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Wish List

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andrew.gibbs777 - 11-5-2017 at 03:18 PM

Loving the software Peter. Here is my wish list

1 - Top Priority
2 - Must Have
3 - Would be nice.

1 - Top Priority

- MT5 Export Code (C++)
- Pre-Installed Data (from MT5)
- Save system results in format that can be directly imported into Portfolio
Analyst (without the need to export system to software first).

Functionality

Time of Day Filters
Price Pattern Filters (example: High>High of yesterday)
Range Based Filters (Decile Ranking System of Previous Bars/XBars Range relative to Average)
Stop Loss
Profit Target

2 - Must Have

Add additional Exit types:

To be selected manually at beginning before running GSB

- Exit after X Bars (Market)
- Exit on Open (Close) of Day After X Bars (Market)
- Exit on Open (Close) Of Day +/- Offset After X Bars (Stop)
- ATR/Range Trailing (Chandalier) (Stop)
- Bollinger Band Trailing (Stop)
- % Trailing (Stop)
- $ Trailing (Stop)
- Exit Long at Lowest Low (Highest High) in Trade +/- ATR (Limit)
- Oscillator Value >/- X (Market or Limit). Example: If RSI > X then Exit
Long Next Bar at Market or If ...(RSI>X) then exit long at Open (of day)+Offset Limit etc.
- Oscilator Target (eg Upper Bollinger Band) etc. (Limit)

- Testing on multiple primary data streams.

3 - Would be Nice

Intrabar Entry Types. (Stop and Limit)
- Next bar Open+/-Offset Stop etc...

Will continue to brainstorm.

admin - 11-5-2017 at 06:16 PM

The ts export is going to go though a fair few changes, esp when adding filters / truism's. This will mean each time that happens, mt5 will also need updates.
So I need to wait until the next stage is done.

Results into Portfolio Analysis should be do-able but some months away. Its a good idea.

Simple form of exits will be not to far away. Its good you say to do before running GSB. To do them Genetically is going to have to much risk of being like Adaptrade builder. Redundant logic.
Multiple primary data streams is working, but not in a basket sense- Where one system can trade mutiple data steams identically. GSB can build systems on say es.15,es.30,emd.30 as data1. But the system will only be trading one symbol when its finished, but systems on all the symbols will be made.
Intrabar stop, limit is planned but quite a few months away.
Thanks for the good feedback

admin - 23-5-2017 at 04:13 PM

Exits of stop and profit target, + after x minutes have been done. Other exits will be done but there are more urgent things like Truisms and improvement to WF
Got another user request for portfolio analyst export too.

andrew.gibbs777 - 31-5-2017 at 06:11 PM

In addition to Play, Pause and Stop can you also add a "Reset" button which clears everything so we can start again.

crazyhedgehog - 1-6-2017 at 10:28 AM

+1 on export of either (1) Unique Strategies or (2) WF Strategies tab to Portfolio Analyst. This is for me the last missing piece of the puzzle in terms of functionality.

Alternatively, if simpler, could we add a button/output tab to calculate correlation/negative correlation/positive correlation between strategies in the Unique Strategies / WF Strategies tab? This would allow a workflow (1) Build strategies > (2) Run WF on strategies that look interesting > (3) Calculate correlations to pick a set of strategies for a portfolio. I imagine it would be simpler to implement this directly in GSB rather than creating and exporting files for Portfolio Analyst, and also much faster in terms of the workflow.

Thanks!

admin - 1-6-2017 at 04:07 PM

"+1 on export of either (1) Unique Strategies or (2) WF Strategies tab to Portfolio Analyst. This is for me the last missing piece of the puzzle in terms of functionality."
Good ideas.
Both are on the to do list. Fix WF (possibly now done) and fix TS <> GSB at times are still the top focus. After that we should see these 2 features soon.

Gregorian - 7-6-2017 at 09:29 AM

+1 on Time of Day filter. Starting trading at midnight by default isn't good for thinly-traded-during-off-hours instruments such as CL.

gmoney - 7-6-2017 at 11:10 AM

Be able to change the number of indicators used. Currently it is 3. I would like to be able to use 1 or 2 to reduce the number of degrees of freedom (and number of variables to optimize).

Gregorian - 7-6-2017 at 03:24 PM

One more thought: Make the Time of Day filter start and close settable parameters in the strategy that can be optimized in TS or MC. Right now the MOC figure on the instrument settings is a hard-coded part of GSB and not optimizable.

admin - 7-6-2017 at 04:29 PM

Time of day start is going to happen, and maybe last trade of the day. ie don't take new entry after 14:30. Both as additional secondary filters.
These are good ideas that might be a month away.
As for adjustable MOC. Anything on indices/ gold 1500 is the best time. Hence I didnt feel the need to optimize this.
GSB is going to work best when you avoid things that seldom work. Its going to wast its genetic time on red herrings.
Even energies, bonds etc if your day trading, the end if USA day time is best.
Unless you can present a strong case this wont change.
Same applies for stops. Stops dont make or break a system and so you can manually optimize this in TS separate to the other parameters.
I dont want to end up having the issues of Adaptrade Builder. Too much rope and you can hang yourself.

Carl - 9-6-2017 at 04:21 AM

Hi Peter,

I would like to see the GSB settings I used as comments in the Tradestation script, like:
fitness function, stoploss, profit target, time exit ("minutes"), commission

admin - 9-6-2017 at 04:45 AM

We can do that down the track. I also want things like gsb build number too. Stops and PT should be in the code if it was used.

Carl - 9-6-2017 at 05:42 AM

That's true, but after optimizing the values in TS, you don't know what the build settings for stoploss and profit target were.

admin - 9-6-2017 at 05:51 AM

Don't think what you say is correct. Changing workspace variables doesn't change code. What you might be saying is you want the pre wf variables and the post wf. That might be nice to include. Will see what we can do.

Carl - 9-6-2017 at 09:45 AM

I suspect when in GSB I set stoploss to 500 USD and profit target to 300, GSB comes up with different strategies than when I set stoploss to 3000 USD and profit target to 2000 USD?

So I suspect the value set for stoploss and profit target influences which strategy the user chooses in the end?

admin - 9-6-2017 at 04:11 PM

It will make some difference if the stop and pt are so tight. Ive seen one user to that with good results, but it wasn't confirmed by having the code back in TS with intra-bar order generation turned on.
GSB cant tell in some cases if a stop or PT is hit when they occur on the same bar.

Carl - 10-6-2017 at 02:47 AM

Suggestion:

Nice:
Maybe a good idea is to add the variable names in the tab walk-forward so it is easier to see what variable the value belongs to.

Cosmetic:
And maybe set the column width of the parameters automatically so you can immediately see how all the parameter values changed.
At the moment the column most of the times is too small to see all parameter values immediately.

admin - 13-6-2017 at 12:37 AM

Hi Carl, I think some of the column widths have been done on today's build. It was a lot of work to get systems to save and load, so less Gui changes compared to other builds.

Carl - 13-6-2017 at 01:48 PM

Hi Peter,
According to your documents and notes your development process using GSB looks like this:
1. run GSB
2. select good looking strat in GSB and perform WF in GSB
3. export code to TS
4. WF opt in TS
5. WF analysis in EWFO

An very nice feature would be to be able in GSB to perform the (TS) optimization process and generating the (TS) WF files for EWFO.
After the validation in EWFO you can copy the strat code to TS.

admin - 13-6-2017 at 11:10 PM

Hi Carl,
That's in interesting idea. It could be done but Im thinking more of put increasing amounts of ewfo into GSB. Possibly even more WF features in GSB than WFO.
Ie two pass WF, and auto fitness detection. It might even happen that both programs get this added.
Is there any advantage of making GSB make the TS files for EWFO. Im feeling pressure from people to reduce the need for EWFO and TS.

Carl - 14-6-2017 at 12:31 AM

Hi Peter,

It takes hours and hours in TS to optimize only one strat.
GSB is very fast in developing systems. So I suspect GSB is also much faster in optimizing than TS?

And it saves time and effort not having to copy strat code from one app (GSB) to another (TS).

admin - 14-6-2017 at 12:40 AM

Thats true but its best to manually optimize each input and look for any indicators that are not valid.
Most system builders do not have this in there methodology (if they even have a methodology) and its going to help OOS success I think.
I think GSBsys1 and GSBsys2 both had this issue in their original code. Its hard, but possible for an automated process to pick this.
Using the GBB (FFC) functions can make dramatic differences to the speed of optimization too.
Thats also why its nice to have a decent i7 cpu, possibly over clocked.
Over time GSB is going to automate in increasing measures the entire system building approach.

Carl - 14-6-2017 at 12:50 AM

You could add a feature in GSB to optimize per input?
1. GSB - manually pick a strat
2. choose optimize
3. GSB gives a dropdown menu with the strat inputs
4. user pickes input1 + optimize
5. analyze the results
6. go back to step2 and pick another input to optimize
This would still save a lot of time and effort.

admin - 14-6-2017 at 12:59 AM

I like your proposal.
Everything you said could be fully automated and is a good idea. It might be hard to automate finding a redundant indicator unless its very strongly not effective.
I think that maybe should be done before the second pass WF.
Im going to put this on the Todo list, but it might be a month or 2 away.
Bug fixes then truisms are the short term focus.

Carl - 14-6-2017 at 01:27 AM

And if the user is optimizing a weight input and a value of 0 gives the best performance, show a message "possibly redundant indicator"

admin - 14-6-2017 at 01:42 AM

thats good idea, and or put it in red or something.

Carl - 29-6-2017 at 10:01 AM

To be able to select beforehand what kind of mathematical symbols GSB is allowed to use to build strategies.
*
/
+
-

When a strategy only contains * and or / the 3 weight factors and 1 entrylevel can be replaced by only 1 factor.
This simplifies the strategy code significantely.

admin - 29-6-2017 at 04:08 PM

- has been removed a few builds ago. Its redundant due to wright being + or -.
with * we are going to simplify it so there is only one weight, not two.
Im not confinced its a good idea to clip GSB's wings so much, but maybe a weight in the fitness for complexity.
If we have a *, complexity goes down. This is going to get more important when we have more secondary filters / truisms.

rws - 1-7-2017 at 06:52 PM

a trailing stoploss is badly needed.

boosted - 2-7-2017 at 04:24 PM

I don't have access to the demo anymore, but here is a list of wishes I like to see in GSB (I will add others later as I remember them):

1) Incorporate options to back-test stocks and ETF's (i.e. Starting Equity, Share size (limits and range)
- This is a big one for me since I mostly trade stocks and ETF's

2) Fill limit order when limit price is exceeded.
- This option can be done in TS AFTER GSB build, but better if included in GSB so we know the results in GSB are solid and fills are not based on unrealistic hi and
low fills

3) More order types (i.e. Enter on limit stops, Exit at target price, trailing stops, etc.)

4) Add PROM fitness function for robustness. One more can't hurt. Net Profit is nice, but robustness fitness criteria never hurts.

5) Allow 3rd party indicators to be used.

6) Price pattern recognition.

7) Avg. Entry and Avg. Exit Efficiency "truism", condition or fitness.
- This way the build process can put weight into finding best entry and/or exit efficiency along with other build factors.

8) Allow custom fitness equations.

9) Input for min. to max. entries per day.

10) Trade Entry and Exit After time inputs.

11) Report Commission and slippage somewhere in trade back-testing results.
-Always nice to know for sure when looking at the report the $ amount of commission and slippage being reported for the back-tested run, like in TS.

I am making this wish list from memory since my demo time has run out. The last Beta I used was 28.1. I will add more wish list items as I can remember or think of them.

admin - 2-7-2017 at 04:31 PM

Hi Boosted,
thanks for the comments.
1 & 5 are on the short term to do list. TS<> took over 2 weeks of programmers time, so other things didnt get done in the time expected.
2&3) Currently there are no limit orders used in GSB, but it will happen in time.
4,11) This can be done.
9) Not hard too do, though I rarely get systems lots per day.

admin - 3-7-2017 at 01:15 AM

Hi Boosted,
for stocks was there another fitness you needed? ie % profit per year etc.
We are working on the stocks very soon, so want to add any fitness at the same time as prom.
Currently you can use all sorts of combination of fitness.
it np*pf*aver trade* Pearsons^10 /drawdown etc.

rws - 3-7-2017 at 03:53 AM

I found that when I add /drawdown to the fitness formula, building
systems get many times slower. Not 10 times but almost 100 times

there should be something possible like 1/(1-pearsons) in the fitness formula.

Quote: Originally posted by admin

Hi Boosted,
for stocks was there another fitness you needed? ie % profit per year etc.
We are working on the stocks very soon, so want to add any fitness at the same time as prom.
Currently you can use all sorts of combination of fitness.
it np*pf*aver trade* Pearsons^10 /drawdown etc.

admin - 3-7-2017 at 06:28 AM

There is pearsons option in the fitness calculations, but my own testing in ewfo showed it was not good to use it.
NP * ave trade and NP * pf were generally the best.
I will test the speed of dd metric, but again dont think its the best fitness for building systems

boosted - 3-7-2017 at 06:38 AM

I can't think of any particular fitness functions off hand that I would specifically want added for stocks. PROM would be the only one right now
that I think of that would be a nice addition.

boosted - 3-7-2017 at 06:54 AM

Hi Peter,

I'm an intraday mean reversion discretionary trader and using limit orders is important to catching key reversals in price when coupled with using some multiple of ATR added or subtracted to highest (h, x bars) and lowest (low, x bars). Multiples of these kinds of mean reversion trades can be caught intraday, therefore I had limit orders added to wish list. I mostly trade stocks and ETF's but I know they are useful to any strategy, including futures.

Not only that, but strategy limit orders (assuming they are some pre-calculation of ATR or other important measure) allow for manual trading since these orders show up in Strategy Orders tab ahead of when most limit orders will trigger. This allows a manual tracking and trading of the strategy in real time if need be or if one wanted to.

Anyways, limit orders are something I look forward too, since they have many uses's (stops, entries, exits etc.) in strategy building.

admin - 3-7-2017 at 06:58 AM

I agree that limits and stop entries need to happen. Its a medium term goal to have them. I trade a number of mean reversion systems myself.

admin - 3-7-2017 at 10:41 PM

Quote: Originally posted by rws

I found that when I add /drawdown to the fitness formula, building
systems get many times slower. Not 10 times but almost 100 times

Highly likely this is a bug. Will look at getting it fixed. My GSB does it to. version 28.5

admin - 4-7-2017 at 02:18 AM

This is fixed in 28.7

Ninjatrader

emsjoflo - 8-7-2017 at 04:14 PM

I would like to be able to export code to Ninjatrader 8. Just a wish.

admin - 9-7-2017 at 04:46 PM

Export to mt5, amibroker is on the todo list, but GSB must be a lot mature, as all changes must flow to all the other programs.
What I mean by that is the current exported TS needs to not change after new builds. Every change is then going to have to be remade in
all the other programs. Its great that new features are being made all the time and im not yet sure when thats going to slow down.
Im very open to NT8 but its going to be 4 to 12 months away is my guess.

cyrus68 - 4-8-2017 at 02:07 AM

Would it be possible to include the following simple statistical measures, as indicators, in future builds?

Sharpe Ratio
Regression Slope
Correlation
Standard Normal. defined as: [X - mean( X,n)] / [StndDev(X, n)]

I will gladly give up some of the indicators, already included in GSB, in favour of the above.

Also, it would it would be nice to be able to apply the above indicators on the Close of secondary data, and use the results as inputs to modelling.

admin - 4-8-2017 at 04:16 AM

Ive only seen Sharpe Ratio as a performance metric, not as a indicator.
linear regression could be done.
Correlation is between two data series. You would need custom indicator for this.
Standard dev is already done.
All indicators can be done on all data streams.

jptann - 4-8-2017 at 12:28 PM

Peter:

In my experience it is beneficial for all instruments to stop trading from June 15 through July 31 each year. I call this the "Hampton break" period where all the NY guys go to the Hampton's and all of the Chicago guys go to Wisconsin or Michigan lakes. Can we get a filter in GSB that closes down trading from X date to Y date each year.

Also, for just ES, sometimes January is a bad month. My experience over the last 5 years, is that January "sucks" in my performance so I would like to remove this month also. So I need a filter set that is a little bit more complicated than what you provide. Like a way to "and" these filters. Say stop trading from 6/15/xx to 8/1/xx and January/xx. I think the January would be easy. The way you have the days of the week set up. Just need an inclusive range also.

Thanks in advance

admin - 4-8-2017 at 04:46 PM

If advanced mode is on, there is a filter called dates on the left GUI. This can do all of this but its going to be a manual process to enter in each period.
You could also do it via notepad once youve put in a few dates. The file name for the settings is shown in the red box below. Its in the \data\optimizer folder

cyrus68 - 5-8-2017 at 02:30 AM

Yes the Sharpe Ratio is mostly used as a performance metric. But it can also be used as an indicator. Think of it as a t-statistic. i.e. a measure of the significance of the slope. A higher t-statistic can be the result of a greater slope relative to its volatility. I can send admin the EL code for this, if you like.

The standard normal statistic is NOT the standard deviation. It is the deviation from the mean, divided by the standard deviation. I repeat the formula: [X - mean( X,n)] / [StndDev(X, n)]

This should be very easy to do. Far simpler than the slope.

I wasn't aware that you could apply the internal indicators to secondary data. Great to hear this. I will certainly try it.

QuantDean - 5-8-2017 at 02:37 PM

Limit Order support please!

jptann - 5-8-2017 at 05:42 PM

QantDean:

The issue with limit orders is that there is no way that you can be assured that you get a limit order fill. There is no question that strategies that I develop have significant better performance, but how am I to be assured that the back test and walk forward are truly representative of the strategy performance going forward into the unknown. This is especially significant in low volatility (like now).

My development philosophy is not to try to get the "best" system but I try to see how any system can fail. Limit orders add a significant error into development work, at least for me, especially with swing systems. I much rather develop a Day trading or swing system with full slippage and commissions using only market orders. This is the most conservative case. Then if you want to add a limit order component to the system (say for adding another contract) you are assured that the basic system does not have any "gotchas". I can't tell you how many limit order systems that I have developed where the performance is dominated by a few large trades where the system gets the absolute top or bottom of the move. Of course, you may only have a 10% chance of getting that price and if you miss these few moves, the strategy is not very good.

This is my opinion only and what works for you can be different, but I want to make sure that any of my back testing, sensitivity analysis, and walk forward studies, I can be assured statistically that I will get a fill.

gmoney - 8-8-2017 at 09:46 AM

Can you make the default sort order for columns descending instead of ascending? Virtually every time I sort results I want the highest at the top. It's minor but takes a step out of every time I sort. Thanks.

boosted - 8-8-2017 at 03:14 PM

Quote: Originally posted by jptann

QantDean:

The issue with limit orders is that there is no way that you can be assured that you get a limit order fill. There is no question that strategies that I develop have significant better performance, but how am I to be assured that the back test and walk forward are truly representative of the strategy performance going forward into the unknown. This is especially significant in low volatility (like now).

My development philosophy is not to try to get the "best" system but I try to see how any system can fail. Limit orders add a significant error into development work, at least for me, especially with swing systems. I much rather develop a Day trading or swing system with full slippage and commissions using only market orders. This is the most conservative case. Then if you want to add a limit order component to the system (say for adding another contract) you are assured that the basic system does not have any "gotchas". I can't tell you how many limit order systems that I have developed where the performance is dominated by a few large trades where the system gets the absolute top or bottom of the move. Of course, you may only have a 10% chance of getting that price and if you miss these few moves, the strategy is not very good.

This is my opinion only and what works for you can be different, but I want to make sure that any of my back testing, sensitivity analysis, and walk forward studies, I can be assured statistically that I will get a fill.

Simple fix for limit orders. Builder has it and TradeStation has it as an option within Strategy options.

If limit orders are added to GSB it should also have "Fill limit order only if price exceeds limit order price." As long as this is an option fills should not be any problem unless you are using large share/contract size.

admin - 8-8-2017 at 04:07 PM

Quote: Originally posted by gmoney

Can you make the default sort order for columns descending instead of ascending? Virtually every time I sort results I want the highest at the top. It's minor but takes a step out of every time I sort. Thanks.

We can do that. Should turn up within a few builds. It's a minor task.

admin - 8-8-2017 at 04:10 PM

Quote: Originally posted by boosted

Quote: Originally posted by jptann

QantDean:

We will do limits but its a medium term goal, so I think a few months away. Lots of small things in the job que, then then GSB cloud / client-server.

admin - 8-8-2017 at 06:01 PM

Quote: Originally posted by gmoney

This is done in 34.6
I will get you a private build in a few hours to test.

emsjoflo - 12-8-2017 at 11:13 AM

I would like the option to selectively force GSB to use certain indicators and even force certain parameters for that indicator. Let's say I love my custom indicator and I want GSB to try other indicators randomly to filter it. So I could select Custom(8,14,6) to be in every generated strategy.

Also I would like GSB to use indicators X bars ago.

admin - 13-8-2017 at 07:38 PM

Quote: Originally posted by emsjoflo

I would like the option to selectively force GSB to use certain indicators and even force certain parameters for that indicator. Let's say I love my custom indicator and I want GSB to try other indicators randomly to filter it. So I could select Custom(8,14,6) to be in every generated strategy.

Also I would like GSB to use indicators X bars ago.

There are other merits to you idea. If you have a system you like and want GSB to improve it. I will get this added in a later build.
Why do you want delayed indicators?

emsjoflo - 14-8-2017 at 01:24 AM

[/rquote]
There are other merits to you idea. If you have a system you like and want GSB to improve it. I will get this added in a later build.
Why do you want delayed indicators?[/rquote]

Exactly, I would like to be able to refine systems that I understand and trust with GSB "secret sauce". I want delayed indicators because I am playing with complex cycles. I want GSB to be able to genetically "phase-match" my cyclical indicators with the movements of the market. I have been able to create some custom indicators in Excel with variable delays (or advances) and I'm getting some promising results -- including 21,000 profitable unique systems that do not use any of the built in indicators. GSB's indicators produce slightly better results but I don't understand them as well. My gut tells me GSB users will develop some astounding systems in the next few months.

jptann - 18-8-2017 at 03:51 PM

Peter:

Can you add the Trix into the canned indicators. I find that swing trades are enhanced when this is used as a secondary indicator or even in combination with a number of other primary indicators. I believe it is the triple exponential moving average of the close of the bar. Normally use only one length with it. I use it as a binary switch but maybe I can just use it as a custom indicator as part of the system. The switch idea is that if the close of the bar is > Trix, then +1, < Trix -1, same 0.

No big deal to do as a custom but others may find this useful as a switch on the trend (knowing if you are trading with the trend or against the trend)

thanks

admin - 18-8-2017 at 04:35 PM

Yes but we won't add till there's a number more to do and the more pressing features added to gsb. It's better use of programers time to do this in groups

jptann - 18-8-2017 at 05:21 PM

OK, I will just add it as a custom indicator. no big deal.

Carl - 13-9-2017 at 10:16 PM

Hi Peter,

I would like the possibility to use a % stoploss or a ATR stoploss.

Thanks,
Carl

Daily Profit Goal and Loss Limit

Gregorian - 1-11-2017 at 03:09 PM

Would be nice to have:

1. Daily Profit Goal: Stop trading the strategy that calendar day after the goal is hit.

2. Daily Loss Limit: Stop trading the strategy that calendar day after the daily loss limit is hit.

These would be parameters set in GSB, much like Stop Loss Exit is now. They do not have to be genetically evolved.

admin - 2-11-2017 at 12:34 AM

Quote: Originally posted by Gregorian

Would be nice to have:

1. Daily Profit Goal: Stop trading the strategy that calendar day after the goal is hit.

2. Daily Loss Limit: Stop trading the strategy that calendar day after the daily loss limit is hit.

These would be parameters set in GSB, much like Stop Loss Exit is now. They do not have to be genetically evolved.

As im on 15 min bars, I never get a system trade trades more that twice in a day.
Hence I don't see the point of what your doing. If you got many trades in a day that would be different.
Please explain what context it will have effect?

Carl - 2-11-2017 at 03:56 AM

Hi Peter,

I suppose i.e. in case of stoploss/ profit target/time exit and re-entry.

Gregorian - 2-11-2017 at 08:04 AM

Many auto trading programs offer this feature. Right now I'm seeing a situation where it would be useful: A GSB Point Bar strategy in MC will generate around $300 in profit, hover there for 40 minutes or so, then quickly shrinks to $40 profit before GSB closes the trade. If we had a Daily Profit Goal of, say, $280, we might capture the profit and stop for the day.

curt999 - 2-11-2017 at 08:52 AM

you do know there are build in strategies in tradestation multicharts that you can apply and they will work in conjunction with the gsb strategies..like trailing stop fixed stop psar stop dollar$$ stop etc etc

Gregorian - 2-11-2017 at 01:33 PM

Quote: Originally posted by curt999

you do know there are build in strategies in tradestation multicharts that you can apply and they will work in conjunction with the gsb strategies..like trailing stop fixed stop psar stop dollar$$ stop etc etc

Yeah, that may be the way to do it. That's why I said this feature would be nice, as opposed to necessary. So far I've been spoiled, because Peter has added the features that I used to manually add to GSB-generated strategies.

admin - 2-11-2017 at 04:11 PM

Quote: Originally posted by Gregorian

Many auto trading programs offer this feature. Right now I'm seeing a situation where it would be useful: A GSB Point Bar strategy in MC will generate around $300 in profit, hover there for 40 minutes or so, then quickly shrinks to $40 profit before GSB closes the trade. If we had a Daily Profit Goal of, say, $280, we might capture the profit and stop for the day.

You could use the max trades per day option and set it to 1, and then have $300 pt

AmiBroker

nga - 30-11-2017 at 04:17 AM

Hi,

GSB will be a very nice and useful program!

I use AmiBroker and IB so I wish for an option to export code as .afl to AmiBroker.

Regards

admin - 30-11-2017 at 04:22 AM

Quote: Originally posted by nga

Hi,

GSB will be a very nice and useful program!

I use AmiBroker and IB so I wish for an option to export code as .afl to AmiBroker.

Regards

There are a lot of VIP features for GSB to add. Trailing stops, Pattern filters, multiple & addition secondary filters, stop and limit entries. Automatic walk forward. When this and a bit more is done, then ami, NT,mt4,mt5 is closer to happening.

nga - 30-11-2017 at 04:53 AM

OK, I understand.
I have to learn how to translate TS-scripts then.

Regards

admin - 30-11-2017 at 05:00 AM

Quote: Originally posted by nga

OK, I understand.
I have to learn how to translate TS-scripts then.

Regards

Yes, or if your time poor and cheap upwork worker could do it.
There is two parts
convert indicators. (you can disable some if you dont want them all)
make normalize function. - not hard
main body of gsb code. Nothing rocket science.
gsb code over simplified is just
results=osc1*osc2*osc3
if secondary filter = true and result >0 then buy

nga - 30-11-2017 at 06:02 AM

Thanks!!

rws - 30-11-2017 at 03:50 PM

I also use Amibroker.

Watch out as the definition of the bar in Amibroker is different.
There are two options when exporting Amibroker data to GSB
You can either have time stamp as starttime bar or endtime of bar.

GSB needs endtime of bar like most other programs. If you do not take that into account not a single system will reproduce.

If you export with the default Amibroker settings and use multiple timeframe like 15 min and 60 min, the 60 min bar would have 45 min future data. You will have fantastic but unrealistic results.

If you use endtime of bar you will have 15 min data ending 15 min after market close. If you have 30 min data your last bar will end 30 min after close. This is in Amibroker and also when exporting and I think this wrong. I have explained this problem to the Amibroker software developer but he thinks his software is right and that you should use the starttime of a bar.

You will have bars with other timestamps than in tradestation on the same day. When having hourly data tradestation will stop 4 pm. But Amibroker will either stop at 3:30 as the last bar with time stamp begin or 4:30 with time stamp end. I think that is wrong.

This is a big problem when changing code to Amibroker and reproducing.
However I still have to find better systems in GSB than I have in Amibroker. I hope the addition of more advanced stops will help when going overnight in GSB.

Quote: Originally posted by nga

Thanks!!

nga - 30-11-2017 at 06:25 PM

Thank you for this information, rws!

Carl - 9-12-2017 at 07:40 AM

Hello Peter,

At the moment I save a GSB strategy I like in the following way.
I open up a new Word document and add to the document these items:
1. screenshot chart trade date
2. screenshot chart trade number
3. walk-forward tab (top menu)
4. tradestation script - tab walk forward
5. walk forward metrics (bottom tab)
Maybe nice to be able to save this kind of information from GSB in one single mouse click?

Thanks

John62 - 10-12-2017 at 07:45 AM

Peter, Can you provide insight into the priority and planning for realizing the wish list? For me, exits are the most important. The exits mentioned in this topic are fine. I would like to add another one: If X> MovingAverage (N) then exit long ...

admin - 10-12-2017 at 04:07 PM

Quote: Originally posted by Carl

Hello Peter,

At the moment I save a GSB strategy I like in the following way.
I open up a new Word document and add to the document these items:
1. screenshot chart trade date
2. screenshot chart trade number
3. walk-forward tab (top menu)
4. tradestation script - tab walk forward
5. walk forward metrics (bottom tab)
Maybe nice to be able to save this kind of information from GSB in one single mouse click?

Thanks

Well im doing the same as you, but much prefer excel as you can make notes about specific line numbers.
We can fit the wf results on the main page as an option.
Thats going to save one step.
You could use a autoit macro for this I think. Need to think on it more....

zdenekt - 13-12-2017 at 07:26 AM

I agree with John62, the exits are very important. Especially for swing strategies, where the fixed stoploss / target is not very effective. It would be great to have more conditions for exit... and maybe optimizable in the building proces.

admin - 13-12-2017 at 02:40 PM

Quote: Originally posted by zdenekt

I agree with John62, the exits are very important. Especially for swing strategies, where the fixed stoploss / target is not very effective. It would be great to have more conditions for exit... and maybe optimizable in the building proces.

I agree this is important, but you can but a % trailing stop or other exit once youve built a swing system with stop and pt.
GSB also tends to exit when its entry signal reverses. This is often very effective.

The current priority list for GSB is
Small enhancements on custom indicators.
Diag upload of settings, data files, logs, systems (all optional)
secondary filters and Closed filter (and then lots more work with truisms over time)
exits
Bug fixes from various users. Some very over due.
genetically choose long or short or long and short
.
The exact order may vary according to what the programmer feels will be most effective with his time. Sometimes some features are very close to others.

rws - 13-12-2017 at 06:06 PM

I am waiting too for this missing functionality for quite some time.

Quote: Originally posted by admin

Quote: Originally posted by zdenekt

admin - 13-12-2017 at 06:47 PM

Ive emphasized exits more exhaustively.

This is the GSB rough short term to do list.

Small enhancements on custom indicators.
Diag upload of settings, data files, logs, systems (all optional)
This hopefully will speed up support issues and take less time for end users and myself to do support work.
secondary filters and Closed filter (and then lots more work with truisms over time. This is critical for forex and various other markets)
exits for swing trading systems, trailing, close at moc if not in the money, close at mid point of daily high/low , close on first lower daily close etc
Bug fixes from various users. Some very over due.
genetically choose long or short or long and short.

For the core of users who have been with GSB from alpha testing day, you will appreciate how far we have come in a short period.
There was no secondary filter. Had to be done in TS, then do a ts wf etc. The was no WF in GSB etc.

rws - 14-12-2017 at 01:16 PM

Please add ATR based exits

admin - 14-12-2017 at 02:14 PM

Quote: Originally posted by rws

Please add ATR based exits

shall do

jptann - 16-12-2017 at 03:59 PM

Peter: A couple of requests that are not on your "to do" lists above,

1. Can you provide a group of 12 months like you do for the days to allow trading. I would like the opportunity to eliminate a month in my training and wf where I don't like to trade.

2. Can you add an ability to use a custom fitness function. Nothing too complex, but lets say I want to optimize on the NP/max draw down. I can figure out how to add that as one of our options, or even change the fitness function to just the NP. Some indication on how to add a few structures here would be helpful

admin - 17-12-2017 at 03:07 PM

Quote: Originally posted by jptann

Peter: A couple of requests that are not on your "to do" lists above,

1. Can you provide a group of 12 months like you do for the days to allow trading. I would like the opportunity to eliminate a month in my training and wf where I don't like to trade.

2. Can you add an ability to use a custom fitness function. Nothing too complex, but lets say I want to optimize on the NP/max draw down. I can figure out how to add that as one of our options, or even change the fitness function to just the NP. Some indication on how to add a few structures here would be helpful

Both these functions are in GSB. Custom fitness has been in GSB since Alpha Build. However Im not a believer in using it.
I want tight filters on the over all equity metrics, but not on the building side of things. If you still want an example, will post one in < 36 hours. Long day doing outing in Vanuatu is just beginning.
Date features is also there if advanced mode is on.
If you cant figure out how to use it, I can post an example later too.

admin - 9-1-2018 at 02:40 PM

This related post has been updated.
http://www.trademaid.info/forum/post.php?action=edit&fid=1&t...

Carl - 16-1-2018 at 02:40 PM

Separate results for long and short positions.

For example adding a column with the ratio "net profit long positions / net profit short positions".

admin - 16-1-2018 at 06:41 PM

Quote: Originally posted by Carl

Separate results for long and short positions.

For example adding a column with the ratio "net profit long positions / net profit short positions".

Thats just one field, but if we have all metrics the gui will blow out.
np and number of trades
maybe mouseover that gives long and short on each field. Not sure that it can be done but will look into it

Carl - 17-1-2018 at 01:54 AM

Sometimes it happens you think you have a great long&short strategy in gsb.
But in trafestation it turns out it's a system with 90% long profits and only 10% short profits.
It would be nice if this is visible in gsb.
Thanks

admin - 17-1-2018 at 03:47 AM

Quote: Originally posted by Carl

Sometimes it happens you think you have a great long&short strategy in gsb.
But in trafestation it turns out it's a system with 90% long profits and only 10% short profits.
It would be nice if this is visible in gsb.
Thanks

agreed, so will talk to the programmer about this

uhrbi - 17-1-2018 at 07:07 AM

Quote: Originally posted by Carl

long/short ratio of trades and their contribution to profit would be great
maybe an option to filter out systems that are below a certain ratio

admin - 17-1-2018 at 03:34 PM

Thanks[/rquote]

long/short ratio of trades and their contribution to profit would be great
maybe an option to filter out systems that are below a certain ratio[/rquote]
maybe if we start by having the mouse over on the total metrics, we can determine how useful a filter is. Problem is more filters I add, there is speed over head in using them. Will chat to programmer about this.

uhrbi - 18-1-2018 at 05:49 AM

of course, speed should be top priority...

I would like to wish for automatic saving for Portfolio Analyst and TS/MC

Petzy - 18-1-2018 at 06:40 AM

When I work with GSB I let it work for some days and then I go through all systems that look good.
After that I do a walk-forward optimization on the most promising strategies.
The ones I like I export in text format for Tradestation and Multicharts. I also save the strategy in GSB for the future.
Then I import the strategy in TradeStation and setup the right Charts so I can produce a Performance Report. I save the performance report and import it to Portfolio Analyst.

It would save a lot of time if I were able to just click save in GSB and then GSB would save the strategy as well as the Code for Tradestation and MultiCharts at the same time. (Preferably the Walkforward code). And also some kind of file that I could import into Portfolio Analyst.

Regards,
Peter Gunnarsson

Metric for longest DD period

Petzy - 18-1-2018 at 08:14 AM

I would like to have a metric that measure how long the longest DD period was.
It would be nice to be able to exclude strategies that have a continous drawdown period more than a year for example.

Regards,
Peter Gunnarsson

rws - 18-1-2018 at 11:51 AM

I think needing to move somewhere with the mouse before something shows up isnt a good idea. That has been tried with 3D Cad software too and it causes slowdowns and user discomfort.

Quote: Originally posted by admin

Thanks[/rquote]

long/short ratio of trades and their contribution to profit would be great
maybe an option to filter out systems that are below a certain ratio[/rquote]
maybe if we start by having the mouse over on the total metrics, we can determine how useful a filter is. Problem is more filters I add, there is speed over head in using them. Will chat to programmer about this.

admin - 18-1-2018 at 03:23 PM

Quote: Originally posted by rws

I think needing to move somewhere with the mouse before something shows up isnt a good idea. That has been tried with 3D Cad software too and it causes slowdowns and user discomfort.

Quote: Originally posted by admin

Well these are features that few users would use, and its not often going to be used. A blowout in size of the gui will negatively affect all users. A toggle of long short, long or short that goes to all metrics is another option- bit you only see one of the 3 metrics at once.

Portfolio Analyst wish.

Petzy - 29-1-2018 at 02:41 AM

I would like to be able to add a multiplier to a single strategy in Portfolio Analyst. For example if I have made a strategy for gold. (@GC in TradeStation). I would like to be able to modify that strategy with a multiplier of 0.1 to simulate trading with the mini future MGC instead.

The reason for this wish is that I have strategies for the futures @TY, @ES and @S. These strategies have similar behaviour of daily dollar volatility, DD etc. But the future @GC have a lot more value and daily volatility in dollar so my account size can’t handle that. BUT it would be able to handle the mini futures of gold. For example MGC that have the value of 0.1 compared to @GC.

The problem is that I can’t run my strategy on a chart with 10 years of data because only @GC have that historical data. So that means I can’t export the correct future to Portfolio Analyst and then I can’t use the excellent Portfolio Selection function

Regards,
Peter Gunnarsson

admin - 29-1-2018 at 04:12 AM

Quote: Originally posted by Petzy

I would like to be able to add a multiplier to a single strategy in Portfolio Analyst. For example if I have made a strategy for gold. (@GC in TradeStation). I would like to be able to modify that strategy with a multiplier of 0.1 to simulate trading with the mini future MGC instead.

The reason for this wish is that I have strategies for the futures @TY, @ES and @S. These strategies have similar behaviour of daily dollar volatility, DD etc. But the future @GC have a lot more value and daily volatility in dollar so my account size can’t handle that. BUT it would be able to handle the mini futures of gold. For example MGC that have the value of 0.1 compared to @GC.

The problem is that I can’t run my strategy on a chart with 10 years of data because only @GC have that historical data. So that means I can’t export the correct future to Portfolio Analyst and then I can’t use the excellent Portfolio Selection function

Regards,
Peter Gunnarsson

Hi Peter
this is how its done. See picture

Petzy - 29-1-2018 at 05:16 AM

Quote: Originally posted by admin

Quote: Originally posted by Petzy

Hi Peter
this is how its done. See picture

Great. Thanks!

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