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admin
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Quote: Originally posted by Carl  | 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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Hi Carl,
Im not sure what your saying is the same as me.
Im saying Gold was terrible on 30 min bars, but acceptable on 30,29,31 min bars. Just a tough market last few years.
Are you saying it was not ok Out of sample on 30 ,28,35 (or was that 32 min?)
I think 35 is perhaps to far out form 30, but need lots of testing to verify this.
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rws
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I have do this the hard way in Amibroker, optimize on different tickers and also optimize on different timeframes in the same optimize run. I could
for example define the profit as the average of the 15, 30 and 60 min timeframe and to have parameters like that they all have at least >+10% return
or do not 50% differ from each other etc.
I found scripts that have good performance on many different timeframes and although these do not have fantastic returns they are robust OOS.
It would be good if GSB could do this automatically.
I have many indicaters in a system and let Amibroker find a good combination and find out which combination is robust. I find that sometimes
indicators don't have robust performance and adding things like high> last peak etc can improve. Also japanese candle sticks or optimized price
patterns of the last few bars do have some value in combination with indicators. Please add these price pattern functions in GSB.
It doesn't have to be excactly 29-31 min, if a system based on 1 hour would at least have an adjustable positive return on 2 hours, 30 min and 15 min
etc chance is much better it works OOS. If GSB just would work with 1 min data and would generate the timeframes automatically then it could find
systems that work on all the timeframes that you set.
If GSB also would allow to run a system on a portfolio of several related indexes I am sure it would further improve OOS. I have seen that so many
times when doing these tests in Amibroker. I often optimize on 10 tickers that are related to SP500 or Nasdaq 100 to find something that works.
| Quote: Originally posted by admin | 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 rws,
For GSB systems on ES the original methodology delivered great results.
GSBSys1 has been profitable on ES and NQ in out of sample period.
GSBsys6 had also been profitable on ES out of sample.
My GSB generated system on ES (developed in June 2017) earned 13k after costs and slippage the last 12 months (9 months out of sample). And I can go
on like this. Most of my GSB generated systems on ES have been profitable out of sample.
But on CL, GC and RB it seems it is much more difficult to develop systems that are profitable out of sample.
Maybe because prices behaved in a different way compared to earlier periods? Trend? Volatility?
Or maybe because the original methodology in GSB is not suitable and we need an other GSB methodology for these tickers?
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rws
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Hi Carl,
I also found out after testing many markets (and about 200 of the highest volume ETF's ) that GSB works better on certain markets I think that is
because the skeleton of the formula is more or less optimized for ES and the indicators don't matter that much. So far I have had more luck with other
ways than GSB and I hope that GSB will improve because I bought it for trading. I have spent hundreds of hours in GSB and tested hundreds of tickers
so it is not that I did not try. I don't think it does not work but I don't want to only trade ES as I have had better results on other (low volatile)
markets and even simple stock/ETF picking for a couple of hours or days.
That said I did buy GSB as a replacement for searching systems in Amibroker and looking at the presale videos I thought it had great OOS performance.
I could make custom indicators that have pricepattern breakouts and try that in GSB too but I also find that exits/entries can often be improved by
looking at leg lengths and fib. levels or support and resistance and that is something I will never be able to do in GSB.
I like the simplicity of GSB and hope it will have more ways to confirm OOS in the near future.
| Quote: Originally posted by Carl | Hi rws,
For GSB systems on ES the original methodology delivered great results.
GSBSys1 has been profitable on ES and NQ in out of sample period.
GSBsys6 had also been profitable on ES out of sample.
My GSB generated system on ES (developed in June 2017) earned 13k after costs and slippage the last 12 months (9 months out of sample). And I can go
on like this. Most of my GSB generated systems on ES have been profitable out of sample.
But on CL, GC and RB it seems it is much more difficult to develop systems that are profitable out of sample.
Maybe because prices behaved in a different way compared to earlier periods? Trend? Volatility?
Or maybe because the original methodology in GSB is not suitable and we need an other GSB methodology for these tickers?
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Carl
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OF course it would be great if GSB could develop robust systems on all ticker symbols.
Hopefully with the new methodology and/or other secondary filter (or some other alternative approach) it will be possible to build robust systems on
other ticker symbols than ES, NQ and ES.
And if not (worst case scenario) with GSB we are able to build robust systems on ES, NQ and NG.
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zdenekt
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The most important point are EXITS from the trade.
You can have thousands of filters for trade entry but if you donīt have the option to try different exits then the variability of strategies is
limited and conditions used in strategies are converging on the particular market regardless of the computing time and quantity of "unique systems"
generated.
There is only few markets we can trade intraday because they have reasonable daily range for time frames 15 minutes and higher. All other markets are
tradable with swing strategies but we have only intraday exit "market on close" in GSB...and Dollar stop loss / profit target.
If we will have more diffrent exits then we can find diffrent strategies with many diffrent conditions on many markets and maybe without secondary
filter.
We can use a secondary filter on an existing strategy or a set of conditions that already generate a growing equity curve.
Otherwise it is just another condition...so we still try to find best entry conditions and it leeds to more and more conditions for less and less
trades...and these multi-condition-combinations in conjunction with a low number of trades will usually fail in the future because they will only work
at the appropriate volatility (only few times in decade).
In my opinion EXITS should have a higher priority than the secondary filter.
Sometimes even stupid trade entry is working when you donīt have stupid exit.
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rws
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I think this concern is shared by more users
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admin
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| Quote: Originally posted by Carl | OF course it would be great if GSB could develop robust systems on all ticker symbols.
Hopefully with the new methodology and/or other secondary filter (or some other alternative approach) it will be possible to build robust systems on
other ticker symbols than ES, NQ and ES.
And if not (worst case scenario) with GSB we are able to build robust systems on ES, NQ and NG. |
[file]1033[/file]
This all just takes time to test. I had good profitability on VXX this month, and SQQQ, but I stopped soybeans as I did not have time to test the
market. However Soybeans systems were fairly consistently profitably in March.
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admin
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Need more testing, but soybeans looks fine on 30,29,31 min bars from 1/1/2011 to 2018/3/31
Out of sample was from 1/1/2007 to 12/31/2010 All systems looked bad in 2007, so im just assuming that was just a bad period.
Late note. 9 of 10 systems had good equity curves in the out of sample period. They were all poor from 1/2007 to 8/2008
 
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Carl
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Great results on soybeans, Peter.
So one more successful ticker for GSB!
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admin
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I did tests on sb30 with out of sample pre 2011.
All were poor first 18 months approx, and 13 out of 14 had fairly ok equity curves.
Note I put very little effort into choosing good system metrics in the in sample data.
So I think soybeans is good market for GSB. It MIGHT be wise to use 30 29 31 minute data though.
I would need more testing to know for certain if this is greatly needed.
      
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John62
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| Quote: Originally posted by zdenekt | The most important point are EXITS from the trade.
You can have thousands of filters for trade entry but if you donīt have the option to try different exits then the variability of strategies is
limited and conditions used in strategies are converging on the particular market regardless of the computing time and quantity of "unique systems"
generated.
There is only few markets we can trade intraday because they have reasonable daily range for time frames 15 minutes and higher. All other markets are
tradable with swing strategies but we have only intraday exit "market on close" in GSB...and Dollar stop loss / profit target.
If we will have more diffrent exits then we can find diffrent strategies with many diffrent conditions on many markets and maybe without secondary
filter.
We can use a secondary filter on an existing strategy or a set of conditions that already generate a growing equity curve.
Otherwise it is just another condition...so we still try to find best entry conditions and it leeds to more and more conditions for less and less
trades...and these multi-condition-combinations in conjunction with a low number of trades will usually fail in the future because they will only work
at the appropriate volatility (only few times in decade).
In my opinion EXITS should have a higher priority than the secondary filter.
Sometimes even stupid trade entry is working when you donīt have stupid exit. |
I agree. In some less volatile markets a like swing systems with good exits. Trades for a few days. Here a sample i'm trading since 2016 on TY:
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admin
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| Quote: Originally posted by John62 | | Quote: Originally posted by zdenekt | The most important point are EXITS from the trade.
You can have thousands of filters for trade entry but if you donīt have the option to try different exits then the variability of strategies is
limited and conditions used in strategies are converging on the particular market regardless of the computing time and quantity of "unique systems"
generated.
There is only few markets we can trade intraday because they have reasonable daily range for time frames 15 minutes and higher. All other markets are
tradable with swing strategies but we have only intraday exit "market on close" in GSB...and Dollar stop loss / profit target.
If we will have more diffrent exits then we can find diffrent strategies with many diffrent conditions on many markets and maybe without secondary
filter.
We can use a secondary filter on an existing strategy or a set of conditions that already generate a growing equity curve.
Otherwise it is just another condition...so we still try to find best entry conditions and it leeds to more and more conditions for less and less
trades...and these multi-condition-combinations in conjunction with a low number of trades will usually fail in the future because they will only work
at the appropriate volatility (only few times in decade).
In my opinion EXITS should have a higher priority than the secondary filter.
Sometimes even stupid trade entry is working when you donīt have stupid exit. |
I agree. In some less volatile markets a like swing systems with good exits. Trades for a few days. Here a sample i'm trading since 2016 on TY:
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Programmer says exits and secondary filter are going to be developed together, as the logic is related.
The TY system looks good. Its a market I have never nailed. System I build on TY worked much better when ported to ES. But i have done no work on this
for years.
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admin
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I have had great success with the Nth day feature in build 44.32 Basically GSB will not trade every Nth day. This forms a new out of sample period.
I tried nth 3 on ES, and 19 out of 20 systems had increased average trade out of sample compared to in sample
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rws
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In case you have few data or want to test on current
market condition this is something that could be used.
http://www.financial-hacker.com/tag/oversampling/
In that case GSB should make it's data from the for example 1 minute
data and in case of 30 minuts have 29 different data sets of the
same period. This can also help to find if the system is robust.
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admin
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| Quote: Originally posted by rws | In case you have few data or want to test on current
market condition this is something that could be used.
http://www.financial-hacker.com/tag/oversampling/
In that case GSB should make it's data from the for example 1 minute
data and in case of 30 minuts have 29 different data sets of the
same period. This can also help to find if the system is robust.
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In plain English, how does this work compared to making 29 & 31 min bars added to 30 min? (Entire data sequence used in series or parallel)
Im not sure how you get 29 other bars. Even if you offset the time by 0 to 29 minutes, the first bar of the day will be <30 min. Fine if its 29 min,
but not fine if its 1 minute
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rws
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suppose 1 minut base data.
first data set 30 min bars offset 1 min:
1
31
61
second data set 30 min bars offset 2 min:
2
32
62
29st data set 30 min bar offset 29 min
29
59
89
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admin
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Copper (@HG) is a good market from what I can see, but the settings and data streams are critical to get really good systems. I will included them
with the next beta in the private forum. Nth 2 worked very well with high % of systems working well out of sample only with the right data streams and
settings. I will advise once I have finished my research.
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admin
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Very incomplete video on nth feature. Wont get this finished till tomorrow.
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admin
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Have lots of issues with nth and video. Bug fixes in 44.53. Only the manager needs to be upgraded from .52.
Video may be some time to I figure some things out.
Meanwhile enjoy nth and average of metrics. The metrics GUI will be enhanced before long.
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admin
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Finally, new video on market testing, nth feature, date range * inverse date range, and most importantly- A method to validate if a market is good for
GSB.
The method is fast & simple.
Please try this on other markets too.
The video is not as polished as I would like, but I hope it will be useful.
There is a minute of duplicated content that needs to be removed.
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File is now fixed
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admin
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I uploaded the wrong file. It was NOT nth2d-feature.mp4 but was Gsb_Market_testing1f.mp4
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Petzy
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The file: Gsb_Market_testing1f.mp4 is damaged
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admin
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Use the link for market validation video.
removed as upload now fixed
Dropbox link as file upload is failing
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admin
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Finally, new video on market testing, nth feature, date range * inverse date range, and most importantly- A method to validate if a market is good for
GSB.
The method is fast & simple.
Please try this on other markets too.
The video is not as polished as I would like, but I hope it will be useful.
There is a minute of duplicated content that needs to be removed.
File is now fixed
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