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Carl
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Hi Peter,
Just for reference purposes I would be nice if every system in the tab "unique system" had a unique number.
Thanks
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admin
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Agreed. Thats a good idea. It's on the short term to do list. TS<>GSB & WF improvements are the top focus right now.
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admin
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Hi Carl,
reference number done in 24.8 today. Thanks for the idea. We can do numbers 1 to ... as when we restart, or have multiple GSBwork.exe, or have loops,
we might get duplicates
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Carl
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Thanks Peter, a few suggestions:
Maybe users would like to be able to develop "long only" or "short only" systems.
And for long+short systems to be able to see the performance results for long and short trades separately (table, equity line, WF equity line).
Left window: "set exit at close" is now under "general", maybe a better place might be under "exits"?
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admin
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Agreed on comments. Long only works well on some markets. At a guess it will be a month or so away.
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admin
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Secondary Data and MC data files
Hi Gregorian.
Multicharts format now supported in 25.0
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Carl
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"Maybe users would like to be able to develop "long only" or "short only" systems."
And is it possible to combine a validated "long only" and a validated "short only" strategy into one long/short strategy.
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Gregorian
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Decycler in MC
Thank you - the MC data import works fine.
However, the first strategy developed with this data had two problems when compiling in MC:
1. The series of numbers under the //ID line at the top caused a compile error. Not sure whether these are necessary.
2. The strategy required the Decycler routine, but the Decycler ELD will not import into MC - it shows no routines contained inside - though the same
ELD imports into TS just fine.
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gmoney
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Quote: Originally posted by Carl  | | And is it possible to combine a validated "long only" and a validated "short only" strategy into one long/short strategy. |
I agree. This would be a great feature to incorporate.
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zug7
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Naming of functions
I have downloaded DECYCLER-FUNCTIONS.ELD and I cannot import it into my Tradestation development environment !
I have a big problem with generic names like "RoofingFilter" and "Decycler". - I already have such functions and a lot of other code depends on it.
Therefore I basically have the choice to throw out my other stuff or rename it (which is not possible because these are pieces of software which are
used in collaboration with others). - It should not be the case that a piece of software overwrites existing code which is not related.
Please, please, please ... in future: can all GSB specific functions and code start with a name like GSB_* . And please can we rename the existing
functions?
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admin
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Are the functions identical? If so there is no need to over write the code.
Otherwise a simple search and replace macro could be made on your end to change gsb code thats exported. (else do it manually)
Im open to options on this.
Yesterdays build had myrsi etc which shouldnt cause you issues.
For new code I can check with you before hand. There is some new indicators out soon.
Worst case I will look into renaming the old gsb indicators to keep you happy 
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admin
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Hi Gregorian
1) bug should be fixed in next release. Thank you
Here is _Decycler
You can cut and paste into mc
{
Decycler
� 2013 John F. Ehlers
}
Inputs:
Cutoff(numericsimple);
Vars:
alpha1(0),
HP(0),
Decycle(0);
//Highpass filter cyclic components whose periods are shorter than �cutoff� bars
alpha1 = (Cosine(360 / Cutoff) + Sine (360 / Cutoff) - 1) /
Cosine(360 / Cutoff);
Decycle = (alpha1 / 2)*(Close + Close[1]) + (1- alpha1)*Decycle[1];
_Decycler=Decycle;
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admin
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Hi Zug7
done in 25.3. Not well tested so might be issues
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zug7
Thomas
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Peter,
You are amazing! - It is less then 12 hours that I posted my problem and we have discussed this and this has been already changed. Thank you very much
!!!
Thomas
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Carl
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Hello Peter,
I have been using GSB for a few weeks now and am still amazed by the results GSB generates.
A few days ago GSB developed yet another very good looking strategy om ES 30 minutes.
I imported the GSB strategy code in Tradestation and did an optimization for a walk forward analysis with your software "Enhanced Walk Forward
Optimizer" (EWFO).
I would like to ask a few questions about this process:
1. What parameter ranges do you use in Tradestation when optimizing a strategy for walk forward analysis. +/-20%, +/- 40%, something else?
2. Do you include costs & slippage in Tradestation or do you set it to zero in Tradestation and only include it in EWFO?
3. Because I purchased GSB and received the code for the strategy GSBsys2ES you developed, what fitness function did you use for GSBsys2ES in
Tradestation and in EWFO?
Thanks
Thanks,
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admin
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Hi Carl,
thank you for your kind words.
1) I would tend to use the range that GSB has used in its own WF tests. This however is a whole topic in and of itself.
So I might say use nearest % in GSB being 50% or even more. (That's +25%, -25% from the original.)
You could also change search space from nearest to full, so see what parameter range work out best.
Full search space will use the entire paramter range allowed for a indicator internal in GSB. ie rsi 0 to 100, with length say 5 to 200 (varies per
indicator)
More iterations might be needed if search space full is used.
I then will perform an identical WF in GSB. If the results vary significantly, then increase the amount of WF generations / population.
Too few WF iterations leads to in-consistent WF results.
So then the parameter range that GSB has used in the green box, I would use both extremes.
ie for the first parameter that starts at 27, the range GSB used is from 23 to 34. So I would use this range.
If the final parameter was close to an either edge of the range (ie it was 34), then I would optimize wider still.
Weights I always like to included weight or zero. Logic behind this is if zero is chosen in WF, then the indicator is not valid.
I will always do at least 2 WF in TS --> EWFO. Reason is the first is to get a rough idea of what range of parameters to use, and the steps in
parameter increase might be very large. Few large steps speeds up the WF process, but is less precise. IE, i might use weight 0 to 100 step 10 on the
first WF. This might result in a range of 30 to 50 being used in EWFO. So I will then use say 25 to 55 step 5 on the next WF.
2) I normally use 0$ slippage & commission in TS WF, but will outline why sometimes this is not a good idea.
TS default fitness in WF is netprofit. NP itself is not the best fitness. I prefer NP*PF or NP* average trade. TS cant do fitness np*pf etc.
So TS is going to maximize fitness. Normally that's fine but.... If you have a system that might make 20,000 $10 trades, TS is going to be working in
the wrong parameter range.
If you added $10 r/t slippage, its going to be working in a much better parameter range. (A system that makes 20,000 $10 trades is of no interest to
us, as the profit per trade is too low.
3) I think I used NP*PF to make GSB2es in GSB. In EWFO I also used NP*PF. Its shown in the documentation excel file I give out with the code.
In EWFO, I try several fitness's to see what one leads best to parameter stability. You will see the parameter stability in GSBsys2ES is excellent.
Its often very clear that one is better, but the final result is often the same on multiple fitness's.
In order of favorites for fitness I try
np*pf,np*ave trade, np, np/dd, np / (5dd),
fitness commission I typically use $15, sometimes $30
Strongly like commission to be used in fitness. It skews the system to have higher PF, average trade, and less trades.
vbase(m) in place of np I rarely try too.
Note you have to watch for the redundancy if you have ind1*weight1*indic2*weight2.
In this case you leave weight2 as fixed value.
Shown here is the parameter stability. Excellent result.
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Gregorian
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Licensing problem
Today GSB is asking for my License ID and Password before starting up. The original Activation Code (with no password) sent to me does not work. If I
try to locate my License ID using the link provided, I get taken to my Adaptrade (!) license portal, with no way to switch the software provider
company from Adaptrade to you. Rebooting the PC did not help.
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admin
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Hi Gregorian, In the release notes I commented how all paid users now need a license ID. This is to make rego instant when new people purchase, and it
does give the
options for me to provide better service. IE notify users when there are updates etc.
I am emailing you with licence codes for GSB, EWFO, PA and OPTMON
If you have any problems let me know, and sorry ofr inconvenience caused.
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rws
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I would like to ask:
I see the AT-F and AT-S to be much higher than what I see
in the trade list based on XP and NP.
So I mean the average profit per trade is much higher than
the difference between buy and sell price.
Do I miss something?
Thanks
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admin
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Can you send screen shots on both? What commission fitness and commission graph are you using?
If you do this on build 26.1 you can then export a system for me to test and look at.
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admin
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Hi Carl,
you commented that you wanted WF ts script back. This is not greatly needed as you can copy the parameters from the wf screen. We do want it back
though.
It disappeared due to a intermittent internal crash that's not quick for us to fix. If it works, it will appear here. Its on the to do list.
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rws
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Please find the picture. Please compare the trade list to the average
profit. It seems they are very different or do I miss something?
| Quote: Originally posted by admin | Can you send screen shots on both? What commission fitness and commission graph are you using?
If you do this on build 26.1 you can then export a system for me to test and look at. |
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Carl
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Your ES price is factor 100 to high?
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Carl
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Hi Peter,
Hoe does the "performance filter walk forward" feature under "tools" work?
GSB - tools - app settings - performance filter walk forward
Is it possible to filter the walk forward strat results with this feature, because at the moment I am scanning the results visually and manually?
Would be really nice if the scanning of walk forwarded strats could be automated.
Thanks
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admin
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Hi Carl,
from memory thats like termination filter. If a WF run didnt meet a certain metric, it will be terminated.
Not a good idea to make this filter too active as it could invalidate WF.
Im currently not doing massive amounts of WF, so personally dont see the need to auto scan them.
There could be months of programing work put into WF so it will be a work in progress. We will see how this develops over time.
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