issue?


Another observation is that after some number of exceptions GSB starts to function incorrectly - does not show workers running in Resource Monitor window, optimization process never ends e.t.c. I was not even able to complete the full methodology as described on the help page (stuck somewhere on Walk-Forward Optimization) because of these exceptions and incorrect product functioning after them. I am not sure, maybe this was caused by a lack of RAM or pretty old Windows Server 2008 R2 x64 OS. I now try to run the process again on Windows 10.

But exceptions, when I switch a system in a Unique-Systems window, do occur on Windows 10 as well. And they are quite annoying. Is it possible to fix them?

I attached a .txt file with one of these exceptions from C:\GSB\Exceptions folder.

GSB_optimization_change_system_exception.png - 81kB

Attachment: Login to view the details

admin - 7-11-2019 at 07:49 PM

Quote: Originally posted by Sten  
I tried to run an optimization process in GSB 1.0.54.97 / 2019-08-31 (latest available trial version). And what I notice is that when optimization process goes on and I change a system by selecting, let's say, OOS column in the Unique Systems window, I get an exception (probably any column except "ID" produces an exception, and exceptions also occurs after optimization process ends).

See the screenshot below.

Is it a known issue?


Another observation is that after some number of exceptions GSB starts to function incorrectly - does not show workers running in Resource Monitor window, optimization process never ends e.t.c. I was not even able to complete the full methodology as described on the help page (stuck somewhere on Walk-Forward Optimization) because of these exceptions and incorrect product functioning after them. I am not sure, maybe this was caused by a lack of RAM or pretty old Windows Server 2008 R2 x64 OS. I now try to run the process again on Windows 10.

But exceptions, when I switch a system in a Unique-Systems window, do occur on Windows 10 as well. And they are quite annoying. Is it possible to fix them?

I attached a .txt file with one of these exceptions from C:\GSB\Exceptions folder.




this isnt a known issue and the exception doesnt help. Often exceptions can be ignored.
Im going to email you a possible fix
Peter

Sten - 8-11-2019 at 01:34 PM

Peter, thanks! The build you e-mailed me fixes the exception.
I was not able to repeat the exception while running optimization process.

Now I am trying to walk through all the steps from Methodology and see if it works. I'll let you know if I find other issues.


By the way, I have a question. The methodology document says:

https://trademaid.info/gsbhelp/Provingthemethodology.html
------
2) Select the best systems
Change nth to all. Dates are still pre 20150630. <---

Sort on NP/DD and get the top roughly 2000 systems, put into favorites A.
------

When I change nth to all, GSB asks me if I want to re-backtest all selected systems or not. Do I understand correctly that I should re-backtest systems so that GSB recalculates systems stats after I change nth to all?

admin - 8-11-2019 at 03:44 PM

Quote: Originally posted by Sten  
Peter, thanks! The build you e-mailed me fixes the exception.
I was not able to repeat the exception while running optimization process.

Now I am trying to walk through all the steps from Methodology and see if it works. I'll let you know if I find other issues.


By the way, I have a question. The methodology document says:

https://trademaid.info/gsbhelp/Provingthemethodology.html
------
2) Select the best systems
Change nth to all. Dates are still pre 20150630. <---

Sort on NP/DD and get the top roughly 2000 systems, put into favorites A.
------

When I change nth to all, GSB asks me if I want to re-backtest all selected systems or not. Do I understand correctly that I should re-backtest systems so that GSB recalculates systems stats after I change nth to all?


You can change dates, nth use wf params, overrideOrignal settings....etc
the important thing is at the last change you hit yes. You can hit yes after every change, but that takes longer. The re-calculations are only hit when you do yes. So can see this if you edit the stats macro too.

Sten - 9-11-2019 at 03:54 AM

Here is another issue. I'm using GSB 1.0.55.90 / 2019-11-07 and I started 1000 walk-forward tests from Favorite-A, sent them to the cloud (as described in the Methodology). And left Manager and workers working for the night.

Next morning I see the following picture in the GSB Manager in Unique Systems window:

01_manager_Unique_Systems.png - 22kB

Some systems have completed WFO tests, some are Waiting, and few are running. That is ok.

However, when I look into Manager's Resources Monitor window I see this:

02_manager_Resources_Monitor.png - 24kB

It shows Stubs are stopped, "Optimization/Status" tree is empty (I use this to monitor progress and see how worker are loaded with the tasks). User "Tasks / Active" tree is also empty, if I try to expand it, it shows "Active" contains empty list, and then withing a second becomes "> Active" so I can expand it again - but in reality "> Active" tree does not contain any user tasks.

The only thing that shows that workers are loaded with the tasks is "Optimization / Speed" section. I can see here that there are some workers which are doing something and GSB calculates their speed.

So the problem is that after some time when WFO tests are running, GSB Manager shows in the status that all stubs are stopped. So it becomes uncomfortable to monitor the task progress.


Here is how it looks on one of the worker machines, worker's Resource Monitor window:

03_worker_Resource_Monitor.png - 14kB

We can see that worker load's "Sys. CPU" and that suggests it is actually doing something. At the same time in the "Optimization / Status" on the worker shows "Stopped" status.

And Unique System's window on the worker shows:

04_worker_Unique_Systems.png - 28kB

that worker is actually processing some WFO tests. So, once again, the "Optimization / Status" is displayed incorrectly.

The numbers in the WFS column are increasing (both on the Manager and in the Worker machines). So it looks like the system is doing something useful - WFO calculation goes on, so I'm leaving it working for some more time.

But it would be nice to fix this bug with incorrect Status for workers. As now I do not feel comfortable when I try to monitor the task progress - I always ask myself a question, if GSB still works, or has stuck somewhere in the middle of the process, and doing nothing.

admin - 9-11-2019 at 04:35 AM

Hi Sten

The methodology is showing 250 wf, not 1000.
There is a limit on the free cloud of 10?? or so wf at a time, so 1000 is going to take a long time.
(In the past if a user did 1000 wf, it would take over the entire free public cloud at the expense of all other gsb users
Also when I use the cloud, most gsb free workers will be killed.
The last week I was on leave, so cloud resources were high, but low the last 48 hours. (better now as im not using it)

Your confusing wf status with building system status. The manager or worker resource status have no correlation with WF.

So like the wf that show 39 to 40 % are doing something, but if there workers have been killed, they will eventualy be resubmitted.
If you dont have a I9 (or fast i7) good to hire one for $10 a day from me.
I bought 5 more servers in the last few months.


Sten - 10-11-2019 at 08:31 AM

Hi Peter,

Thanks, I removed 750 systems and did WFO for the remaining 250 ones. I also added dual Xeon server to my workers pool.

I was able to finish the Methodology process, however, it looks I'm doing something wrong:

Methodology_Results.png - 17kB

Unlike in the documentation, I see some performance degradation from D to C stats (-3.5%). And a big degradation from F to E (-51.6%). So on Out of Sample period strategies performance degrades significantly.

I think I was careful enough to implement Optimization settings described in the "Proving the Methodology" and "Updates" sections. It is possible I misunderstood some items, or there are differences in the settings described in the documentation and in the latest GSB version.

I attached my optimization settings:
Attachment: Login to view the details


The biggest difference that I use IQFeed data for my process as I do not have access to TradeStation data. From my experience many workflows do not work as good on IQFeed continuous futures data when ported from TradeStation.

So, I do not know whether I do something wrong in GSB, or it is just the result of data coming from different data provider. It would help if you look at my optimization settings.


----
Another observation - when I run wf_stats macro and then look at Graph for some strategy I see something like this on the chart:

Funny_Graph_after_I_run_macro.png - 67kB

The big gap in P/L on the chart. I think this is the result of Trading Dates Mode being set to NoTrd after macro finishes. If I change Trading Dates Mode to All, the chart looks ok. But I wonder if this disrepancy on the chart breaks statistics (for example, does GSB calculates NetProfit correctly for Dates = NoTrd case?).

I tried to modify the wf_stats macro and change the date in the latest GlobalDates command from 12/31/2100 to 02/28/2018 so that to eliminate this 2019 OOS data completely. But then D/C and E/F statistics become even worse. So it looks like this OOS 2019 part of the P/L curve is not responsible for the stats degradation.

admin - 10-11-2019 at 02:48 PM

Quote: Originally posted by Sten  
Hi Peter,

Thanks, I removed 750 systems and did WFO for the remaining 250 ones. I also added dual Xeon server to my workers pool.

I was able to finish the Methodology process, however, it looks I'm doing something wrong:



Unlike in the documentation, I see some performance degradation from D to C stats (-3.5%). And a big degradation from F to E (-51.6%). So on Out of Sample period strategies performance degrades significantly.

I think I was careful enough to implement Optimization settings described in the "Proving the Methodology" and "Updates" sections. It is possible I misunderstood some items, or there are differences in the settings described in the documentation and in the latest GSB version.

I attached my optimization settings:



The biggest difference that I use IQFeed data for my process as I do not have access to TradeStation data. From my experience many workflows do not work as good on IQFeed continuous futures data when ported from TradeStation.

So, I do not know whether I do something wrong in GSB, or it is just the result of data coming from different data provider. It would help if you look at my optimization settings.


----
Another observation - when I run wf_stats macro and then look at Graph for some strategy I see something like this on the chart:



The big gap in P/L on the chart. I think this is the result of Trading Dates Mode being set to NoTrd after macro finishes. If I change Trading Dates Mode to All, the chart looks ok. But I wonder if this disrepancy on the chart breaks statistics (for example, does GSB calculates NetProfit correctly for Dates = NoTrd case?).

I tried to modify the wf_stats macro and change the date in the latest GlobalDates command from 12/31/2100 to 02/28/2018 so that to eliminate this 2019 OOS data completely. But then D/C and E/F statistics become even worse. So it looks like this OOS 2019 part of the P/L curve is not responsible for the stats degradation.


Hi Sten,
I can see numerous causes for this.
The biggest being 6 entry modes enabled, not just the entry cross dual level
Your verification needs to be 30,29,31 (vip 30 is first)
What I cant see in your settings, is entry level weights -10,10,1 in parms and wfparpms. The field doesnt exist when I use your settings
autoNth must also be set to all. This has been moved from app settings to opt settings in a recent build.
All of this is going to help a lot.
What you see in the graph was ok


changes.png - 77kBautonth.png - 13kB

Sten - 11-11-2019 at 12:20 PM

Hi Peter,

Thanks for the tips!

I changed verification to be 30,29,31. autoNth = All.
And set "Entry Level Mode" to SignedPower, "Entry Level Value: 4".

Also I found I did not set "Entry Params. 2" to "-10;10;1" for Params and WF Params. Fixed this. On the other hand I did have "Entry Params" set properly.

As for "Entry Modes". It looks like there is some incompatibility in settings in trial version and full build that you use. I only have "Cross" Entry Mode enabled in my settings (there is no CrossOver or "entry cross dual" in the trial build, so I hope "Cross" is the correct setting).

Anyway, I am going to rerun the process. Let's see if these changes help to produce more robust strategies.

My_ES_Methodology.png - 40kB

admin - 11-11-2019 at 03:55 PM

Quote: Originally posted by Sten  
Hi Peter,

Thanks for the tips!

I changed verification to be 30,29,31. autoNth = All.
And set "Entry Level Mode" to SignedPower, "Entry Level Value: 4".

Also I found I did not set "Entry Params. 2" to "-10;10;1" for Params and WF Params. Fixed this. On the other hand I did have "Entry Params" set properly.

As for "Entry Modes". It looks like there is some incompatibility in settings in trial version and full build that you use. I only have "Cross" Entry Mode enabled in my settings (there is no CrossOver or "entry cross dual" in the trial build, so I hope "Cross" is the correct setting).

Anyway, I am going to rerun the process. Let's see if these changes help to produce more robust strategies.


Hi Sten,
trial users has a few less options. This is due to either the feature being experimental - and not decided if its a good idea, or just to keep things simpler, or to stop users using options that likely are not helpful unless they know what they are doing.
Dual cross is my favorite setting, followed by single level cross, followed by cross.
There is however little difference between them all. Hope to see you as a purchaser soon

Daniel UK1 - 14-11-2019 at 02:50 AM

Hi Peter, any possibility on getting more info about exit modes ,https://trademaid.info/gsbhelp/Exitmodes.html
I have all these as part of testing in my set process when starting with a new market.. however as it is now, i have no real idea of what they actually do or mean.

I can read in the link to the manual above about the result of each for an individual market, however i would be interested in understanding what they actually do.
If you could kindly perhaps include an explanation and not just a formula, of each mode, it would be greatly appreciated.

Thanks

engtraderfx - 14-11-2019 at 03:07 AM

Hi Peter, I am updating thru RM & finding no change in root directory c:\GSB but all the exe files are now in cloud directory C:\GSB\Cloud Workers. Is that where they all appear now? Maybe i should delete & reinstall?

Thanks Dave

admin - 14-11-2019 at 03:38 AM

Quote: Originally posted by engtraderfx  
Hi Peter, I am updating thru RM & finding no change in root directory c:\GSB but all the exe files are now in cloud directory C:\GSB\Cloud Workers. Is that where they all appear now? Maybe i should delete & reinstall?

Thanks Dave

Ive seen another user with this issue, and not sure why.

check c:\gsb is excluded from your anti virus program.
No need to delete, you can just rename the folder to rm.bad
there is a new rm out a few minutes ago. Bug fix but I dont think it will fix your issue.
Worst case make a batch file to copy the manager from \worker folder to \gsb
(or copy it manually)

Daniel UK1 - 14-11-2019 at 04:53 AM

Quote: Originally posted by admin  
Quote: Originally posted by engtraderfx  
Hi Peter, I am updating thru RM & finding no change in root directory c:\GSB but all the exe files are now in cloud directory C:\GSB\Cloud Workers. Is that where they all appear now? Maybe i should delete & reinstall?

Thanks Dave

Ive seen another user with this issue, and not sure why.

check c:\gsb is excluded from your anti virus program.
No need to delete, you can just rename the folder to rm.bad
there is a new rm out a few minutes ago. Bug fix but I dont think it will fix your issue.
Worst case make a batch file to copy the manager from \worker folder to \gsb
(or copy it manually)


Yes i have the same issue, but mine ends up in WORKERfolder below GSB, not in GSB CLOUD WORKER, they have alwasy ended up in main GSB folder, where i believe they should end up? my path in RM is correct, so it does not make any sense... i have solved it just by copying over managers and scripts tp the main GSB folder... but it would be nice to understand why, one day it just changed :) Anyway, works as it should in the end.

admin - 14-11-2019 at 05:01 AM

Quote: Originally posted by Daniel UK1  
Quote: Originally posted by admin  
Quote: Originally posted by engtraderfx  
Hi Peter, I am updating thru RM & finding no change in root directory c:\GSB but all the exe files are now in cloud directory C:\GSB\Cloud Workers. Is that where they all appear now? Maybe i should delete & reinstall?

Thanks Dave

Ive seen another user with this issue, and not sure why.

check c:\gsb is excluded from your anti virus program.
No need to delete, you can just rename the folder to rm.bad
there is a new rm out a few minutes ago. Bug fix but I dont think it will fix your issue.
Worst case make a batch file to copy the manager from \worker folder to \gsb
(or copy it manually)


Yes i have the same issue, but mine ends up in WORKERfolder below GSB, not in GSB CLOUD WORKER, they have alwasy ended up in main GSB folder, where i believe they should end up? my path in RM is correct, so it does not make any sense... i have solved it just by copying over managers and scripts tp the main GSB folder... but it would be nice to understand why, one day it just changed :) Anyway, works as it should in the end.


Under rm update field, check gsbmanger folder is set to c:\gsb
put logging (under settgins) to true
days to remove files 7
verbose true

then on next update, send me the log files (folder log)

That way I can look into what happens


Sten - 14-11-2019 at 10:10 AM

Quote: Originally posted by admin  
Quote: Originally posted by Sten  
Hi Peter,

Thanks for the tips!

I changed verification to be 30,29,31. autoNth = All.
And set "Entry Level Mode" to SignedPower, "Entry Level Value: 4".

Also I found I did not set "Entry Params. 2" to "-10;10;1" for Params and WF Params. Fixed this. On the other hand I did have "Entry Params" set properly.

As for "Entry Modes". It looks like there is some incompatibility in settings in trial version and full build that you use. I only have "Cross" Entry Mode enabled in my settings (there is no CrossOver or "entry cross dual" in the trial build, so I hope "Cross" is the correct setting).

Anyway, I am going to rerun the process. Let's see if these changes help to produce more robust strategies.


Hi Sten,
trial users has a few less options. This is due to either the feature being experimental - and not decided if its a good idea, or just to keep things simpler, or to stop users using options that likely are not helpful unless they know what they are doing.
Dual cross is my favorite setting, followed by single level cross, followed by cross.
There is however little difference between them all. Hope to see you as a purchaser soon


Hi Peter,

After I rerun the process I've got the following results:

Methodology_Results_New.png - 16kB

It became better, but still far from what is described in the documentation. F/E stats -15.3% drop concerns me. As far as I understand we should see an improvement here.
My optimization settings are attached for the reference, but I think I took into account all previous suggestions, and I should be pretty close to the Methodology from the documentation.


Overall, it is extremely hard to evaluate the trial version and see if GSB works for me, in particular, for the following reasons:

- Methodology process is described in two separate sections in documentation ("Proving the methodology" and "Updates") with some parts being outdated and another parts overriding what is described previously. There is no plain single Methodology document;
- Some parameter names differ in trial build and in full version (and from what is described in the documentation);
- Trial version does not include some parameters described in the Methodology;
- Optimization Settings file with all Methodology settings is not provided with the trial build (that would simplify the process a lot);
- The software is not completely stable (for example, after I run 250 multithreaded WFO's on my workers + cloud, most of them complete withing the night, but 1-3 WFO usually remain in the Running state forever, and even if I stop them and run WFO again for these systems, they enter Running state and never finish);
- As a professional developer I see lot's of bugs in GSB (progress bar works somewhat strange, for example);
- Also product documentation is not easy to read and understand.

So, I like the idea behind GSB, in particular that it is able to do WFO for the generated systems to assess their robustness. But, at least for now, I'm not able to properly evaluate GSB and prove it can generate some useful systems for me given the IQFeed historical data that I have. At least, I'm not able to replicate the results from the documentation.

I already own AdaptTrade Builder which I find not being able to generate systems that I consider robust enough to trade for real money, so I'm a bit careful with GSB evaluation.

I am going run a few more tests and try to produce better systems, and then continue to monitor GSB development. But for now I am not convinced to invest a solid amount of money into buying the full version.


Attachment: Login to view the details

LucaRicatti - 14-11-2019 at 02:02 PM

Quote: Originally posted by Sten  


Hi Peter,

After I rerun the process I've got the following results:



It became better, but still far from what is described in the documentation. F/E stats -15.3% drop concerns me. As far as I understand we should see an improvement here.
My optimization settings are attached for the reference, but I think I took into account all previous suggestions, and I should be pretty close to the Methodology from the documentation.


Overall, it is extremely hard to evaluate the trial version and see if GSB works for me, in particular, for the following reasons:

- Methodology process is described in two separate sections in documentation ("Proving the methodology" and "Updates") with some parts being outdated and another parts overriding what is described previously. There is no plain single Methodology document;
- Some parameter names differ in trial build and in full version (and from what is described in the documentation);
- Trial version does not include some parameters described in the Methodology;
- Optimization Settings file with all Methodology settings is not provided with the trial build (that would simplify the process a lot);
- The software is not completely stable (for example, after I run 250 multithreaded WFO's on my workers + cloud, most of them complete withing the night, but 1-3 WFO usually remain in the Running state forever, and even if I stop them and run WFO again for these systems, they enter Running state and never finish);
- As a professional developer I see lot's of bugs in GSB (progress bar works somewhat strange, for example);
- Also product documentation is not easy to read and understand.

So, I like the idea behind GSB, in particular that it is able to do WFO for the generated systems to assess their robustness. But, at least for now, I'm not able to properly evaluate GSB and prove it can generate some useful systems for me given the IQFeed historical data that I have. At least, I'm not able to replicate the results from the documentation.

I already own AdaptTrade Builder which I find not being able to generate systems that I consider robust enough to trade for real money, so I'm a bit careful with GSB evaluation.

I am going run a few more tests and try to produce better systems, and then continue to monitor GSB development. But for now I am not convinced to invest a solid amount of money into buying the full version.



Hi Stan,

I just endend my trial period and decided to purchase GSB and apply for a Tradestation account (got Multicharts but they need to fix data2 bug).

I had poor results with trial version and had difficulty understanding the method like you, but I liked so much the robustness-stress idea behind GSB that I choose not to give up and asked Peter for help.

Here the results of my - assisted by Peter - last build with trial version:

image.png - 101kB


PS: First time in this business i met someone dedicated like Peter.













Sten - 14-11-2019 at 02:17 PM

Quote: Originally posted by LucaRicatti  

Hi Stan,

I just endend my trial period and decided to purchase GSB and apply for a Tradestation account (got Multicharts but they need to fix data2 bug).

I had poor results with trial version and had difficulty understanding the method like you, but I liked so much the robustness-stress idea behind GSB that I choose not to give up and asked Peter for help.

Here the results of my - assisted by Peter - last build with trial version:




PS: First time in this business i met someone dedicated like Peter.


Hi, LucaRicatti!

Thank you very much for your feedback!

TradeStation does not work with the residents of the country where I live, so I have to use MultiCharts (and something like IQFeed for historical data).

Out of curiosity, what is MultiCharts data2 bug you are referring to? I'm a long time MultiCharts user, and I'm not aware of any data2 bugs. I've heard of TradeStation's data2 related bug, on the contrary.

P.S. Yes, Peter is very responsive and provides a lot of support.

LucaRicatti - 14-11-2019 at 02:33 PM

Sten check the last post of Beta Builds topic for MC data2.

I’m on Interactive Broker + MC


LucaRicatti - 14-11-2019 at 02:34 PM

edit - double post


Sten - 15-11-2019 at 02:41 AM

Quote: Originally posted by LucaRicatti  

I had poor results with trial version and had difficulty understanding the method like you, but I liked so much the robustness-stress idea behind GSB that I choose not to give up and asked Peter for help.

Here the results of my - assisted by Peter - last build with trial version:


Hi LucaRicatti,

Can you share your optimization settings from your trial version? I want to compare them to mine.


LucaRicatti - 15-11-2019 at 07:59 AM

Quote: Originally posted by Sten  


Hi LucaRicatti,

Can you share your optimization settings from your trial version? I want to compare them to mine.



Hi Sten,

I've opened the settings you attached:

- Dates and Global Dates: both ends at 2015-6-30
- In WF Params: all WF Indic (1,2,3) Weight Min is 0 (not 0.5)
- Max Uniq Systems: 50.000
- Too much Indicators, i built with my best 9




Sten - 15-11-2019 at 10:22 AM

LucaRicatti, thank you! I'll try these settings.

I did not formally verify which indicators are the best, but looked at the table in documentation, and selected all that were marked as green (PF > 1). Probably, I should run my own tests and select the best indicators.

Sten - 18-11-2019 at 05:08 AM

Peter,

Here is another severe bug in GSB.

GSB Manager 1.0.55.90 / 2019-11.07
Windows 10 x64

I started GSB Manager and loaded previously saved 248 strategies. I then add all strategies to Fav.A, sort them on PAS column and add all strategies with PAS > 40 to Fav.B. Then I load and run wf_stats macro for Fav.A. While macro is running I get an exception message among other messages. Here is an exception:

Attachment: Login to view the details

After macro finishes GSB goes into a "broken" state. When I select a different strategy in Unique-Systems window, most of the time GSB does not update strategy code and PnL Graph:

01.png - 76kB


02.png - 84kB

This can easily be seen when I switch to Scripts tab and look at the strategy ID in the script code. Sometimes GSB switches strategy (but very rarely). And sometimes I get a new exception while selecting a different strategy.


Probably this is the similar bug to the one I reported before, but now I know the exact steps how to reproduce it.


Attachment: Login to view the details

admin - 18-11-2019 at 04:42 PM

Quote: Originally posted by Sten  
Peter,

Here is another severe bug in GSB.

GSB Manager 1.0.55.90 / 2019-11.07
Windows 10 x64

I started GSB Manager and loaded previously saved 248 strategies. I then add all strategies to Fav.A, sort them on PAS column and add all strategies with PAS > 40 to Fav.B. Then I load and run wf_stats macro for Fav.A. While macro is running I get an exception message among other messages. Here is an exception:



After macro finishes GSB goes into a "broken" state. When I select a different strategy in Unique-Systems window, most of the time GSB does not update strategy code and PnL Graph:






This can easily be seen when I switch to Scripts tab and look at the strategy ID in the script code. Sometimes GSB switches strategy (but very rarely). And sometimes I get a new exception while selecting a different strategy.


Probably this is the similar bug to the one I reported before, but now I know the exact steps how to reproduce it.



Hi Sten,
Is this bug repeatable? Do not do other things in gsb while macros are running - if you've had a hang in the past. The reason is a thread lock might occur if you change something, and the macro is doing a similar change.
IU will look into the exception. Many exceptions can be ignored.

admin - 18-11-2019 at 06:10 PM

hi Sten,
we need a support ticket with a system that gives this fault. Someone once said, sloppy language leads to sloppy thinking. (I forgot who it was)
A severe bug is where GSB doesnt work at all, all ts <> gsb (miles out). A intermittent macro hang is very annoying, but its not a severe bug. Regardless we are committed to bug fixes :)
I run that macro many times in a day, and dont get hangs. Thats not saying you dont get hangs, but its not a common bug thats easy for me to reproduce.

Sten - 19-11-2019 at 03:19 AM

Quote: Originally posted by admin  
hi Sten,
we need a support ticket with a system that gives this fault. Someone once said, sloppy language leads to sloppy thinking. (I forgot who it was)
A severe bug is where GSB doesnt work at all, all ts <> gsb (miles out). A intermittent macro hang is very annoying, but its not a severe bug. Regardless we are committed to bug fixes :)
I run that macro many times in a day, and dont get hangs. Thats not saying you dont get hangs, but its not a common bug thats easy for me to reproduce.


Yes, the bug is easily reproducible. I notice it very often, and was able to reproduce it from the first attempt using the steps I outlined above.

I respectfully disagree. After this bug occurs, it is impossible to continue to work in GSB Manager as it does not display a reliable results (does not show correct system PnL chart, system code e.t.c.). Thus a bug is a severe one.

You probably need to use the same build as me to repeat this bug.

I attached all 248 systems that I initially load into GSB. As well as optimization settings that I use. wf_stats macro that I run can be found in my post above.


Attachment: Login to view the details

Attachment: Login to view the details


admin - 19-11-2019 at 03:21 PM

Quote: Originally posted by Sten  
Quote: Originally posted by admin  
hi Sten,
we need a support ticket with a system that gives this fault. Someone once said, sloppy language leads to sloppy thinking. (I forgot who it was)
A severe bug is where GSB doesnt work at all, all ts <> gsb (miles out). A intermittent macro hang is very annoying, but its not a severe bug. Regardless we are committed to bug fixes :)
I run that macro many times in a day, and dont get hangs. Thats not saying you dont get hangs, but its not a common bug thats easy for me to reproduce.


Yes, the bug is easily reproducible. I notice it very often, and was able to reproduce it from the first attempt using the steps I outlined above.

I respectfully disagree. After this bug occurs, it is impossible to continue to work in GSB Manager as it does not display a reliable results (does not show correct system PnL chart, system code e.t.c.). Thus a bug is a severe one.

You probably need to use the same build as me to repeat this bug.

I attached all 248 systems that I initially load into GSB. As well as optimization settings that I use. wf_stats macro that I run can be found in my post above.

what build are you on? I may supply you with more recent build as we work hard to get rid of bugs, and so some problems disappear in new builds

admin - 19-11-2019 at 06:09 PM

Hi Sten, your settings are very close to what I use. (good), your weight 3 is wrong. Its blank and should be the same as weight1&2
On wf too. This is a minor point and wont make a big difference, or cause your bugs. Human error in settings is something ive done too often, and im resolved now to be more methodical to avoid some of these traps. Ive wasted a lot of time this week over those sorts of things. windiff is good to compare settings that you think should work, but don't with those that you know did work.
Here is an example of my own mistakes I picked up. These comments are for all users, as it may be helpful for others.
I want to do a video on windiff at some stage. I also use to diagnose ts <> (ts/mc)
GSB has extensive diag's to identify this sort of thing




diff.png - 247kB

Sten - 20-11-2019 at 08:40 AM

Hi Peter,

Thanks for the tip on weight 3. I'll fix it when I do next optimization.

Out of curiosity, I decided to research why strategy that I imported from GSB into MultiCharts does not generate any trades. I found this particular strategy contained these two lines of code:

Code:
// Indicators v1 = GSB_PriceLessPrevAverageFc(Volume, i1length) of Data(i1Data); v2 = GSB_PriceOverPrevAverageFc(Volume, i2length) of Data(i2Data); ....


The strategy is built on 30 min bars, and is using Volume. The problem is that in MultiCharts Volume is not defined for intraday time frames, and we need to use Ticks keyword instead.

After I rewrote the strategy like this it started to produce some trades:

Code:
var: intrabarpersist myVolume(0); if BarType >= 2 and BarType < 5 then myVolume = Volume else myVolume = Ticks; // Indicators v1 = GSB_PriceLessPrevAverageFc(myVolume, i1length) of Data(i1Data); v2 = GSB_PriceOverPrevAverageFc(myVolume, i2length) of Data(i2Data);


You may want to fix MultiCharts code generation in GSB to correctly handle volume.

admin - 20-11-2019 at 04:07 PM

HI Sten,
I dont use MC, but TS has similar structure. This needs to be fixed in TS and MC then. Thanks for spotting it. TS has two methods of volume, under its chart properties. The volume functions performed poorly in indicator testing (surprisingly to me), but this might explain why.

admin - 20-11-2019 at 04:12 PM

Sten, I was also thinking - good to reduce the chance of human error in GSB. I see no reason why all weights are not made the same as the default option.
all wf weights also the same, but they could be different (wider) than the build weights.
Ive made this mistake too often, and other gsb users likely did, though may not be aware of it.
Your bug is fixed in 56.10. Under testing now

emsjoflo - 21-11-2019 at 08:56 PM

I was in the middle of a test with GSBmanager and when RM updated the workers, they no longer recognize my manager. I was wondering why my test was taking so long and I see that I only have one cloud worker under my manager. I tried adding the gsbcloud3_password1234,
gsbcloud1_password1234 to my workers but then they get picked up by the cloud. Then i tried changing the group to GSBuser but that didn't work either. any tips? I'd rather not abort the test I have in progress

admin - 21-11-2019 at 09:01 PM

Quote: Originally posted by emsjoflo  
I was in the middle of a test with GSBmanager and when RM updated the workers, they no longer recognize my manager. I was wondering why my test was taking so long and I see that I only have one cloud worker under my manager. I tried adding the gsbcloud3_password1234,
gsbcloud1_password1234 to my workers but then they get picked up by the cloud. Then i tried changing the group to GSBuser but that didn't work either. any tips? I'd rather not abort the test I have in progress

WHAT VERSION IS YOUR MANAGER, AND WHAT VERSION ARE THE WORKERS.
NORMALLY OLD MANAGERS TALK TO NEW WORKERS, AND NEW MANAGER WONT TALK TO OLD WORKERS.

emsjoflo - 21-11-2019 at 09:19 PM

Quote: Originally posted by admin  

WHAT VERSION IS YOUR MANAGER, AND WHAT VERSION ARE THE WORKERS.
NORMALLY OLD MANAGERS TALK TO NEW WORKERS, AND NEW MANAGER WONT TALK TO OLD WORKERS.


The manager was version 1.0.55.89. I aborted the test and started a new one with the latest version of the manager and it is working now

Daniel UK1 - 22-11-2019 at 03:16 AM

Quote: Originally posted by admin  
HI Sten,
I dont use MC, but TS has similar structure. This needs to be fixed in TS and MC then. Thanks for spotting it. TS has two methods of volume, under its chart properties. The volume functions performed poorly in indicator testing (surprisingly to me), but this might explain why.


Peter, how should we interpret this? that volume data supplied from user in pricedata file has not been able to be utilised at all for MC users?

Thanks

admin - 22-11-2019 at 05:23 AM

Quote: Originally posted by Daniel UK1  
Quote: Originally posted by admin  
HI Sten,
I dont use MC, but TS has similar structure. This needs to be fixed in TS and MC then. Thanks for spotting it. TS has two methods of volume, under its chart properties. The volume functions performed poorly in indicator testing (surprisingly to me), but this might explain why.


Peter, how should we interpret this? that volume data supplied from user in pricedata file has not been able to be utilised at all for MC users?

Thanks


GSB will corectly use the volume in the way the data was originally exported.
However its using the EL word volume, which means up volume. I think it should be using upvol+downvolume which is the el word ticks. Im going to get this changed before to long. This doesnt matter righ tnow as indicators with volume are not in the top 9 or so. (see indicator testing methodology)

By the way, the next video is now very close. 95% or more of the content is done, and it just needs refining / editing. Hope its out next week some time.
It will be roughly 30 min long. Found one tweak to significantly help OOS results too.

Self Help Actions when GSB produces no systems

JasonT - 22-11-2019 at 05:38 PM

Hi Peter,

I've just downloaded the latest version of GSB 56.010, and using the out of the box default settings and data, and am not able to get GSB to produce any systems. I've reset app and optimization settings to default and tried it after restarting the computer.

Can you please provide a list of things we can check ourselves when this occurs?

Many thanks.

Jason

JasonT - 22-11-2019 at 10:24 PM

Quote: Originally posted by JasonT  
Hi Peter,

I've just downloaded the latest version of GSB 56.010, and using the out of the box default settings and data, and am not able to get GSB to produce any systems. I've reset app and optimization settings to default and tried it after restarting the computer.

Can you please provide a list of things we can check ourselves when this occurs?

Many thanks.

Jason


So I've tried a few things to get it to work. One of the troubleshooting tests I tried was to adjust the Session that I had applied to my data under Tools > Price Data. Initially that did nothing. Then all of a sudden after a change to one of the session options GSB started pounding out new systems. Then I tried all sessions I had previously tried (0830-1500, 24/7, MOC @ 23:59) and all of them worked. Very weird.

Of note was that when I applied a session of 0830-1500 to my 0830-1500 CT data, it builds systems much faster than if I apply a 24/7 session to my 0830-1500 data. I'd be interested to know if anyone else has experienced the same.

Is there a way to force use of secondary data?

emsjoflo - 23-11-2019 at 03:36 AM

Is there a way to force use of secondary data in creating systems? If not, is there a way to sort the systems by whether Data2 is being used or not?
I want to test the quality of systems that use both Data1 and Data2.

If not, I suppose I could possibly convert Data2 to a custom indicator and try to force use (in all systems) but the last time I tried that, GSB ignored the forced use option and made systems with and without my "forced" custom indicator.

admin - 25-11-2019 at 01:02 AM

my reply in CAPS
YOUR IDEA IS WORTH DOING AND SIMPLE TO DO.
Quote: Originally posted by emsjoflo  
Is there a way to force use of secondary data in creating systems? If not, is there a way to sort the systems by whether Data2 is being used or not? NO
I want to test the quality of systems that use both Data1 and Data2.
EASY TO DO. FOLLOW THE METHADOLGY AND GET YOUR TOP 250 OF 50,000 SYSTEMS. THEN SAVE INTO EXCEL & LOOK AT THE % OF SYSTEMS IN YOUR TOP 250 THAT HAVE DATA2

If not, I suppose I could possibly convert Data2 to a custom indicator and try to force use (in all systems) but the last time I tried that, GSB ignored the forced use option and made systems with and without my "forced" custom indicator.

NOT SURE WHY THAT WOULD HAPPEN. YOUR FIRST OPTION IS THE SIMPLE ONE


SAVE.png - 17kB

Which systems go into stats?

JasonT - 25-11-2019 at 02:28 AM

Hi Peter,

If you build say 50,000 systems then (either manually or with a macro) put statistics into StatsA, which 10,000 systems get saved?

eg first 10,000 built? best 10,000 according to profit factor? best 10,000 according to fitness? etc

Thanks,

Jason

admin - 25-11-2019 at 03:16 AM

Quote: Originally posted by JasonT  
Hi Peter,

If you build say 50,000 systems then (either manually or with a macro) put statistics into StatsA, which 10,000 systems get saved?

eg first 10,000 built? best 10,000 according to profit factor? best 10,000 according to fitness? etc

Thanks,

Jason


macro 1 will pick the top 250/500/1000.
For indicator testing, im now doing 20k systems, sorting fitness, then putting top 10,000 into favA. This is shown in detail in the next video. due out in 48 hours or less (i hope)

JasonT - 25-11-2019 at 03:28 AM

Quote: Originally posted by admin  
Quote: Originally posted by JasonT  
Hi Peter,

If you build say 50,000 systems then (either manually or with a macro) put statistics into StatsA, which 10,000 systems get saved?

eg first 10,000 built? best 10,000 according to profit factor? best 10,000 according to fitness? etc

Thanks,

Jason


edit the macro and look. its fitness, but must have pearons .9 and pf 1.5, min trades 100

macro 1 will pick the top 250/500/1000.
For indicator testing, im now doing 20k systems, sorting fitness, then putting top 10,000 into favA. This is shown in detail in the next video. due out in 48 hours or less (i hope)


Thanks Peter,

The future video plans sound great.

However I still don't know what you mean by the 'top' 250/500/1000. What does top mean? Top, measured by what?

Sten - 25-11-2019 at 05:01 AM

Quote: Originally posted by admin  

For indicator testing, im now doing 20k systems, sorting fitness, then putting top 10,000 into favA. This is shown in detail in the next video. due out in 48 hours or less (i hope)


By the way, I tried to build 50000 systems for indicator testing, and then ran "IndicatorStats+FullSettingsReset_new.gsb" macro on them.

(documentation mentions IndicatorStats.macro, but there is no direct download link, and GSB comes with "IndicatorStats+FullSettingsReset_new.gsbmacro" - so that's what I'm using.)

I was expecting this macro to finish in maybe 10-15 minutes. But it worked for 8-12 hours or so. That was quite surprising.

How long IncdicatorStats macro is expected to run?

emsjoflo - 25-11-2019 at 11:38 AM


Jason[/rquote]
However I still don't know what you mean by the 'top' 250/500/1000. What does top mean? Top, measured by what?[/rquote]

Jason. Top 250/500/1000 measured by fitness (default is Net Profit × Average Trade Size)

JasonT - 25-11-2019 at 01:22 PM

Quote: Originally posted by emsjoflo  

Jason[/rquote]
However I still don't know what you mean by the 'top' 250/500/1000. What does top mean? Top, measured by what?[/rquote]

Jason. Top 250/500/1000 measured by fitness (default is Net Profit × Average Trade Size)


Awesome. Thanks very much :)

JasonT - 25-11-2019 at 01:34 PM

Quote: Originally posted by Sten  
Quote: Originally posted by admin  

For indicator testing, im now doing 20k systems, sorting fitness, then putting top 10,000 into favA. This is shown in detail in the next video. due out in 48 hours or less (i hope)


By the way, I tried to build 50000 systems for indicator testing, and then ran "IndicatorStats+FullSettingsReset_new.gsb" macro on them.

(documentation mentions IndicatorStats.macro, but there is no direct download link, and GSB comes with "IndicatorStats+FullSettingsReset_new.gsbmacro" - so that's what I'm using.)

I was expecting this macro to finish in maybe 10-15 minutes. But it worked for 8-12 hours or so. That was quite surprising.

How long IncdicatorStats macro is expected to run?


Sten, I don't have access to the particular macro file you refer to for some reason but I came up with my own macro based on "MarketValidationStats" but with some minor changes based on a particular type of test I wanted to perform. I'll post the results sometime this week. A screen shot of the macro is attached for your comparison.

I first build 50k systems and this takes anywhere between 5-30 minutes depending on what resources are available and then I run the macro.

It usually then takes me 3-4 hours to run the macro on a laptop with an i7 2.2Ghz CPU.



2019-11-26.png - 17kB

Sten - 25-11-2019 at 02:41 PM

Quote: Originally posted by JasonT  

Sten, I don't have access to the particular macro file you refer to for some reason but I came up with my own macro based on "MarketValidationStats" but with some minor changes based on a particular type of test I wanted to perform. I'll post the results sometime this week. A screen shot of the macro is attached for your comparison.

I first build 50k systems and this takes anywhere between 5-30 minutes depending on what resources are available and then I run the macro.

It usually then takes me 3-4 hours to run the macro on a laptop with an i7 2.2Ghz CPU.


JasonT, thanks! So, it's ok for the IndicatorStats macro to run for several hours.

admin - 25-11-2019 at 03:51 PM

The next video explains this all and there are refinements to the methodology. While im happy with the content of the new video, i would like to redo much of it to be more polished. Regardless it should be out in < 48 hours. This video is just so over due and will be really helpful for all. Its many months of work for <30 min of info

JasonT - 26-11-2019 at 02:41 AM

Hi Peter,

Thanks for the effort you put into your videos. You pack a lot of information into them and they are very useful.

Daniel UK1 - 27-11-2019 at 02:44 PM

Question Peter, when i tried today to make a indicator stats save top 10 indicators, in my example for CL, one of them was fractal dimension... however when i am chosing top 10, it only shows that i saved 9, fractal dimension is not anywhere in the indicators... so in reality... i am chosing top 10, popup window confirming that i want to save all 10 and specifying fractal dimension... but then on the left side in GUI, under indicators... it says 9... very strange... or is it just me that misunderstand something?

Also, do you sort on ratio or top when you pick indicators?
And if you shall chose top 10, and first 5 is greeen, then two orangea, and then 5 green, do you just pick all the green first?

Thanks.

admin - 27-11-2019 at 03:04 PM

Quote: Originally posted by Daniel UK1  
Question Peter, when i tried today to make a indicator stats save top 10 indicators, in my example for CL, one of them was fractal dimension... however when i am chosing top 10, it only shows that i saved 9, fractal dimension is not anywhere in the indicators... so in reality... i am chosing top 10, popup window confirming that i want to save all 10 and specifying fractal dimension... but then on the left side in GUI, under indicators... it says 9... very strange... or is it just me that misunderstand something?

Also, do you sort on ratio or top when you pick indicators?
And if you shall chose top 10, and first 5 is greeen, then two orangea, and then 5 green, do you just pick all the green first?

Thanks.

I don't understand how that can be an issue, as ive never seen it. You have to have the indicators high-lighted then save. (likely you know that) I would like to see this via teamviewer. Worst case you can manually turn fractal on.
What we choose is sorted by frequency, and then by ratio. Both are important but i work on freq, then ratio. Yes, I would do by colors first.
There may even be some small variation from one test to another on the marginal indicators, so likely the process isnt exact & totally critical

admin - 27-11-2019 at 05:40 PM

If any one else wants a complete installer with the settings / files macros used in the video, please email me.
(A few users have asked already)
Note it will over write your C:\GSB\Data\price data.txt file, so back this file up

I need people to check all the settings are ok for new users etc, including CL etc.
Im working on this now and hope to get it done later today

Daniel UK1 - 28-11-2019 at 01:48 AM

Quote: Originally posted by admin  
Quote: Originally posted by Daniel UK1  
Question Peter, when i tried today to make a indicator stats save top 10 indicators, in my example for CL, one of them was fractal dimension... however when i am chosing top 10, it only shows that i saved 9, fractal dimension is not anywhere in the indicators... so in reality... i am chosing top 10, popup window confirming that i want to save all 10 and specifying fractal dimension... but then on the left side in GUI, under indicators... it says 9... very strange... or is it just me that misunderstand something?

Also, do you sort on ratio or top when you pick indicators?
And if you shall chose top 10, and first 5 is greeen, then two orangea, and then 5 green, do you just pick all the green first?

Thanks.

I don't understand how that can be an issue, as ive never seen it. You have to have the indicators high-lighted then save. (likely you know that) I would like to see this via teamviewer. Worst case you can manually turn fractal on.
What we choose is sorted by frequency, and then by ratio. Both are important but i work on freq, then ratio. Yes, I would do by colors first.
There may even be some small variation from one test to another on the marginal indicators, so likely the process isnt exact & totally critical



Hi Peter, this is very confusing, i brought up a new GSB manager, and loaded the opt version that i used to build my 50k systems on for indicator stats, this one has all the indicators... i can not see any fractal dimension indicator.. this is the opt setting i used when i saved 10 indicators including the fractal dimension that was amont the top... but its not there? i then brought up a new instance of manager, worker and standalone... none has fractal dimension..... so its impossible for me to turn on manually.... but the biggst question is, how can fractional dimension being used to build on, when its not in the list ? then we have the other option that i am just confused or misunderstanding something.. kindly let me know... btw do you have fractional dimension in your list of indicators if you are using a standard version public available?

allindicators.JPG - 191kB

admin - 28-11-2019 at 02:01 AM

Quote: Originally posted by Daniel UK1  
Quote: Originally posted by admin  
Quote: Originally posted by Daniel UK1  
Question Peter, when i tried today to make a indicator stats save top 10 indicators, in my example for CL, one of them was fractal dimension... however when i am chosing top 10, it only shows that i saved 9, fractal dimension is not anywhere in the indicators... so in reality... i am chosing top 10, popup window confirming that i want to save all 10 and specifying fractal dimension... but then on the left side in GUI, under indicators... it says 9... very strange... or is it just me that misunderstand something?

Also, do you sort on ratio or top when you pick indicators?
And if you shall chose top 10, and first 5 is greeen, then two orangea, and then 5 green, do you just pick all the green first?

Thanks.

I don't understand how that can be an issue, as ive never seen it. You have to have the indicators high-lighted then save. (likely you know that) I would like to see this via teamviewer. Worst case you can manually turn fractal on.
What we choose is sorted by frequency, and then by ratio. Both are important but i work on freq, then ratio. Yes, I would do by colors first.
There may even be some small variation from one test to another on the marginal indicators, so likely the process isnt exact & totally critical



Hi Peter, this is very confusing, i brought up a new GSB manager, and loaded the opt version that i used to build my 50k systems on for indicator stats, this one has all the indicators... i can not see any fractal dimension indicator.. this is the opt setting i used when i saved 10 indicators including the fractal dimension that was amont the top... but its not there? i then brought up a new instance of manager, worker and standalone... none has fractal dimension..... so its impossible for me to turn on manually.... but the biggst question is, how can fractional dimension being used to build on, when its not in the list ? then we have the other option that i am just confused or misunderstanding something.. kindly let me know... btw do you have fractional dimension in your list of indicators if you are using a standard version public available?


best look via teamviewer, cant tell much more via your comments

Daniel UK1 - 28-11-2019 at 02:09 AM

Yes lets do TV, in about 1h if possible.... meanwhile can you confirm that when you open your public released manager, and opening up all indicators can see fractional dimension in this list?

admin - 28-11-2019 at 03:13 AM

Quote: Originally posted by Daniel UK1  
Yes lets do TV, in about 1h if possible.... meanwhile can you confirm that when you open your public released manager, and opening up all indicators can see fractional dimension in this list?

the reason is your not in gsb admin mode
This has more (often experimental ) features
https://trademaid.info/forum/viewthread.php?tid=92

Daniel UK1 - 28-11-2019 at 06:23 AM

Thank you Peter for fixing the issue i had with fractional indicator... Btw one thing that complicates things, is that if you have saved an opt setting several managher version ago, and since then lots of new features and inidcators, options have been added.... if you just load your old saved opt setting, you cna never be sure that those options once saved is really in the newly opened opt setting in the new manager version, since it seems that all new features is set to auto active/true..... would it not be better if it was an option that new features to be turned on, in this way you can be sure that previous saved opt setting, is the same when you open it next year :)

Thanks

admin - 28-11-2019 at 04:06 PM

Quote: Originally posted by Daniel UK1  
Thank you Peter for fixing the issue i had with fractional indicator... Btw one thing that complicates things, is that if you have saved an opt setting several managher version ago, and since then lots of new features and inidcators, options have been added.... if you just load your old saved opt setting, you cna never be sure that those options once saved is really in the newly opened opt setting in the new manager version, since it seems that all new features is set to auto active/true..... would it not be better if it was an option that new features to be turned on, in this way you can be sure that previous saved opt setting, is the same when you open it next year :)

Thanks

I will think on that. Totally see your perspective and the merits of it.
In the next build there are lots of tweaks to the defaults, which will help this situation. That might be a good idea for GSB 2.0
For now just watch this thread for new features added, and turn them off if needed.
You have the impersonate feature added (beta tester mode) so we could have impersonate build xyz. Not sure how much work to add this for every new feature

Daniel UK1 - 29-11-2019 at 01:54 AM

Quote: Originally posted by admin  
Quote: Originally posted by Daniel UK1  
Thank you Peter for fixing the issue i had with fractional indicator... Btw one thing that complicates things, is that if you have saved an opt setting several managher version ago, and since then lots of new features and inidcators, options have been added.... if you just load your old saved opt setting, you cna never be sure that those options once saved is really in the newly opened opt setting in the new manager version, since it seems that all new features is set to auto active/true..... would it not be better if it was an option that new features to be turned on, in this way you can be sure that previous saved opt setting, is the same when you open it next year :)

Thanks

I will think on that. Totally see your perspective and the merits of it.
In the next build there are lots of tweaks to the defaults, which will help this situation. That might be a good idea for GSB 2.0
For now just watch this thread for new features added, and turn them off if needed.
You have the impersonate feature added (beta tester mode) so we could have impersonate build xyz. Not sure how much work to add this for every new feature


Ok great Peter, sounds good.
However i dont think any new defaults will solve this, since when you load your pre saved opt setting, you dont want any defaults really.

I think the beta tester mode or standard does not matter since problem is the same issue for a standard mode user.

Somehow the user that loads the opt setting from any time point, must be able to be sure that what he loads is exactly the same now as when it was when it was saved.
Its actually very important since you might have had to build millions of systems and spent weeks or months of testing to arrive to this specific opt setting, so one want to be pretty sure that when you load it in 6 month, it has to be exactly the same...

If you dont want to change things for standard version, Perhaps easiest thing would be to have all new release features in beta mode, being non active as standard. And perhaps from software dropdown meny, have release notes, indicating all new features in this release so you can play with them if you want.

Sten - 29-11-2019 at 03:29 AM

Quote: Originally posted by Daniel UK1  
I think the beta tester mode or standard does not matter since problem is the same issue for a standard mode user.

Somehow the user that loads the opt setting from any time point, must be able to be sure that what he loads is exactly the same now as when it was when it was saved.


I second on this. Professional software should have backward compatibility in settings not only between standard/beta mode, but also for the current and previous versions. User should be confident GSB loads the exact settings stored in the file and report errors if some settings can not be applied on this build.

This is extremely important for GSB, which is very sensitive to the setting changes.

admin - 29-11-2019 at 03:55 AM

Quote: Originally posted by Sten  
Quote: Originally posted by Daniel UK1  
I think the beta tester mode or standard does not matter since problem is the same issue for a standard mode user.

Somehow the user that loads the opt setting from any time point, must be able to be sure that what he loads is exactly the same now as when it was when it was saved.


I second on this. Professional software should have backward compatibility in settings not only between standard/beta mode, but also for the current and previous versions. User should be confident GSB loads the exact settings stored in the file and report errors if some settings can not be applied on this build.

One simple alternative could be to make all new features turned off. The negatives to this are new features could be really worth having, and the average user is not going to notice they are added, or read the docs / forum

This is extremely important for GSB, which is very sensitive to the setting changes.

karta1940995 - 3-12-2019 at 01:10 AM

Hi, Peter

Can GSB build system with Stop/Limit order for Entry? or only with market order(this bar on close)?

Best Regards
Vincent

admin - 3-12-2019 at 07:12 PM

Quote: Originally posted by karta1940995  
Hi, Peter

Can GSB build system with Stop/Limit order for Entry? or only with market order(this bar on close)?

Best Regards
Vincent


Hi Vincent,
I think this is important to do, but right now cant be done. It will be in GSB 2.0
Not sure the release date but what you have asked also is not a hard thing to program. I may be able to get it earlier. There is just a massive list of features that we still want to add.

Daniel UK1 - 4-12-2019 at 03:28 AM

Quote: Originally posted by Sten  
Quote: Originally posted by Daniel UK1  
I think the beta tester mode or standard does not matter since problem is the same issue for a standard mode user.

Somehow the user that loads the opt setting from any time point, must be able to be sure that what he loads is exactly the same now as when it was when it was saved.


I second on this. Professional software should have backward compatibility in settings not only between standard/beta mode, but also for the current and previous versions. User should be confident GSB loads the exact settings stored in the file and report errors if some settings can not be applied on this build.

This is extremely important for GSB, which is very sensitive to the setting changes.


Hi Peter, how did things go with this? this is extremely important... i just realised that all my saved opt settings, are really of no use... i have spent thousands of hours, months, building milltions of systems... to arrive to specific opt settings... that its not possible today to load back on, and be sure to 100% that this is the settings that was saved.... this is important that we get a solution to... i need as a user, to be able to be sure to 110%, that my opt setting i saved 6 month ago, can be loaded today and that i will get the exact same settings as when it was saved... it should not matter what mode i am in.... even though i keep detailed notes of each test... i still can note down every little piece of info to make the opt setting saved redundant... i think everyone can agree that we need a solution to this quickly. Many thanks Peter

admin - 4-12-2019 at 04:22 AM

Quote: Originally posted by Daniel UK1  
Quote: Originally posted by Sten  
Quote: Originally posted by Daniel UK1  
I think the beta tester mode or standard does not matter since problem is the same issue for a standard mode user.

Somehow the user that loads the opt setting from any time point, must be able to be sure that what he loads is exactly the same now as when it was when it was saved.


I second on this. Professional software should have backward compatibility in settings not only between standard/beta mode, but also for the current and previous versions. User should be confident GSB loads the exact settings stored in the file and report errors if some settings can not be applied on this build.

This is extremely important for GSB, which is very sensitive to the setting changes.


Hi Peter, how did things go with this? this is extremely important... i just realised that all my saved opt settings, are really of no use... i have spent thousands of hours, months, building milltions of systems... to arrive to specific opt settings... that its not possible today to load back on, and be sure to 100% that this is the settings that was saved.... this is important that we get a solution to... i need as a user, to be able to be sure to 110%, that my opt setting i saved 6 month ago, can be loaded today and that i will get the exact same settings as when it was saved... it should not matter what mode i am in.... even though i keep detailed notes of each test... i still can note down every little piece of info to make the opt setting saved redundant... i think everyone can agree that we need a solution to this quickly. Many thanks Peter


Going forward I will be able to take of this in a in a better way. I hope also to do a short video on windiff. You can compare old and new settings.
Lets say you load old settings into a new version of worker, then save them as xyz.new. You can see what new features were added in the config. There is another solution I will email you about too.
All whats happened in last builds is 4 new inidcators, new entry types, post build (nth, date) moving from app settings to opt settings

Daniel UK1 - 4-12-2019 at 06:06 AM

Thanks Peter,
Yes Windiff is a good tool to compare, however i dont think its the solution to this.

In order to use it i would need first to know the original setting, derived from my saved opt setting, and if i have this, i would not not need windiff i believe.

None of my saved opt settings, is saved with version number of manager, i was always in the belief that what was saved could also be loaded in the future no matter which version it was loaded into. Now it seems its not like that.


Since i have most likely hundreds of saved opt settings, since i document and save each test setting, and i arrive to a few settings that i build live systems on, its a lot. And i have these saved from early 2019...

So windiff will not solve this, and i appreciate the solution you sent, but that would require me to know which GSB version was used for a specific saved opt setting.

What about a GSB mode, that have ALL settings/features set to FALSE/0, in this mode you could load a saved Opt setting from any previous version, and i assume i could then be sure that only the settings used in the saved opt setting would be loaded?

Thank for considering this issue as very important, in my book the most important one to solve right now, not only going ahead, but also to make use of previous saved opt settings for all users.
Apart from this i like GSB a lot and its an important part in my process.

Daniel

admin - 4-12-2019 at 07:06 PM

Quote: Originally posted by Daniel UK1  
Thanks Peter,
Yes Windiff is a good tool to compare, however i dont think its the solution to this.

In order to use it i would need first to know the original setting, derived from my saved opt setting, and if i have this, i would not not need windiff i believe.

None of my saved opt settings, is saved with version number of manager, i was always in the belief that what was saved could also be loaded in the future no matter which version it was loaded into. Now it seems its not like that.


Since i have most likely hundreds of saved opt settings, since i document and save each test setting, and i arrive to a few settings that i build live systems on, its a lot. And i have these saved from early 2019...

So windiff will not solve this, and i appreciate the solution you sent, but that would require me to know which GSB version was used for a specific saved opt setting.

What about a GSB mode, that have ALL settings/features set to FALSE/0, in this mode you could load a saved Opt setting from any previous version, and i assume i could then be sure that only the settings used in the saved opt setting would be loaded?

Thank for considering this issue as very important, in my book the most important one to solve right now, not only going ahead, but also to make use of previous saved opt settings for all users.
Apart from this i like GSB a lot and its an important part in my process.

Daniel

If all new settings are set to false might fix this problem completely.
I will look into this.

Sten - 5-12-2019 at 12:22 PM

Hi Peter,

Here are a couple of fresh bugs in GSB:

1. I set "Macros / On Opt. Completed" == true, and run optimization process. When I pause optimization macro automatically starts, which is totally unexpected. When I manually terminate optimization process by pressing terminate button, macro also starts automatically, which is counter-intuitive as I canceled everything.

I expect GSB not to start automatically any macro when users pauses or terminates optimization process.


2. Another issue is not strictly a bug, but is an usability issue. I open "Price Data" dialog and define a new price data series by closing an existing one:

01.png - 17kB

GSB Manager makes a clone of the price series, but sets focus to the "[new] contains 0 items" tree, instead of selecting newly cloned price series:

02.png - 19kB

And I then have to scroll up the list to find price series that I've just cloned.
That takes some time and effort.

I expect GSB Manager to automatically set focus to the newly cloned price series:
04.png - 12kB

Since I am using IQFeed data, and need to enter all price series manually, and for every ticker I need to make someting like 25,26,27,28,29,30,31,32,33,34,35 min price series, so I do a lot of cloning operations. And this wrongly set focus makes my life harder than it should be.


P.S. Also while creating the screenshots for this post I cloned a price series, and "Price Data" dialog went into some crazy state, where CL tree became duplicated, SoyB tree contained some wront items e.t.c. I had to restart "Price Data" dialog. So, there are some bugs here too:
03.png - 32kB

admin - 5-12-2019 at 03:19 PM

Quote: Originally posted by Sten  
Hi Peter,

Here are a couple of fresh bugs in GSB:

1. I set "Macros / On Opt. Completed" == true, and run optimization process. When I pause optimization macro automatically starts, which is totally unexpected. When I manually terminate optimization process by pressing terminate button, macro also starts automatically, which is counter-intuitive as I canceled everything.

I expect GSB not to start automatically any macro when users pauses or terminates optimization process.
Its no big deal, but this post should go here.
https://trademaid.info/forum/viewthread.php?tid=6


2. Another issue is not strictly a bug, but is an usability issue. I open "Price Data" dialog and define a new price data series by closing an existing one:



GSB Manager makes a clone of the price series, but sets focus to the "[new] contains 0 items" tree, instead of selecting newly cloned price series:



And I then have to scroll up the list to find price series that I've just cloned.
That takes some time and effort.

I expect GSB Manager to automatically set focus to the newly cloned price series:


Since I am using IQFeed data, and need to enter all price series manually, and for every ticker I need to make someting like 25,26,27,28,29,30,31,32,33,34,35 min price series, so I do a lot of cloning operations. And this wrongly set focus makes my life harder than it should be.


P.S. Also while creating the screenshots for this post I cloned a price series, and "Price Data" dialog went into some crazy state, where CL tree became duplicated, SoyB tree contained some wront items e.t.c. I had to restart "Price Data" dialog. So, there are some bugs here too:


Thanks for that. We can fix those issues in future builds.

Sten - 9-12-2019 at 10:58 AM

I'm currently watching a video "Genetic system Builder, how to make a Crude Oil Futures day trading system" (probably watching it a 3rd or 4th time).

And in the video Peter mentions CL system uses 30 min bars + 60 min secondary data. The problem is that in current builds there is no "Secondary Data" parameter. At least I am not able to find it.

So, how do I supply secondary data to the GSB?





secondary_data.png - 741kB

Carl - 9-12-2019 at 11:40 AM

Quote: Originally posted by Sten  
I'm currently watching a video "Genetic system Builder, how to make a Crude Oil Futures day trading system" (probably watching it a 3rd or 4th time).

And in the video Peter mentions CL system uses 30 min bars + 60 min secondary data. The problem is that in current builds there is no "Secondary Data" parameter. At least I am not able to find it.

So, how do I supply secondary data to the GSB?


Hi Sten,

Just go to - Tools - Price Data and select one of the price items in the left window.
Then click the second line and choose the secondary data stream.
And click on the third line and add the third data stream and so on.


admin - 9-12-2019 at 07:32 PM

Quote: Originally posted by Sten  
I'm currently watching a video "Genetic system Builder, how to make a Crude Oil Futures day trading system" (probably watching it a 3rd or 4th time).

And in the video Peter mentions CL system uses 30 min bars + 60 min secondary data. The problem is that in current builds there is no "Secondary Data" parameter. At least I am not able to find it.

So, how do I supply secondary data to the GSB?






Hi Sten,
just keep in mind this video was done well before the current methodology. What im reasonable confident in is that 30 min, with ho rb ng as data2 will be best combination. Im not confident that adding data2 as 60 min cl is going to help. All this needs to be tested using the method in the first video, nov 2019
https://trademaid.info/gsbhelp/Videos.html

I would be interested in the results of this, as will other users.

Sten - 11-12-2019 at 10:57 AM

Quote: Originally posted by admin  

Hi Sten,
just keep in mind this video was done well before the current methodology. What im reasonable confident in is that 30 min, with ho rb ng as data2 will be best combination. Im not confident that adding data2 as 60 min cl is going to help. All this needs to be tested using the method in the first video, nov 2019
https://trademaid.info/gsbhelp/Videos.html

I would be interested in the results of this, as will other users.


Hi Peter! Yes, you are probably right. I tried to generate systems for NG using:

data1: 29,30,31 min bars
data2: 58,60,62 min bars

And the results were less than satisfying. I then tried to use just:

data1: 30 min bars
data2: 60 min bars

Slightly better, but still far from being ideal. GSB generates systems that almost do not trade for 4-5 years between 2010 and 2015.

I am now trying to build systems for NG using this setup:

data1: NG, 30 min
data2: CL, 30 min
data3: HO, 30 min
data4: RB, 30 min

and verify on the same series + some random ticks added. Let's see if this produces better systems.

Daniel UK1 - 11-12-2019 at 02:53 PM

Hi Sten, in my own dev to find best settings for NG, i have found setup only using NG market works best to build on.. thats my own preference, trying to avoid other markets to build on in order to avoid being dependant on correlation going ahead.. However using other markets for test builds have not produced better stats for me, in my research for NG.
Best degradation using market validation macro i have reached for NG was - 9% if i not remember incorrectly. This was building on years 2007- 2015 02 28

I am sure other people have reached better degradation numbers, but this is my best achieved number.

This was done some ago, and new methodology using WF stats was not introduced by Peter, hence only using market validation stats on for changes to evaluate each setting change..

Pic is from one of my live traded system on NG using 15min data, started live beginning 2019 with the system.



Captureng.JPG - 214kB Capturengstats.JPG - 127kB

Sten - 11-12-2019 at 03:27 PM

Daniel UK1, thanks! I also prefer the simplest solution and going to avoid adding other markets if possible. NG,CL,HO,RB build is still running - I'll compare the results to NG only build and make a decision.

Out of curiosity, 9% is a degradation between what and what? There are a number of possibilities:

- Degradation of system running on all OOS data with system on all In-Sample data we have (2007-2019);
- Degradation "Walk-Forward with orig parameters" on OOS pre 2015 (B / A);
- Degradation "Walk-Forward with orig parameters" on OOS 2015-2018 (C / D);
- Degradation "Walk-Forward with orig parameters" on OOS 2018-2019 (E / F);

Then we can measure degradation of, let's say, 8 out of 8 verified systems with a bunch of all systems. E.t.c.

I am trying to develop my own workflow, and currently I feel I'm overloaded with all possibilities. I understand the scientific method and the idea of improving one parameter at a time by comparing current results to a baseline.

But if we want to compare our process to what others achieved - like "I have market degradation 9% on NG, and others get 5% degradation" we need to make sure we are using the same methodology to measure this parameter. And I feel right now I do not understand completely how do we measure that.

Daniel UK1 - 11-12-2019 at 04:58 PM

HI Sten, -9% degradation is the degradation between A and B training period, using macro market validation macro that i think can find in the macro folder.
Market validation macro provides stats for IS and OOS degradation, and then two more OOS periods, depending on what you use as settings.
I used this method for evaluating every little change and built 50k systems, and then in the end when i have narrowed down to perhaps 2-5 opt setups, i was doing the final WF stats methodology to validate my findings on these final setups, and making sure i ended up with the best one.


However since some time back, i am doing WF stats according to Peters methodology for each and every change and 50k systems, which is taking much much more time, but i believe worth it in the end.

And yes comparing against each other is sometimes a difficult task, since perhaps all is using a small tweak here and there to the the original methodology from Peter. Just wanted to share what i found working best that might would help. And my degradation number was only for the training Period.

admin - 11-12-2019 at 06:15 PM

Hi Sten, Daniel. What your publishing here is really good. Right now I have not done work on NG with the newer methodology.
It would be good to publish the stats with ng30, ng30/60, ng with hg rb cl, ng15 etc.
Right now there is more free cloud power than normal too, as im not using it. (In Vietnam now looking at beautiful beach view out the window.)

Sten - 13-12-2019 at 05:40 AM

Quote: Originally posted by Daniel UK1  
HI Sten, -9% degradation is the degradation between A and B training period, using macro market validation macro that i think can find in the macro folder.
Market validation macro provides stats for IS and OOS degradation, and then two more OOS periods, depending on what you use as settings.
I used this method for evaluating every little change and built 50k systems, and then in the end when i have narrowed down to perhaps 2-5 opt setups, i was doing the final WF stats methodology to validate my findings on these final setups, and making sure i ended up with the best one.


However since some time back, i am doing WF stats according to Peters methodology for each and every change and 50k systems, which is taking much much more time, but i believe worth it in the end.


I found "MarketValidationStats.gsbmacro" macro file in the GSB Data\Settings\Macros folder. However in recent build this macro is the same as "wf_stats5.gsbmacro" and "m3-wf_stats.gsbmacro". There is no difference in these files when I compare them byte to byte. I checked this on several machines to ensure I did not override macro code myself by accident (I believe there is some bug in GSB with macro saving which results in overriding macro file with the wrong code).

And wf_stats5 macro does not provide IS to OOS comparision. As far as I understand how it works, it compares original equity curve using Training input parameters to the equity curve with input parameters from Walk Forward. And it does that for 3 different OOS date periods:

- pre 2015-06-30 (OOS, B / A);
- 2015-06-30 - 2018-02-28 (OOS, D / C);
- 2018-02-28 - 2019-02-28 (OOS, F / E);

So wf_stats5 macro from Peter's methodology only answers the question if WF helps to improve system performance on OOS data. It DOES NOT not compare IS to OOS metrics (if I understand correctly).

And this is what really bothers me. As I am more interested in comparing OOS to IS degradation for the bunch of systems in order to assess the amount of curve fitting we've made during a system building process. And only after that, when I am relatively sure the build process does not produce curve fitted systems I can look at things like "if WF improves systems performance".

So I need a way to compare OOS to IS degradation. Probably something like:

build systems with "Nth Day Mode" set to NoTrd;
save stats into Stats A;
set "Nth Day Mode" to Trd;
rebacktest;
save stats into Stats B.

Then look at the B / A degradation. This directly compares OOS and IS performance. But there are a number of questions, like should I do this for all 50000 generated systems or only for top 250? If only for top 250, I have to ensure the selection process does not use OOS data to select the best systems (currently it does as we set "Auto Nth Date Mode" All).
Which date period to use (probably 1900 - 2015-06-30). E.t.c.

I think something like this should be part of the methodology.


Comments are appreciated.

admin - 13-12-2019 at 06:41 AM

Hi Sten,
This is a high level reply to your comments. You many not get out of me till my monday.
For us to understand each other, it may take a number of replies.
There is a new variant of m3 that uses global dates 20190228. This is to make the benchmark consistent for all users.
The IS is all pre 20150630 and half of that is IS due to it being built on nth no trade, but converted to nth all post build.
you say "macro does not provide IS to OOS comparison."
Im not clear on your thinking.
Perhaps it is i think its OOS, but you think its OOS, but not compared to IS.
Under app settings there is an option to normalize by the amount of bars.
So I think m3 gives you two oos periods, and shows how wf affects things, and vss.
Your welcome to try what you suggest, as it can be done. There is no equity curve comparison. We are just looking at the numbers.
Perhaps your more interested in degradation, and im more interested in results.

Problem with degradation is not all years are equal. ie 2007 - 2008 was extremely profitable, and years after this were much harder.
This one factor alone is going to give the appearance of very high denigration

I like to pick the top 250 of 50,000 as thats a good use of cpu , just to work on 250 systems
I also see not much point to work with the bottom 49000 systems when we know they were poor in the in sample period

Daniel UK1 - 13-12-2019 at 07:13 AM

Quote: Originally posted by Sten  
Quote: Originally posted by Daniel UK1  
HI Sten, -9% degradation is the degradation between A and B training period, using macro market validation macro that i think can find in the macro folder.
Market validation macro provides stats for IS and OOS degradation, and then two more OOS periods, depending on what you use as settings.
I used this method for evaluating every little change and built 50k systems, and then in the end when i have narrowed down to perhaps 2-5 opt setups, i was doing the final WF stats methodology to validate my findings on these final setups, and making sure i ended up with the best one.


However since some time back, i am doing WF stats according to Peters methodology for each and every change and 50k systems, which is taking much much more time, but i believe worth it in the end.


I found "MarketValidationStats.gsbmacro" macro file in the GSB Data\Settings\Macros folder. However in recent build this macro is the same as "wf_stats5.gsbmacro" and "m3-wf_stats.gsbmacro". There is no difference in these files when I compare them byte to byte. I checked this on several machines to ensure I did not override macro code myself by accident (I believe there is some bug in GSB with macro saving which results in overriding macro file with the wrong code).

And wf_stats5 macro does not provide IS to OOS comparision. As far as I understand how it works, it compares original equity curve using Training input parameters to the equity curve with input parameters from Walk Forward. And it does that for 3 different OOS date periods:

- pre 2015-06-30 (OOS, B / A);
- 2015-06-30 - 2018-02-28 (OOS, D / C);
- 2018-02-28 - 2019-02-28 (OOS, F / E);

So wf_stats5 macro from Peter's methodology only answers the question if WF helps to improve system performance on OOS data. It DOES NOT not compare IS to OOS metrics (if I understand correctly).

And this is what really bothers me. As I am more interested in comparing OOS to IS degradation for the bunch of systems in order to assess the amount of curve fitting we've made during a system building process. And only after that, when I am relatively sure the build process does not produce curve fitted systems I can look at things like "if WF improves systems performance".

So I need a way to compare OOS to IS degradation. Probably something like:

build systems with "Nth Day Mode" set to NoTrd;
save stats into Stats A;
set "Nth Day Mode" to Trd;
rebacktest;
save stats into Stats B.

Then look at the B / A degradation. This directly compares OOS and IS performance. But there are a number of questions, like should I do this for all 50000 generated systems or only for top 250? If only for top 250, I have to ensure the selection process does not use OOS data to select the best systems (currently it does as we set "Auto Nth Date Mode" All).
Which date period to use (probably 1900 - 2015-06-30). E.t.c.

I think something like this should be part of the methodology.


Comments are appreciated.


Hi Sten, my macro called market validation stats, that was provided from GSB/Peter, gives you IS against OOS degradation, so this was what i was referring to before.. I agree that degradation is important. But anyway in my GSB, WF stats is not the same as market validation stats. I have had issues myself with GSB macros changes but after investigation is have found that its because i open them from EDIT in macro buttons location... i have (i think) no see an instance where a macro have changed as in saved a change just from opening them from left side GUI as when you manually load one to be active (unless you open one from active and have radio button SAVE MACRO FILE, ticked... but i am sure Peter can confirm exactly when and how the macro is getting saved. According to my knowledge a macro shall ONLY save if you open them from EDIT or from active filed and have radio button save ticked.

My market validation macro that i refer to gives degradation numbers on build dates, and then after end build date to whatever i chose.And then a total degradation from start of build date to end global date..
Anyway, if you ask peter i think he can send you this macro if you dont have it.

Daniel

Sten - 13-12-2019 at 08:27 AM

Here is what I mean by saying wf_stats5 macro does not compare IS and OOS. Let's take a look at how wf_stats5 macro calculates Stats A and Stats B.

wf_stats5.png - 15kB

First it switches grid to Favorites D.
Then it sets Dates and Global Dates to 1900-01-01 - 2015-06-30. It also sets DatesMode to Trd. I.e. it uses our training period.

According to the methodology "Nth Day Mode" should be set to All, however macro does not set this explicitly. So we are using both IS and OOS data here from our training period (I am calling IS only data that GSB sees when it builds strategies, i.e. only "Nth Mode: NoTrd", when we start to gather stats from Nth Mode: All we contaminate our first OOS period making all data prior to 2015-06-30 effectively In-Sample, but that is another story). In the post above I incorrectly stated

"- Degradation "Walk-Forward with orig parameters" on OOS pre 2015 (B / A);"

we are actually using both IS and OOS data on this dates period. But what is critical to understand both Stats A and Stats B are calculated on all pre 2015-06-30 data, as we set Nth Mode: All and macro does not change this.

Anyway, macro sets date ranges to 1900-01-01 - 2015-06-30.
It then uses UseWfCurParams to set "Use WF Cur. Params." to False. Then does OverrideOriginalSettings to rebacktest systems using original system input parameters from training period.

Saves stats to Stats A.

Then macro turns on "Use WF Cur. Params." to True and rebacktests systems again.

Saves stats to Stats B.

My point is, what all these manipulations do, they compare system metrics by running a system on the same dates range but with different input parameters: first with original inputs from the build process on the training data (Stats A) then with inputs from the Walk-Forward test (Stats B).

The only difference between Stats A and Stats B is "Use WF Cur. Params." set to False for Stats A and "Use WF Cur. Params." set to True for Stats B.

So this test answers the question if Walk-Forward parameters improve system performance on a given dates range period. But wf_stats macro does not directly compare system performance on IS and on OOS data. And I think it is critical to measure that IS/OOS degradation in some way when building systems.


P.S. I wrote Peter e-mail asking to send me MarketValidationStats macro. I'll take a look at this macro, maybe it does what I need. I'm just surprised the current methodology does not have IS/OOS metrics comparision step.

The test with "Use WF Cur. Params." set to False/True seems to be very indirect way to check for the amount of curve fitting during system building process - who said that if Cur. Walk-Forward parameters improve system performance that equals to a less curve-fitted systems?

But this may be a way to go, I need to think more on this. At least this test can not be the only system robustness test we use.


Daniel UK1 - 13-12-2019 at 10:56 AM

Hi Sten, i see, i think we all have our own ways of testing robustness, for me validation on other markets in and outside of GSB, and as low degradation is most important together with as stable as possible WF parameters.. i am not sure that we all use in detail exactly the same methodology, however for myself i use Peters, but testing variations of it, trying to validate that my twists are better, but have not been able to do this yet though.. please see provided screenshot of what market vlidation macro will give you... this is not ES though..

Capturengshow.JPG - 68kB

admin - 13-12-2019 at 06:35 PM

Hi Sten
the systems are built with nth no trade pre 2015, but the post build setting is nth all. So technically this is 50% IS, 50% oos, but im treating it as IS. There is an option to test degradation per system if thats what your after. (I need to look up how this is done)


Im still not clear on how I need to help you. I feel the heart of the issue is you want oos degradation, and I want oos highest results.

admin - 13-12-2019 at 10:00 PM

Sten,
degradation is here. Note that this is not uptodate. The post build nth etc settings are now on the left side.
https://trademaid.info/gsbhelp/Systemstatistics-degradation....

There is more change of curve fit doing this by system vs per group of systems. I havnt thought this all through.

System Parameters and Data2

RandyT - 15-12-2019 at 10:58 AM

Greetings, new GSB user here. Looking forward to catching up with all of you.

I have a question regarding the parameters I am seeing in some development runs I am attempting. I see Secondary Filter settings in the parameter list and I see that it is being applied to Data1. I have a Data2 in the configuration and would have expected this to apply to Data2. Do I misunderstand or have missed some setting?

Related, it appears that despite the Entry mode settings, the SF Entry mode has ability to use any available even though not enabled?



mVvU0LO.png - 18kB

marka - 15-12-2019 at 07:15 PM

Quote: Originally posted by rterbush  
Greetings, new GSB user here. Looking forward to catching up with all of you.

I have a question regarding the parameters I am seeing in some development runs I am attempting. I see Secondary Filter settings in the parameter list and I see that it is being applied to Data1. I have a Data2 in the configuration and would have expected this to apply to Data2. Do I misunderstand or have missed some setting?

Related, it appears that despite the Entry mode settings, the SF Entry mode has ability to use any available even though not enabled?


Welcome Rterbush, good to have you in the community.
SF and inidicators can be applied to any data stream. GSB genetically chooses what works best.
SF entry mode should only use what its set too. But if its set to GA, it will use any of the inidicators that its set too of the 41 or so possible. GA SF however works best with the closed type of inidicators

Optimization Best Practices

RandyT - 16-12-2019 at 02:00 PM

Did not intend to create this post as a new forum topic, but subscribers will find it here: https://trademaid.info/forum/viewthread.php?tid=260

admin - 16-12-2019 at 06:56 PM

the post is basically
" Best practices for Optimization


On to my next question...

I'm doing some exploration in CL market and noticed in Peter's somewhat old video he posted back in 2/2018 that he is configured for "Test @ Beginning" and is doing Test, Training and Validation.

Is this still considered best practice or has that evolved. It does not seem to be the default settings in GSB."

Thats an old video, and now im doing The other thing to note is I am using 100% training, but with nth 1/80 pre 2015.6.30
So the question could be argued to be obsolete.

However I acknowledge that there always will be other ways to use GSB than how I do it.

If training period is shoter, the thing thats really important to avoid is training on 2007-2008 as the range is extreme. You are then making a system that expects such range in the future - which of course we know didnt happen.
Im using pre 2015.6.30 but this is a much wider span of time that balances out the 2007-2008 period.

Hope this helps

RandyT - 16-12-2019 at 07:18 PM

And Peter, is that your approach to all markets then? 100% training and 1/80 nth?

admin - 16-12-2019 at 08:44 PM

Quote: Originally posted by RandyT  
And Peter, is that your approach to all markets then? 100% training and 1/80 nth?


currently yes, but ive not yet gone for other markets for some time. Likely thats the task for January. Big question is what market?

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