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New GSB indicators

admin - 10-1-2020 at 03:23 AM

I hope to be taking on an additional programmer to speed up development which is good to slow for me.

First task is new indicators.
Here is correlation matrix of exiting indicators, and a few extra to be added at the end of the matrix.
OK to request any indicators, as long as they are open source, and or permission from the authors.

exe for correlation program is here.
https://trademaid.info/forum/viewthread.php?tid=250#pid4409

Daniel UK1 - 10-1-2020 at 04:21 AM

Would it be an idea to group indicators into what type they belong to, so that one could perhaps turn off groups when building? this would allow for interesting research into using several strategies as one etc.. allow for better diversification if using several strategies trading one symbol etc knowing exactly what types of indicators is used. identify if certain types of indicators is better suited to a specific market etc...

I would also propose a simple bear/bull market "switch" that one could use to be able to build systems for certain conditions in order to do further research on this..
For example would it be better to build system that trades only when above or below n MA?

Great with new programer

:thumbup:

admin - 10-1-2020 at 05:24 PM

Hi Daniel,
You could do bull / bear by selection of dates, as any one period, ie training can have unlimited date groups

Im not a great fan of predicting bull bear markets, as that can change very quickly.
On ES, nearlly all money made in short direction last 2 years, but im still market neutral / symetrical

the ma filter likely should be ok in gsb 2 as one of the addition filters

Daniel UK1 - 10-1-2020 at 05:56 PM

Hi Peter, Yes i know, i just think it would help if one would be able to easily build using above below MA, for a market... call it bull/bear market filter. in GSB..
If its useful or not i dont know, just want to be able to do research on it... if one would have it as an easy input in code, it would help..

Perhaps its just me, and yes one could do it with dates as you say, its just much much more complicated, however doable yes.

Not saying that one want to to short only below below MA or long only above... just saying that it would be interesting to do research on it..

I agree and i am not a great believer either in predicting things....

My theory is that a system trading symmetrical, either below or above an MA would behave differently than same system trading all.. and it would be interesting to do further research on it..

As a side note, i have a system (non GSB), trading mean reversion swing on all sp500 stocks since several years back, however .. once added a filter only BELOW ma N, it improved a lot.... which is not as one would expect...

Was just a thought...

admin - 10-1-2020 at 10:32 PM

Quote: Originally posted by Daniel UK1

Hi Peter, Yes i know, i just think it would help if one would be able to easily build using above below MA, for a market... call it bull/bear market filter. in GSB..
If its useful or not i dont know, just want to be able to do research on it... if one would have it as an easy input in code, it would help..

Perhaps its just me, and yes one could do it with dates as you say, its just much much more complicated, however doable yes.

Not saying that one want to to short only below below MA or long only above... just saying that it would be interesting to do research on it..

I agree and i am not a great believer either in predicting things....

My theory is that a system trading symmetrical, either below or above an MA would behave differently than same system trading all.. and it would be interesting to do further research on it..

As a side note, i have a system (non GSB), trading mean reversion swing on all sp500 stocks since several years back, however .. once added a filter only BELOW ma N, it improved a lot.... which is not as one would expect...

Was just a thought...

Short term, You can test the same concept on a few indivdual gsb systems as a test.

Carl - 11-1-2020 at 07:19 AM

Quote: Originally posted by admin

I hope to be taking on an additional programmer to speed up development which is good to slow for me.

First task is new indicators.
Here is correlation matrix of exiting indicators, and a few extra to be added at the end of the matrix.
OK to request any indicators, as long as they are open source, and or permission from the authors.

Hi Peter,

Thanks for the correlation matrix.

I suspect this was done on ES 30 min 0830-1500?

Could you do the same on CL 30 0900-1430 to see if the results are more or less the same or differ a lot because CL is much more trend following than ES.

And what value did you use for the periods used?

Thanks.

admin - 12-1-2020 at 03:50 PM

Hi Carl,
I might as well publish the program in the private forum. I have one more tweak to go before I release.
That way you can do your own research.
Yes it was made es 830 to 1500

To generate the list change the dropdown box from gsb to indicators, change the other settings, then hit run.
You will see under scripts the ts file.

GSB will also have generated the indicator list.
You can see the path of this when you look at the TS script

admin - 13-1-2020 at 06:06 PM

exe file is here in private forum
https://trademaid.info/forum/viewthread.php?tid=250#pid4409

admin - 15-1-2020 at 01:06 AM

You need to be in beta tester mode to get the features needed. Its more powerful than GSB admin mode.
The config file is here

https://trademaid.info/forum/viewthread.php?tid=250#pid4409

Volume indicator

Gregorian - 15-1-2020 at 04:26 PM

I would like to request a Volume indicator/function be added to the list. A sample one is attached. Feel free to enhance its functionality; the goal is obviously to detect momentum.

Attachment: Login to view the details

admin - 15-1-2020 at 04:32 PM

Hi Greg
Happy to do that.
Did you see the 2 volume indicators added a few months ago?
at the end of the gsb indicator list.

Shortly we have option to use volume / ticks in left side setting.
easylanguage volume is up volume only, and we should be using ticks (your indicator is an exception)

Gregorian - 15-1-2020 at 06:57 PM

True, volume is upticks, but OpenInt is downticks on intraday, so we can use both stats.

https://www.multicharts.com/trading-software/index.php/OpenI...

admin - 15-1-2020 at 07:07 PM

Quote: Originally posted by Gregorian

True, volume is upticks, but OpenInt is downticks on intraday, so we can use both stats.

https://www.multicharts.com/trading-software/index.php/OpenI...

thanks for mentioning this. Not sure yet if ts is the same

admin - 15-1-2020 at 07:31 PM

Quote: Originally posted by Gregorian

I would like to request a Volume indicator/function be added to the list. A sample one is attached. Feel free to enhance its functionality; the goal is obviously to detect momentum.

Hi Alex

I suspect we need average(TotalVolume,x)
rather than TotalVolume

Gregorian - 29-1-2020 at 09:21 PM

Quote: Originally posted by admin

I suspect we need average(TotalVolume,x)
rather than TotalVolume

I actually think there is more benefit to be gained, for scalping at least, in working with upticks and downticks, and their ratio to one another, rather than TotalVolume (ticks).

As to whether there is value in averaging them over time, probably yes, over recent time, the last few bars perhaps. But this is all speculation; I haven't done any testing in this regard.

rws - 30-1-2020 at 01:00 PM

Triggering (a number of subsequent) bars that have a
volume > Variable x Average volume sometimes works

admin - 30-1-2020 at 04:00 PM

Quote: Originally posted by rws

Triggering (a number of subsequent) bars that have a
volume > Variable x Average volume sometimes works

I thought this was worth adding too. It works poorly so far in my testing

rws - 31-1-2020 at 04:14 PM

Probably it works better for stocks

admin - 31-1-2020 at 04:20 PM

Quote: Originally posted by rws

Probably it works better for stocks

Thats good to know, thanks

rws - 31-1-2020 at 07:28 PM

I have had some results with these
(amibroker array code but can be any system)

Accumulation = C > Ref(C,-1) AND Volume > Ref(Volume,-1);
Distribution = C < Ref(C,-1) AND Volume > Ref(Volume,-1);

You could add
Accumulation = Accumulation and V> 2 x MA(V,10)
Distribution = Distribution and V> 2 x MA(V,10)

totalupvol = Sum(IIf(accumulation,Sum(Volume,1),0),21);
Totaldownvol = Sum(IIf(Distribution,Sum(Volume,1),0),21);

You could use the crossing of the totalupvol and totaldownvol to
mark a trend change.

Normally I have all numbers as parameters and optimize over
hundreds of stock to see if there is an edge in sample and out of sample.

I think it only has an edge in combination with indicator price data
or price patterns.

admin - 2-2-2020 at 05:36 PM

Quote: Originally posted by rws

I have had some results with these
(amibroker array code but can be any system)

Accumulation = C > Ref(C,-1) AND Volume > Ref(Volume,-1);
Distribution = C < Ref(C,-1) AND Volume > Ref(Volume,-1);

You could add
Accumulation = Accumulation and V> 2 x MA(V,10)
Distribution = Distribution and V> 2 x MA(V,10)

totalupvol = Sum(IIf(accumulation,Sum(Volume,1),0),21);
Totaldownvol = Sum(IIf(Distribution,Sum(Volume,1),0),21);

You could use the crossing of the totalupvol and totaldownvol to
mark a trend change.

Normally I have all numbers as parameters and optimize over
hundreds of stock to see if there is an edge in sample and out of sample.

I think it only has an edge in combination with indicator price data
or price patterns.

Do you have the TS code for this?

rws - 3-2-2020 at 01:01 PM

I am sorry I have few knowledge of Tradestation.

admin - 3-2-2020 at 03:53 PM

anyone else willing to do this?
I dont know what Ref does

Is accumulation, up volume and Distribution down volume?

RandyT - 3-2-2020 at 04:50 PM

As I remember Amibroker, Ref() is simply a way to "reference" an index. The equivalent in TS should be:

Accumulation = Close > Close(1) AND Volume > Volume(1);
Distribution = Close < Close(1) AND Volume < Volume(1);

admin - 3-2-2020 at 09:49 PM

Quote: Originally posted by rws

I think we have this in GSB now, but only in the beta mode.
GSBsys1ES used this, but it was revoked a long time ago as GSB<> TS

rws - 4-2-2020 at 03:28 PM

Thanks for adding this.

GSBsys1ES still looks good OOS