GSB Forums - Powered by XMB 1.9.11

New TS data export doesn't generate systems

kiran - 19-11-2017 at 01:29 AM

I downloaded ES 15 min data from TS (attached file) - it generates no unique systems (see attached screenshot).
- I noticed it has 3 extra columns vs the ES 30 min data that's packaged with the GSB install.

Questions -
1) Pl advise how to get GSB systems to generate on new TS data exports.

2) Where should GSB be installed? I installed it and copied data in a different folder, but the tool gives an error "Please select files in default directory" and doesn't pick up the "Public Data Directory" I specify in Settings. So, i had to copy all the data to C:\Dropbox\GSB\GSB(Managers)\Data

3) Also, is my naming convention correct? I used ES.15.Minute.630.1300 (PST time-zone) as the data is during market hours, but noticed that the Trading Times is all day: 00-23:59:59.

Attachment: Login to view the details

Attachment: Login to view the details

admin - 19-11-2017 at 03:12 PM

Youve got 24 hour file. Use @ES.D, NOT @ES. Make sure the last 15 minutes is excluded.
Under tools, contracts, set moc to the correct time.
This MIGHT work but is much less likely that one thats day session equiv of 830 to 1500 central time.
The after hours data is more noise than anything else.
Its also going to be very slow due to to all the extra bars to process.
Naming is symbol.minutes.AnthingyouLike.txt
The extra coulombs are "KeyRevDn","KeyRevUp"
I would remove this from the chart before you export it.
Your data is also from 1997. This is valid to do, and in most cases I use all contract data from the point where there is liquidity.
Personally I start at 2001 for ES.

kiran - 19-11-2017 at 08:11 PM

Thanks, I got a valid ES.15.Minute data set at market hours (attached). I'm using the TightESFilter settings file (also attached). Note i have no secondary data, as $idx and $spx aren't valid symbols in TradeStation.

The system generation is showing the following issues
1) # of trades are very small (3-15) - see attached screenshot
2) No unique systems are shown until I pause and left-click-refresh. Is this normal behavior?
3) When i click on a system, the Graph shows a very different system. See screenshot where I've selected a system with 0 Drawdown, but the graph shows a losing system.

Other Questions -
4) If I pause, change the fitness function (or some other setting) and play, will the new settings take effect? Or, do i need to stop completely and start for the new settings to take effect?
5) After Stopping and Starting with new settings (and potentially new symbols), the Unique Systems table doesn't empty - how do i tell the difference between old unique systems generated by old settings and new systems based on new settings?
6) What are TS symbols for $idx and $spx? Want to generate 15-min secondary data for the ES build.

Attachment: Login to view the details

Attachment: Login to view the details

admin - 19-11-2017 at 08:25 PM

you fitness I think is the problem.
My guess is youve got np * ave trade * aver trade. This is going to give very few trades that will cause problems with lots of the filters.
2-3) No unique systems are shown until I pause and left-click-refresh. Is this normal behavior? NO. I think the above causes this.

I think you need to stop, not pause.
5) Just delete all systems or much better still close gsb and run a new copy. Its not supposed to empty.
Symbols re $spx.x and $isx

General rull of thumb. If on es not stray far from the defaults, then change one setting at a time.
It reminds me of some 5 year old children i knew.
They went into myboss's van a played with the indicator stick, and the hazard lights. They couldnt figure out how to stop the lights flashing via the indicator stick, due to the hazard lights being on.
Result was caught out by dad and punishment

data file looks ok. Make sure moc time under contracts is 1300

curt999 - 19-11-2017 at 08:37 PM

btw to get access to $spx.x and $idx you have to subscribe to sp500 indices data

admin - 19-11-2017 at 08:40 PM

Quote: Originally posted by curt999

btw to get access to $spx.x and $idx you have to subscribe to sp500 indices data

I think so. Cost was about $2 from memory. Phone ts if in doubt

admin - 20-11-2017 at 12:18 AM

you can use app settings "tight"
You shouldnt get trades with <44 trades. You didnt included the app settings file in your last post.

kiran - 20-11-2017 at 12:37 AM

Here's the settings file and screenshot..

I noticed I get the <44 tradecount systems when I pause the system and refresh the Unique tab. If i don't pause, I see only a trickle (1 system for 20K runs) in the Unique tab, but it happens to be >44 tradescount.
- is this a bug? Why does the Pause->Refresh cause unfiltered systems to get through?
- How do i get all the relevant systems in the Unique tab, before waiting for the entire run to complete?

thx
Kiran

Attachment: Login to view the details

admin - 20-11-2017 at 12:46 AM

Quote: Originally posted by kiran

Here's the settings file and screenshot..

- How do i get all the relevant systems in the Unique tab, before waiting for the entire run to complete?

thx
Kiran

They will appear the instant GSB makes them. Ive never done a refresh on this screen, so that might be a bug or a purposeful thing to make current systems appear regardless of the metrics.
It might be a good idea to start on the default settings, optionally remove data2 and run with tight.
Any more problems send me optimizer settings.

kiran - 20-11-2017 at 06:09 PM

I tried with default settings (TightESFilter) but same issue with any dataset i upload from TS (I tried ES.15.Minute and C.15.Minute - Corn) - no unique systems generated. The only data I found this to work with is the ES.30.Minute
- Am i naming the ES.15.Minute incorrectly? It has the same column format as the ES.30.Minute, so not sure why it doesn't work.

Pl try it on your GSB and advise how to get this working with other data-sets, so i can try systems with other symbols and timeframes.

thx
Kiran

Attachment: Login to view the details

ES.15 - noUniqueSystemsGenerated.PNG - 237kB

Attachment: Login to view the details

Attachment: Login to view the details

Attachment: Login to view the details

admin - 20-11-2017 at 06:17 PM

Quote: Originally posted by kiran

I tried with default settings (TightESFilter) but same issue with any dataset i upload from TS (I tried ES.15.Minute and C.15.Minute - Corn) - no unique systems generated. The only data I found this to work with is the ES.30.Minute
- Am i naming the ES.15.Minute incorrectly? It has the same column format as the ES.30.Minute, so not sure why it doesn't work.

Pl try it on your GSB and advise how to get this working with other data-sets, so i can try systems with other symbols and timeframes.

thx
Kiran

Need your optimizer settings too. No way you should run tightES on corn. You should run alloospass optimizer settings.
You should also run othermarkets optimizing setting.
Its vip to figure out if closeD or GA is best secondary filter for non stock index markets. If in doubt use GA
I can see your fitness is got a very high metric, so it implies the app settings have are too tight for you to see whats going on. You can also right click the top (diag) to see what systems were generated.
Check your moc settings under contracts match the contract csv file.
Its also unlikely corn will day trade so try it with moc false. (fine to try moc true but its less likely to work on corn)

kiran - 20-11-2017 at 06:46 PM

Attached is the Optimization settings file.
- How do the settings and optimizations change for other symbols e.g. Corn (will use GA as secondary filter but any other changes)? [I'm using US market hours trading (for sufficient volume), but based on your comments, i should probably use session times for Corn?

- What does MOC stand for and how is it used by GSB? My MOC for ES is 15:00:00-15:00:59, so not sure it's correct.

thx
Kiran

Attachment: Login to view the details

admin - 20-11-2017 at 07:36 PM

Secondary filer is the main thing to consider for optimizer settings.
app settings start by alloospass and then tighten metrics when you see whats realistic
moc is market on close. 15:00:00 to 15:00:59 is fine.
I don't have data feed for corn, but the volume should give you the clue what session times to use...
Your optimizer settings are not the ones that used 15 min es.
You need to resend them

kiran - 20-11-2017 at 08:52 PM

There are 2 default optimization setting files in my Settings->Optimization->StandAlone folder - not sure which one GSB is using, so attached are both files.

- What goes into the OptimizationSettings? Is it the Optimization tab in the Tools->AppSettings menu? That only has On-Completed sounds, so not material to system building.

thx
Kiran

Attachment: Login to view the details

Attachment: Login to view the details

admin - 20-11-2017 at 10:43 PM

On the bottom of the left gui under info, it tells you what app settings and opt settings are used.
Its possible you havnt even saved them. So save both then send to me. Use a different name to the GSB defaults.

so "What goes into the OptimizationSettings?
optimizer settings is all the left hand side stuff,
ie the metrics used in test and what displays in the GUI
Is it the Optimization tab in the Tools->AppSettings menu? No, thats app settings. the performance metrics. Both have a lot to do with system building.

"That only has On-Completed sounds, so not material to system building." is not at all correct

kiran - 20-11-2017 at 11:37 PM

I did use the "standaloneES.gsboptset" opt settings (attached in my earlier post, 2 posts above) in the ES.15.Minute run - it's visible in the lower left of attached screenshot (6 posts above).

- Pl advise

admin - 20-11-2017 at 11:41 PM

Quote: Originally posted by kiran

I did use the "standaloneES.gsboptset" opt settings (attached in my earlier post, 2 posts above) in the ES.15.Minute run - it's visible in the lower left of attached screenshot (6 posts above).

- Pl advise

yes but the date is set to 13 nov and you have changed things since.
Bare min the data streams. SO save as a unique file name and upload

kiran - 21-11-2017 at 12:38 AM

Here's the opt settings file i re-ran on the ES.15.Minute.PST data-set. I saved it as a unique file-name.
- Pl see and advise today if possible.

Attachment: Login to view the details

admin - 21-11-2017 at 02:39 AM

Quote: Originally posted by kiran

Here's the opt settings file i re-ran on the ES.15.Minute.PST data-set. I saved it as a unique file-name.
- Pl see and advise today if possible.

Its running fine, and ive done nothing.
If its still an issue, zip your entire GSB folder up and send to me as a dropbox or similar link. Do not email. It wont get to me

admin - 21-11-2017 at 06:17 PM

The es.15 data is 24 hours. I believe this is the cause of your issue. I had mentioned this in my first post.
You need day session without the last 15 minutes

kiran - 22-11-2017 at 12:13 AM

I got ES.15.Minute to work - the dataset was Day session, but my MOC was still 15:00:00 which i changed to 13:00:00 (given PST).
However, C.15.Minute is showing the same issue - doesn't generate unique systems even though I removed all filters - i ran for >15K systems.
- I did change the MOC to 11:30:00-11:30-59 (since the Corn markets close at 11:30am PST in my data-set)

Any other changes I need to make, for other symbols? Attached are settings files and Corn data-set.

Attachment: Login to view the details

Attachment: Login to view the details

Attachment: Login to view the details

admin - 22-11-2017 at 01:24 AM

Whats the point value for the corn? Did you try it with secondary filter set to GA, not closeD.
The defaults for other markets should have SF set to GA
Your app settings are also wrong.
Please stick to the defaults unless you experiment one thing at a time.
Youve got pf 2, pearsons 0.98 which is not a good place to have metrics so high for trading period.
You should be using alloospass, and then tighten things AFTER you have success.

kiran - 22-11-2017 at 05:47 PM

I got the data to work for ES-15min, C-10min (corn), BO-10min (soybean), FV-15min (T-Notes) [All Day hours] and applied loose "Training-only" filters (0.9 Pearson, PF>1.75). No overnight positions, they all close on MOC. Secondary filters is through Genetic Evolution. Interestingly ..
- without slippage and commissions, C and BO yield a few (50-100) systems, of which around 5-10 hold up during Test (50%) and Validation (10%) periods with PF>1.75 and Pearson>0.9
- with 1 tick slippage ($12.5 for ES, FV, C and $6 for BO) and $2 commissions (per-trade-side) in the Fitness and Report, i get no systems that pass even Training. The best systems i get have poor Pearsons, so confidence for trading these is low.
- with slippage, ES is the only symbol that yields tradable systems, and has remarkably consistent performance across Test and Validation periods.

Questions
- the 1-tick slippage and commission is specified in $ (so, $12.50 slippage, $2 commission for ES), correct?
- Wonder if overnight positions (Market on Day Close=False) would yield better systems for other symbols - any other suggestions to evolve tradable systems for other symbols?

thanks
Kiran

admin - 22-11-2017 at 06:03 PM

Some good research. Try other time frames too. I like 15 min too. Session time to whatever has the high volume.
For live trading, budge on 1 tick per side is good for ES.
Many other markets are not going to day trade. IE Crude oil. Ive not done much research into other markets. Some EFT's are worth looking at.
ie SQQQ short only. It needed lots of iterations to get good systems, but it certainly worked well.
THere is a whole universe to explore with GSB, as to what markets work well, and what doesnt.
However over time the architecture is expanding to work with other markets. Esp forex.
see http://www.trademaid.info/forum/viewthread.php?tid=14#pid428
http://www.trademaid.info/forum/viewthread.php?tid=19#pid257

curt999 - 23-11-2017 at 05:06 PM

for markets that don't have other correlated indices like cash to use for data2/3 you should look into MTF analysis such as for crude you can find intraday systems using 5min/15min/30min..best to have indicators in the strategies that use only data2/3 since data1 will be inherently more noisy..i haven't made systems this way with GSB but my own that work quite well on intraday only data..

admin - 23-11-2017 at 06:03 PM

Quote: Originally posted by curt999

for markets that don't have other correlated indices like cash to use for data2/3 you should look into MTF analysis such as for crude you can find intraday systems using 5min/15min/30min..best to have indicators in the strategies that use only data2/3 since data1 will be inherently more noisy..i haven't made systems this way with GSB but my own that work quite well on intraday only data..

Hi Curt,
can you explain MTF analysis? We are now getting users on the forums who are new to trading, who will struggle with highly experienced traders talk.
Can you post a performance report of a good crude oil system? No problem if trade by trade on inputs are missing. I didn't think crude oil could be day traded.

cyrus68 - 24-11-2017 at 02:06 AM

Curt will explain this better himself. But I think he is referring to multiple time frame systems. For example, data1 will be 5min bars and data2 and 3 would be 15min and 30min bars. Trades for data1 are executed, based on signals generated by data2 and 3.

curt999 - 24-11-2017 at 11:04 AM

Right using multiple timeframes of same instrument or correlated markets. As in the crude oil example could also investigate systems using rb ho Brent since these are all correlated to crude. Mtf analysis isn't limited to intraday could design systems for swing using longer timeframes say for example 60min data1 240min data2 daily data 3.

I have designed some systems for es that only use nq and ym as data sources yet it trades es. I will post some examples when I'm back from the holidays

curt999 - 27-11-2017 at 10:35 AM

here is a crude strategy intraday..it trades long and short but the strategies are seperate and non correlated..long uses 15/30min cl data..short uses 15min cl and 15min HO..it trades from 9-230pm..typically one trade per day..doesnt trade everyday..

admin - 27-11-2017 at 02:34 PM

Quote: Originally posted by curt999

here is a crude strategy intraday..it trades long and short but the strategies are separate and non correlated..long uses 15/30min cl data..short uses 15min cl and 15min HO..it trades from 9-230pm..typically one trade per day..doesnt trade everyday..

That's really exciting. You are doing some real pioneering. Did the systems pass WF?
Can you publish the curve. Would lile to see how linear it is.

parrdo101 - 2-12-2017 at 07:43 AM

kiran said,

"- the 1-tick slippage and commission is specified in $ (so, $12.50 slippage, $2 commission for ES), correct?"

Trade Station for ES: 12.5*2 + (2*1.20) + (2*1.18) = 29.76

Don't forget that .76; it will add up; the 1.18 is per side Exchange fee for ES.

sb2020 - 22-2-2021 at 10:18 AM

I only have auto option for secondary filter, how do I get more options?

Entry Modes

sb2020 - 22-2-2021 at 10:47 AM

I only have 4 entry modes, how do I get more?

sb2020 - 22-2-2021 at 03:09 PM

Quote: Originally posted by admin

Whats the point value for the corn? Did you try it with secondary filter set to GA, not closeD.
The defaults for other markets should have SF set to GA
Your app settings are also wrong.
Please stick to the defaults unless you experiment one thing at a time.
Youve got pf 2, pearsons 0.98 which is not a good place to have metrics so high for trading period.
You should be using alloospass, and then tighten things AFTER you have success.

How do I set secondary filter set to GA

admin - 22-2-2021 at 04:37 PM

Quote: Originally posted by sb2020

I only have 4 entry modes, how do I get more?

see https://trademaid.info/forum/viewthread.php?tid=249
Do not use more than one entry mode at a time
Great your posting, but this is a dead thread (And should have originally been under general support)
The small issue is, as its a dead thread, few will be subscribed to it, and your less likely to get help from other users.

admin - 22-2-2021 at 04:39 PM

Quote: Originally posted by sb2020

Quote: Originally posted by admin

How do I set secondary filter set to GA

see here

sb2020 - 22-2-2021 at 10:01 PM

only have one option auto

admin - 22-2-2021 at 10:43 PM

Quote: Originally posted by sb2020

only have one option auto

did you try this, close gsb, and reopen?
see https://trademaid.info/forum/viewthread.php?tid=249

Micro E-mini Futures

sb2020 - 8-3-2021 at 11:30 PM

The Micro E-mini Futures data only goes back to May 2019 is this enough data to build systems?

admin - 8-3-2021 at 11:38 PM

Quote: Originally posted by sb2020

The Micro E-mini Futures data only goes back to May 2019 is this enough data to build systems?

Definatly not.
What symbol are you on, data provider?
best build them on the emini, then change the stop size later on, trade on micros

sb2020 - 9-3-2021 at 08:57 AM

Symbol MES data provider Dorman Trading, CME. I should build with ES data then trade MES?

admin - 9-3-2021 at 03:53 PM

Quote: Originally posted by sb2020

Symbol MES data provider Dorman Trading, CME. I should build with ES data then trade MES?

correct. Ive been with dorman in the past. Perhaps its not a continuous back adjusted symbol.
you need es, 830 to 1500 (not 1515)
In the next month I hope to publish updates on how to build with es.
Sigificantly different to what we did years ago.
We are using secondary filter closetohighlow3v2 secondary filter now.
Turns out this works on numerous markets. ES NQ YM and likely more

sb2020 - 10-3-2021 at 08:53 AM

Ok I understand now. I want to create a new contract where do I find the information like TICKS, PNT value? I'm still new to GSB where do I find closetohighlow3v2?

admin - 10-3-2021 at 04:08 PM

Quote: Originally posted by sb2020

Ok I understand now. I want to create a new contract where do I find the information like TICKS, PNT value? I'm still new to GSB where do I find closetohighlow3v2?

the most used contracts are in GSB already for TS

You can right click a symbol in TS and see the details
closetohighlow3v2 should be in C:\GSB\Supplementary Scripts (TS & MC)
If your in the trial version, it will be missing a lot of the newer features
and the indicator set is much smaller.
New inidcators get added regularly to beta builds, but slowly to trial builds.
Part of the logic is, new code might have bugs - or be bug-free but not work well.
closetohighlow3 turned out to be a gem.

sb2020 - 11-3-2021 at 09:05 AM

I don't see closetohighlow3v2 in C:\GSB\Supplementary Scripts (TS & MC) I'm running trial version. so I must install beta build overwriting trial version, or uninstall trial version? I'm running ninjatrader 8 not TS.

admin - 11-3-2021 at 03:34 PM

Quote: Originally posted by sb2020

I don't see closetohighlow3v2 in C:\GSB\Supplementary Scripts (TS & MC) I'm running trial version. so I must install beta build overwriting trial version, or uninstall trial version? I'm running ninjatrader 8 not TS.

The trial version is months old, and missing a lot of goodies.
It gets updated every 3 months, while purchasers get updates extremely roughly 1 time per week. I will get you the new code in 24 hours aprox

sb2020 - 17-3-2021 at 01:53 PM

Waiting for new code. so I must install beta build overwriting trial version, or uninstall trial version?

admin - 17-3-2021 at 03:52 PM

Quote: Originally posted by sb2020

Waiting for new code. so I must install beta build overwriting trial version, or uninstall trial version?

When you buy GSB, you should see this URL and quickly go through the items

You are also asked to send in the two resource manager codes.
RM will update you to the latest build
https://trademaid.info/gsbhelp/Thingsyouneedtodoafterpurchas...

sb2020 - 15-4-2021 at 11:09 AM

Where is TightESFilter located?

admin - 15-4-2021 at 05:32 PM

Quote: Originally posted by sb2020

Where is TightESFilter located?

I dont remeber ever hearing the term. Can you explain more or give screen shot.

Tiny issue, tHis comment should be under general support. Your more likely to get replies from other members
https://trademaid.info/forum/viewthread.php?tid=229

sb2020 - 16-4-2021 at 08:07 AM

tight filter its not in my app settings folder

admin - 16-4-2021 at 05:53 PM

Quote: Originally posted by sb2020

tight filter its not in my app settings folder

Sorry but i have no idea what your talking about. Please give a screen shot or be more specific

Carl - 16-4-2021 at 07:07 PM

Hi Peter,
In one of your early videos you used a tightES gsbappset file. Maybe sb2020 refers to this?

I found two old tightES.gsbappset files on my machine, dated 2018.
I think there are obsolete, because in later GSB versions these settings were moved to the gsboptset file.

admin - 16-4-2021 at 07:12 PM

Quote: Originally posted by Carl

Hi Peter,
In one of your early videos you used a tightES gsbappset file. Maybe sb2020 refers to this?

I found two old tightES.gsbappset files on my machine, dated 2018.
I think there are obsolete, because in later GSB versions these settings were moved to the gsboptset file.

your correct, this is all obsolete. The next installer file has settings for nq es ym using the closehighlow3, and new filter etc.
Hope to have it out next week, and will publish the macros for GSB purchasers

sb2020 - 17-4-2021 at 07:56 AM

Thanks Carl didn't know tightES was obsolete. RM will update to the next installer file right?

Carl - 17-4-2021 at 08:50 AM

Hi sb2020,

You are welcome.

GSB and the methods used evolved a lot during the years.
Most important are the recent video's (GC, CL, ES).

All the best.

admin - 18-4-2021 at 06:50 PM

rm doesnt update the installer file - by any files I chose in gsb folder.
Likely 2 build I will have the new settings for es nq ym and macros used in the next RM update