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Update to GSB methodology. A must read, the backpacker and the Art of war by Sun Tzu
New methodology video
Info and video at the start of this thread is obsolete now
the two pass method here using green/green applies to all markets.
https://trademaid.info/gsbhelp/Crudeoilfastrevisedmethodolog...
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Simulated data, 29,30,31 minute bars.
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Simulated data, 26,30,34 minute bars.
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Simulated data, 29,30,31 minute bars. ES, IDX, SPX
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Until more recently I was not aware that GSB could work on more markets than I originally found. There were 3 keys to this. The first one was to get
the correct session times.
The second was the finer details of the settings, and the 3rd was pure CPU grunt. (Except natural gas)
One of my favorite jokes is a joke about knowledge extrapolation.
Smart people assume that knowledge in one field, amounts to knowledge in another.
GSB users including myself have also done some dangerous knowledge extrapolation.
A doctor, a lawyer, a little boy and a priest were out for a Sunday afternoon flight on a small private plane. Suddenly, the plane developed engine
trouble. In spite of the best efforts of the pilot, the plane started to go down. Finally, the pilot grabbed a parachute, yelled to the passengers
that they had better jump, and then he bailed out. Unfortunately, there were only three parachutes remaining. The doctor grabbed one and said "I'm a
doctor, I save lives, so I must live," and jumped out. The lawyer then said, "I'm a lawyer and lawyers are the smartest people in the world. I deserve
to live." He also grabbed a parachute and jumped. The priest looked at the little boy and said, "My son, I've lived a long and full life. You are
young and have your whole life ahead of you. Take the last parachute and live in peace." The little boy handed the parachute back to the priest and
said, "Not to worry, Father. The 'smartest man in the world' just took off with my back pack
source: http://www.jokes4us.com/morekiddiejokes/alawyeronaplanejoke....
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admin
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The Art of War by Sun Tzu
Now most of us agree that war is to be avoided, but there are lots of principles to be learned from this classic book. I put some things in bold that
apply to trading. What's in red for me equates to market validation. (read the word document methodology )
James clear does a great job of applying the books principles to habits.
https://jamesclear.com/book-summaries/the-art-of-war
• “According as circumstances are favorable, one should modify one’s plans.â€
• “All warfare is based on deception. Hence when able to attack we must seem unable. When using our forces we must seem inactive. When we are near
we make the enemy believe we are far away. When far away we must make the enemy believe we are near.â€
• “Appear weak when you are strong, and strong when you are weak.â€
• “If he is superior in strength, evade him.â€
• “Attack him where he is unprepared. Appear where you are not expected.â€
• “The general who loses a battle makes but few calculations beforehand.â€
• “There is no instance of a country having benefited from prolonged warfare.â€
• “A wise general makes a point of foraging on the enemy. One cartload of the enemy's provisions is equivalent to twenty of one's own.â€
• “Supreme excellence consists in breaking the enemy’s resistance without fighting.â€
• “The worst strategy of all is to besiege walled cities.â€
• “There are five essentials for victory: He will win who knows when to fight and when not to fight. He will win who knows how to handle both
superior and inferior forces. He will win who’s army is animated by the same spirit throughout all it’s ranks. He will win who, prepared himself,
waits to take the enemy unprepared. He will win who has military capacity and is not interfered with by the sovereign.â€
• “If you know the enemy and know yourself, you need not fear the result of a hundred battles. If you know yourself, but not the enemy, for every
victory gained you will also suffer a defeat. If you know neither the enemy nor yourself, you will succumb in every battle.â€
• “One may know how to conquer without being able to do it.â€
• “In war, the victorious strategist only seeks battle after the victory has been won.â€
• “In battle, there are not more than two methods of attack: the direct and indirect.â€
• “An army may march great distances without distress if it marches through country where the enemy is not.â€
• “You can be sure in succeeding in your attacks if you only attack places which are undefended.â€
• “Military tactics are like water. For water, in its natural course, runs away from high places and hastens downwards. So, in war, the way is to
avoid what is strong and strike at what is weak.â€
• “Let your plans be dark and impenetrable as night, and when you move fall like a thunderbolt.â€
• “Ponder and deliberate before you make a move.â€
• “A clever general, therefore, avoids an army when its spirit is keen, but attacks it when it is sluggish and inclined to return.â€
• “It is a military axiom not to advance uphill against the enemy nor to oppose him when he comes downhill.â€
• “The art of war teaches us to rely not on the likelihood of the enemy not coming, but on our readiness to receive him.â€
• “Make your way by unexpected routes and attack unguarded spots.â€
• “If they will face death, there is nothing they will not achieve.â€
• “The principle on which to manage an army is to set up one standard of courage which all must reach.â€
• “If it is to your advantage, make a forward move. If not, stay where you are.â€
The point I'm making is some markets are easier than others. Do your calculations well and aim for the easy markets.
Thanks received (1):
+1 REMO755 at 2023-05-09 16:36:12
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andrew.gibbs777
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Ideas for validation:
A correlation matrix on each markets raw data would be useful.
It might be useful to validate systems by testing on markets that share high correlation, example Gold and Silver i.e. test a gold system on Silver
and see if it holds up. Perhaps test a Crule Oil system on Heating Oil and see if it holds up etc etc.
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Petzy
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Thanks for the good work Peter!
I think this is the best part with GSB. Not only that the system is so good, but also that it is used in real trading and that you can elaborate on
the markets and implementation of the system. I will make some changes to my own way of testing and using systems after this.
I really appreciate the generosity you show in sharing these insights.
It will be interesting so hear about the other markets you mention when you get the time.
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admin
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The short story is I'm looking at vxx (short) It is easy to make systems on, some passed some didnt.
At this stage the only decent test I have is to do a rough job of making 10 to 20 systems, Walk forward them and pick a number with the nicest looking
curves and anchored stability scores.
All other (faster) tests I have done are not conclusive.
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cyrus68
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Peter: that session time ELD looks to be very useful. Do you implement it over the entire data range or only over more recent periods?
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admin
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Quote: Originally posted by cyrus68  | | Peter: that session time ELD looks to be very useful. Do you implement it over the entire data range or only over more recent periods?
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I normally do it over the full length of data you use in GSB.
I doubt its critical though
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cotila1
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Peter, I have read the manual, but to be very honest I dont fully get the point of the new methodology we should follow.
For instance I read ''make sure you update the methodology to included market analysis'' What you mean by that?
We need to choose the right session time based on your new script? Are the current 8.30-15 sessions still ok for ES and NG??
May be the main point is to try to avoid markets which look tough in showing decent performance over seen-data (such as CL). Please kindly clarify
more.
If this new methodologies are crucial, better u do a video?
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admin
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| Quote: Originally posted by cotila1 | Peter, I have read the manual, but to be very honest I dont fully get the point of the new methodology we should follow.
For instance I read ''make sure you update the methodology to included market analysis'' What you mean by that?
We need to choose the right session time based on your new script? Are the current 8.30-15 sessions still ok for ES and NG??
May be the main point is to try to avoid markets which look tough in showing decent performance over seen-data (such as CL). Please kindly clarify
more.
If this new methodologies are crucial, better u do a video?
|
830 to 1500 is still best for ES. The script is needed for other markets like, CL,S,NG etc
I am doing very long hours researching this, and its a massive topic. It's way too early for me to do a video.
Unless a market has been tested to see conceptually if GSB works on it, I don't recommend you live trade it.
Due to the massive CPU time needed to make CL markets, and that my tests showed unseen data failed in nearly all cases. I say avoid the CL market till
this is fixed.
There are other complexities as sometime the market is just really hard to trade. Like ES in 2005, 2016, 2017.
Other factors like the range in 2007 2008 is so high, much of the profits are in these years and it makes the parameters shift to only trade well in
this sort of high range market.
ES and Nat gas seemed to work well out of sample. ES is also a hot market at this instant.
Some of the things im working is is making multiple data sets of the same data, some with noise added. Others with the data shifted. ie 29 min bar and
31 minute bar.
The theory to test is will a system optimized in this modified data work better out of sample than a system optimized on the true data.
This all takes time to program and evaluate. I will keep you posted.
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cyrus68
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The spike in volatility that occurred last month may have been a prelude to greater generalised volatility in all asset classes, going forward. In
other words, the policy-induced low-volatility era of the post-2008 period may now be over. This has implications for model construction and
performance.
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admin
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Ive made some progress in methodology that seems fairly simple, fast from a human time and cpu time on ES
I enclose a picture.
More probably next week. Still waiting on programmer to do some things
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admin
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| Quote: Originally posted by cyrus68 | | The spike in volatility that occurred last month may have been a prelude to greater generalised volatility in all asset classes, going forward. In
other words, the policy-induced low-volatility era of the post-2008 period may now be over. This has implications for model construction and
performance. |
Totally agree, so im putting more weight into ES.
Beware chance of getting stopped a few times in succession is also higher.
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cyrus68
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In terms that Sun Tzu would understand: the terrain may have changed.
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cotila1
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| Quote: Originally posted by admin | | Quote: Originally posted by cotila1 | Peter, I have read the manual, but to be very honest I dont fully get the point of the new methodology we should follow.
For instance I read ''make sure you update the methodology to included market analysis'' What you mean by that?
We need to choose the right session time based on your new script? Are the current 8.30-15 sessions still ok for ES and NG??
May be the main point is to try to avoid markets which look tough in showing decent performance over seen-data (such as CL). Please kindly clarify
more.
If this new methodologies are crucial, better u do a video?
|
830 to 1500 is still best for ES. The script is needed for other markets like, CL,S,NG etc
I am doing very long hours researching this, and its a massive topic. It's way too early for me to do a video.
Unless a market has been tested to see conceptually if GSB works on it, I don't recommend you live trade it.
Due to the massive CPU time needed to make CL markets, and that my tests showed unseen data failed in nearly all cases. I say avoid the CL market till
this is fixed.
There are other complexities as sometime the market is just really hard to trade. Like ES in 2005, 2016, 2017.
Other factors like the range in 2007 2008 is so high, much of the profits are in these years and it makes the parameters shift to only trade well in
this sort of high range market.
ES and Nat gas seemed to work well out of sample. ES is also a hot market at this instant.
Some of the things im working is is making multiple data sets of the same data, some with noise added. Others with the data shifted. ie 29 min bar and
31 minute bar.
The theory to test is will a system optimized in this modified data work better out of sample than a system optimized on the true data.
This all takes time to program and evaluate. I will keep you posted.
|
And we are all with you Peter in this great journey. I am sure you will do a great job, as already done up to now with an excellent progress.
So summarizing, I would say to not trade live, for now, the markets you mentioned, may be the only reliable ones are ES and NG, and wait for new
important future GSB releases that might incorporate the new methodology. Am I right?
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Petzy
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Did some test with the new methadolgy. Looks good and stable. (I have only run gsb for maybe 1-2 hours at speed 45000/min)
 
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admin
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[/rquote]
And we are all with you Peter in this great journey. I am sure you will do a great job, as already done up to now with an excellent progress.
So summarizing, I would say to not trade live, for now, the markets you mentioned, may be the only reliable ones are ES and NG, and wait for new
important future GSB releases that might incorporate the new methodology. Am I right?
[/rquote]
Yes,
here is a performance report Out of sample Nov 1 2007
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cotila1
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| Quote: Originally posted by admin |
[/rquote]
And we are all with you Peter in this great journey. I am sure you will do a great job, as already done up to now with an excellent progress.
So summarizing, I would say to not trade live, for now, the markets you mentioned, may be the only reliable ones are ES and NG, and wait for new
important future GSB releases that might incorporate the new methodology. Am I right?
[/rquote]
Yes,
here is a performance report Out of sample Nov 1 2007 |
Well Done! looks great
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cotila1
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| Quote: Originally posted by admin |
[/rquote]
And we are all with you Peter in this great journey. I am sure you will do a great job, as already done up to now with an excellent progress.
So summarizing, I would say to not trade live, for now, the markets you mentioned, may be the only reliable ones are ES and NG, and wait for new
important future GSB releases that might incorporate the new methodology. Am I right?
[/rquote]
Yes,
here is a performance report Out of sample Nov 1 2007 |
By the way, do you mind to share what kind of settings have u used? The usual default ''ESsystemsTight.gsbappset'' and
''managerES.gsboptset''?
secondary stream= spx and idx? WF with 200*200?
thanks
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admin
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| Quote: Originally posted by cotila1 | | Quote: Originally posted by admin |
[/rquote]
And we are all with you Peter in this great journey. I am sure you will do a great job, as already done up to now with an excellent progress.
So summarizing, I would say to not trade live, for now, the markets you mentioned, may be the only reliable ones are ES and NG, and wait for new
important future GSB releases that might incorporate the new methodology. Am I right?
[/rquote]
Yes,
here is a performance report Out of sample Nov 1 2007 |
By the way, do you mind to share what kind of settings have u used? The usual default ''ESsystemsTight.gsbappset'' and
''managerES.gsboptset''?
secondary stream= spx and idx? WF with 200*200?
thanks |
Its much more than settings alone. I will work on a video asap.
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admin
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See top of this thread
New methodology video
Simulated data, 29,30,31 minute bars.
Simulated data, 26,30,34 minute bars.
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admin
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TO create your own data, go here. (GSB paid members only)
http://www.trademaid.info/forum/viewthread.php?tid=118#pid16...
I have also added 29,30,31 min ES+IDX+SPX in the top of this thread too.
I'm also going to experiment with making systems with no Secondary filter. Amount of trades will be much higher - should be less curve fitting. Once
this is done do a Walk forward with Secondary filter on. GSB needs some small tweaks to do this.
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admin
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Here is a system I made today. On 29.30,301 es,spx,idx from 2000 to 10/2007
Results degraded a little with 2500 stop.
System in the member private forum soon.
Note the performance increase with this Truism added. I havnt test this apart form this system, but suspect its very worth while.
If someone has the time, would be worth testing on other GSB systems. Not that in this case it worked better for short than long.
Results shown in all other reports excluded this additional filter, and included $30 round turn slippage and commission
If decision = 1 And sfDecision = 1 and close >close[1] Then
Begin
Buy("Long entryM2.4") 1 contracts this bar on close;
End
Else If decision = -1 And sfDecision = -1 and close < close[1] Then
Begin
SellShort("Short entrym2.4") 1 contracts this bar on close;
End;
 
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admin
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TESTS ON GOLD.
I did some tests on gold 30 minutes.
Put sessiontimecalcs on the data
....730
745, Rng,193.0418, abs movement,0.7407, Volume, 639.07
800, Rng,212.9424, abs movement,0.7305, Volume, 761.08
815, Rng,256.0768, abs movement,2.4897, Volume,1181.31
830, Rng,337.5720, abs movement,6.5775, Volume,2003.79
845, Rng,396.9856, abs movement,1.5329, Volume,2776.62
900, Rng,305.2675, abs movement,1.5638, Volume,1978.20
915, Rng,304.9040, abs movement,0.2881, Volume,2009.72
930, Rng,291.9444, abs movement,1.2791, Volume,1904.54
945, Rng,351.8930, abs movement,0.0583, Volume,2466.78
1000, Rng,334.2215, abs movement,1.2106, Volume,2418.63
1015, Rng,353.0281, abs movement,12.2462, Volume,2849.90
1030, Rng,304.3724, abs movement,6.0254, Volume,2177.36
1045, Rng,304.6982, abs movement,1.4335, Volume,2091.55
1100, Rng,283.9369, abs movement,1.7661, Volume,1893.64
1115, Rng,278.1516, abs movement,1.4849, Volume,1820.83
1130, Rng,258.6111, abs movement,5.0137, Volume,1648.02
1145, Rng,249.9897, abs movement,1.3100, Volume,1457.51
1200, Rng,235.0754, abs movement,6.5878, Volume,1310.24
1215, Rng,229.4925, abs movement,0.2126, Volume,1203.68
1230, Rng,214.4102, abs movement,2.2942, Volume,1093.11
1245, Rng,211.7284, abs movement,4.9657, Volume,1065.77
1300, Rng,209.3724, abs movement,4.1392, Volume,1028.39
1315, Rng,218.4328, abs movement,2.1571, Volume,1158.15
1330, Rng,227.7435, abs movement,5.4801, Volume,1421.82
1345, Rng,182.5652, abs movement,1.8621, Volume, 777.25
1400, Rng,172.2291, abs movement,1.4266, Volume, 595.25
1415, Rng,201.2791, abs movement,1.4986, Volume, 772.62
1430, Rng,185.2778, abs movement,2.7503, Volume, 642.51
1445, Rng,169.1152, abs movement,0.1783, Volume, 512.92
1500, Rng,158.2339, abs movement,1.6907, Volume, 471.74
1515, Rng,158.0178, abs movement,3.4979, Volume, 432.67
1530, Rng,148.3196, abs movement,0.3052, Volume, 385.09
1545,......
This shows 815 (bar starts at 800) to 1330 is where the volume and range are.
I then looked at the gold monthly chart to figure out what periods I didnt want in sample.
So after 7/29/2011 the range got bigger, though the last few years I feel gold systems will do poorly. (My own experience with all gold systems I have
looked at)
SO I then build systems with gold over this period, and then later changed the gold dates to show data after 7/29/2011
(See trading periods on the left of main GSB screen. As of build 44.21 this can be changed at any stage.
Below was typical results.
24 in 25 systems (all with anchored stability of 80 or above) failed badly.
The one that passed was good till the 3/2016
I then built gold data from 2007 to 7/29/2011 using 30 min, then 29 min then 31 minute. In the data file there is no data after 7/29/2011.
I did a walk forward on the best systems.
Then i changed the data1 file to have data from 2007 to 2018 30 minutes.
This was typical of the results.
Systems profitable out of sample but still not great.
All systems with anchored stability of 60 of over were profitable out of sample. All but one struggled after march
2016.
The stability scores were much lower on 30,29,31 min bars than 30 minute. (no surprise as its much harder to trade 30 29 31 then just 30 min bars.
My conclusions.
1) Using 30,29,31 min bars is excellent for building systems, and especially for market validation.
2) Gold is a harder market, and from a systems perspective is a really hard market to trade the last few years.
The app to make the 30,29.31 minute date needed an update to cope with missing 1 minute bars in gold. I will update at some stage.
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admin
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Unrelated, there is another assumption that needs to be challenged.
Changing to a related market will still give reasonable results if the system is a good one.
ie ES - mini Russell, nasdaq etc.
The proof would be.
Get a system you know is a curve fit and terrible out of sample.
Change the code so it trades the new data set, but all the indicators etc are on the original data set.
My strong suspicions is the system will still do well, till the out of sample date.
The other thing to look at is, make system system indicators run on the new data only, and see the results.
If anyone has the inclination to do this, please publish the results.
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Carl
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Hi Peter,
More or less the same test results on RB.
Good looking equity lines and good metrics (Pearson, NP/DD, PF, PAS and so on) on IS dataset RB 28 min -35 min - 30 min.
But most of the systems failed in the out of sample tests.
And the only one that passed the out of sample test had only reasonable IS equity and metrics.
So I was not able to find any correlation between IS metrics and OOS performance.
My conclusion is the same as yours. I think we need more then only good IS metrics and good IS equity lines to choose robust systems. Testing on
different sessions and related/correlated ticker might be a way to do this.
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