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admin
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Quote: Originally posted by cyrus68  | I have a problem that may be the result of a bug or my wrong settings, and I can’t figure out which it is.
I generated systems with the following setting: training=100 and Trd=1, which essentially designates 50% of the data for OOS testing. Unusually, some
of the WFs have current curves that are severely truncated, as though they have only been calculated over half the data period. The rest of the WFs
look normal. I haven’t seen this sort of result with other settings, such as 40/30/30 and Trd=2.
I wonder if this may have anything to do with the ‘Optimise Data Stream’ setting. Generally, I prefer to set it to True. This allows the current curve
to generalise the role of the data streams over the whole data set. Setting it to False restricts optimising their role, over the training period
only.
The first pic is for the total curve and the second is for the OOS curve.
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can you send a screen shot with the difference between total and OOS circled.
I don't understand what you mean.
I see no problem with the screen shots. The x axis is set to trade number, so a wf current curve gives similar profit with much less trades (good)
If you set x axis to date, the curves will end at the same point.
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cyrus68
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the first pic has total (red), WF current and WF OOS curves. The WF curves have almost half the number of trades and about 2/3 the profit. This is
unusual. They should be in the same range.
the second pic shows the OOS (red) for nth trd=1.
here is a pic by date.
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admin
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| Quote: Originally posted by cyrus68 | the first pic has total (red), WF current and WF OOS curves. The WF curves have almost half the number of trades and about 2/3 the profit. This is
unusual. They should be in the same range.
the second pic shows the OOS (red) for nth trd=1.
here is a pic by date. |
Hope to send an update tomorrow on this
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cyrus68
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There doesn't seem to be a way of introducing division, in setting the fitness criterion. For example: net profit/(average of top 5 DDs). I fiddled
around but only multiplication seems to be allowed.
I take it that a weight of 2 means raising the variable to the power 2. For example avg trade^2 is avg trade squared. And avg trade^-2 is the square
root of avg trade.
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admin
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| Quote: Originally posted by cyrus68 | There doesn't seem to be a way of introducing division, in setting the fitness criterion. For example: net profit/(average of top 5 DDs). I fiddled
around but only multiplication seems to be allowed.
I take it that a weight of 2 means raising the variable to the power 2. For example avg trade^2 is avg trade squared. And avg trade^-2 is the square
root of avg trade. |
I will ask programmer on aver of 5 worse dd. I think ewfo used np/ave 5 worst dd.
I think you are correct on both points.
Regardless its my OPINION that best fitness = np*at
Remember also the final performance metrics can change a lot after Walk forward.
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admin
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| Quote: Originally posted by cyrus68 | There doesn't seem to be a way of introducing division, in setting the fitness criterion. For example: net profit/(average of top 5 DDs). I fiddled
around but only multiplication seems to be allowed.
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In next build (else the one after) we will have np/(5x worst dd)
You are correct that current mode is not useable
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cyrus68
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When you export a trade list from GSB to PA, how do you associate the file with a particular symbol?
There is no editing option to do this, as far as I can see.
Renaming the file, xyz.@NG instead of xyz doesn't work either.
Maybe the only sound way is to import via TS.
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rws
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Cyrus68,
I take it that a weight of 2 means raising the variable to the power 2. For example avg trade^2 is avg trade squared. And avg trade^-2 is the
square root of avg trade.
trade^-2 = 1/trade^2 and square root is trade^0.5
I find sometimes multiplying with (winners avgprofit)/(losers avg loss) and/or /(avg holding bars) and/or /(losers average holding bars) made
things better but that was in another optimizer and a complete different algorithm.
| Quote: Originally posted by admin | | Quote: Originally posted by cyrus68 | There doesn't seem to be a way of introducing division, in setting the fitness criterion. For example: net profit/(average of top 5 DDs). I fiddled
around but only multiplication seems to be allowed.
I take it that a weight of 2 means raising the variable to the power 2. For example avg trade^2 is avg trade squared. And avg trade^-2 is the square
root of avg trade. |
I will ask programmer on aver of 5 worse dd. I think ewfo used np/ave 5 worst dd.
I think you are correct on both points.
Regardless its my OPINION that best fitness = np*at
Remember also the final performance metrics can change a lot after Walk forward.
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admin
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| Quote: Originally posted by cyrus68 | When you export a trade list from GSB to PA, how do you associate the file with a particular symbol?
There is no editing option to do this, as far as I can see.
Renaming the file, xyz.@NG instead of xyz doesn't work either.
Maybe the only sound way is to import via TS. |
You can edit the first line of the pa file.
Symbol=ES BigPointValue 50 Slippage 0 Commission 0 (Slippage Mode TradePerSide, Commission Mode
Or in PA you can add a new contract, or in GSB you might be able to change the csv file systems are made on, and add to contracts.txt file (tools,
contracts, list)
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cyrus68
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I don't understand anything of what you are saying.
There is already a comprehensive dictionary set up in PA for futures symbols.
Let's say you export the trade list for an NG system, from GSB, as a PA file, and call it NG xyz.
When you add the file in PA, it is added as: symbol=NG, strategy=NG xyz and type=stock.
The only thing that you can edit are the weight and the costs.
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admin
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| Quote: Originally posted by cyrus68 | I don't understand anything of what you are saying.
There is already a comprehensive dictionary set up in PA for futures symbols.
Let's say you export the trade list for an NG system, from GSB, as a PA file, and call it NG xyz.
When you add the file in PA, it is added as: symbol=NG, strategy=NG xyz and type=stock.
The only thing that you can edit are the weight and the costs.
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Are you talking pa pro, or pa cloud?
You can edit much more, esp on pro.
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admin
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| Quote: Originally posted by cyrus68 | I don't understand anything of what you are saying.
There is already a comprehensive dictionary set up in PA for futures symbols.
Let's say you export the trade list for an NG system, from GSB, as a PA file, and call it NG xyz.
When you add the file in PA, it is added as: symbol=NG, strategy=NG xyz and type=stock.
The only thing that you can edit are the weight and the costs.
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see settings, future dictionary on PA PRO, add symbol.
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cyrus68
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@NG is already in the dictionary.
I don't need to add it to the dictionary.
the issue is this: how do you associate the file/strategy that you have just added, namely NG xyz, with the symbol @NG?
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admin
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| Quote: Originally posted by cyrus68 | @NG is already in the dictionary.
I don't need to add it to the dictionary.
the issue is this: how do you associate the file/strategy that you have just added, namely NG xyz, with the symbol @NG? |
You can edit the first line of the pa file.
Symbol=NG BigPointValue 10000 Slippage 0 Commission 0 (Slippage Mode TradePerSide, Commission Mode
CHANGE TO
Symbol=@NG BigPointValue 10000 Slippage 0 Commission 0 (Slippage Mode TradePerSide, Commission Mode
Or in PA you can add a new contract called NG, or in GSB you might be able to change the csv file systems are made on, and add to contracts.txt file
(tools, contracts, list)
or in GSB you might be able to change the csv file systems are made on, and add to contracts.txt file (tools, contracts, list)
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admin
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| Quote: Originally posted by cyrus68 | @NG is already in the dictionary.
I don't need to add it to the dictionary.
the issue is this: how do you associate the file/strategy that you have just added, namely NG xyz, with the symbol @NG? |
I will add option to automatically associate NG with @NG etc to pa in next build
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boosted
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Unique Systems
First time using Manager with Workers today.
I noticed something that raised a question for me regarding total Unique Systems in Manager vs Workers (4) that I saw.
Maxing out at 4 Workers today, each had its own number of Uniques Systems it created.
I waited for the 4 Workers to complete their transfer of Uniq's to Manager.
The Manager finished with 10,630 Uniq's.
The total of all 4 Workers' Uniq's came to roughly 31k vs the Managers 10k+.
Should I understand that in this case the number of final Uniq's in Manager
represents the aggregate amount of true Uniq's (10k+) vs all 4 Workers together equaling over 31k Uniq's?
Meaning there were roughly 20k Uniq's produced which were doubles+ and therefore there were really only 10k+ Uniq's as shown in Manager when finished.
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admin
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| Quote: Originally posted by boosted | Unique Systems
First time using Manager with Workers today.
I noticed something that raised a question for me regarding total Unique Systems in Manager vs Workers (4) that I saw.
Maxing out at 4 Workers today, each had its own number of Uniques Systems it created.
I waited for the 4 Workers to complete their transfer of Uniq's to Manager.
The Manager finished with 10,630 Uniq's.
The total of all 4 Workers' Uniq's came to roughly 31k vs the Managers 10k+.
Should I understand that in this case the number of final Uniq's in Manager
represents the aggregate amount of true Uniq's (10k+) vs all 4 Workers together equaling over 31k Uniq's?
Meaning there were roughly 20k Uniq's produced which were doubles+ and therefore there were really only 10k+ Uniq's as shown in Manager when finished.
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Can you look in exceptions folder under the manager and workers, and send me any zipped files. I suspect you should have more systems than this. If
they are lost due to internet dropping out, an exception message is generated. GSB retries 10 times to resend the systems to SQL server. You can also
export the csv of all workers and manager to me, so we can check if any non duplicate systems are missing.
Shown is a sneak preview of 46.02. It built systems on es,emd,rty,ym,nq in parallel. Same settings on all.
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boosted
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Hi Peter,
I checked the exception files and nothing was there. I am right now making a fresh run on a simple system to see if I get a repeat of what I saw
before with the workers Uniq's vs what Manager reported Uniq's. As I am watching them in real time it appears everything is working as it should. I
will continue to let it run for a while and see
if that changes. If so, I will check for exception files and send to you.
Wow, nice looking preliminary results on multiple market build test. Is that 46.02 Beta using the multiple time frame feature?
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admin
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| Quote: Originally posted by boosted | Hi Peter,
I checked the exception files and nothing was there. I am right now making a fresh run on a simple system to see if I get a repeat of what I saw
before with the workers Uniq's vs what Manager reported Uniq's. As I am watching them in real time it appears everything is working as it should. I
will continue to let it run for a while and see
if that changes. If so, I will check for exception files and send to you.
Wow, nice looking preliminary results on multiple market build test. Is that 46.02 Beta using the multiple time frame feature?
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Keep me informed. If systems are missing, you could tell my putting all worker systems in excel, sorting and comparing to manager.
gsb retries 10 times every 2 sec. So a longer outage will drop some systems.
Were you on a laptop? If on wifi you should go to hard wired cable.
The screen shot was multi market, not time frame. Im not sure if multi time frame or multi market will work best. Take a lot of learning for us to
figure that out.
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boosted
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No, I am using Bootcamp iMac i7 7700 4.2 with 64 RAM hardwired to router which is on backup power if power goes out.
I will keep an eye on anything odd looking with Uniq's and report back if necessary.
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boosted
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I ran into an odd issue after running Workspace and Workers for roughly 1hr.
After one hour of building strategies I stopped Manager then waited for a bit to make sure all data had stopped writing to Manager.
I then did a simple sort (any column it doesn't make a difference) and it looked as it should but after the sort I clicked into one of the column
cells and noticed whatever
number was there suddenly changed to something different.
In this example I used the Full Period Net Profit column and sorted by largest profit then clicked in the cell and the number changed. This only
happens when you sort by a positive number top to bottom. If I sort by largest Net Profit loss and click in a random cell the number does not change.
This does not happen in any Worker window only in Manager. This is an issue since it makes sorting in Manager not useable.
The pics below show an initial sort top down by profit then the second pic shows what it looks like when you start clicking on the sorted Net Profit
list. The numbers in the cells change to something totally different.
There were no exceptions in the Exception file folder in Manager or Workers.
 
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admin
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| Quote: Originally posted by boosted | I ran into an odd issue after running Workspace and Workers for roughly 1hr.
After one hour of building strategies I stopped Manager then waited for a bit to make sure all data had stopped writing to Manager.
I then did a simple sort (any column it doesn't make a difference) and it looked as it should but after the sort I clicked into one of the column
cells and noticed whatever
number was there suddenly changed to something different.
In this example I used the Full Period Net Profit column and sorted by largest profit then clicked in the cell and the number changed. This only
happens when you sort by a positive number top to bottom. If I sort by largest Net Profit loss and click in a random cell the number does not change.
This does not happen in any Worker window only in Manager. This is an issue since it makes sorting in Manager not useable.
The pics below show an initial sort top down by profit then the second pic shows what it looks like when you start clicking on the sorted Net Profit
list. The numbers in the cells change to something totally different.
There were no exceptions in the Exception file folder in Manager or Workers.
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email me your teamviewer.com details and I will have a look
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admin
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| Quote: Originally posted by boosted | I ran into an odd issue after running Workspace and Workers for roughly 1hr.
After one hour of building strategies I stopped Manager then waited for a bit to make sure all data had stopped writing to Manager.
I then did a simple sort (any column it doesn't make a difference) and it looked as it should but after the sort I clicked into one of the column
cells and noticed whatever
number was there suddenly changed to something different.
In this example I used the Full Period Net Profit column and sorted by largest profit then clicked in the cell and the number changed. This only
happens when you sort by a positive number top to bottom. If I sort by largest Net Profit loss and click in a random cell the number does not change.
This does not happen in any Worker window only in Manager. This is an issue since it makes sorting in Manager not useable.
The pics below show an initial sort top down by profit then the second pic shows what it looks like when you start clicking on the sorted Net Profit
list. The numbers in the cells change to something totally different.
There were no exceptions in the Exception file folder in Manager or Workers.
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We are working on the fix for this issue now. I hope it will be fixed on 46.03
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boosted
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Ok, great. Thanks Peter.
By the way, I just saw your prior msg to me about Teamviewer. I would of done it if I saw it and was at my
desk.
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boothy
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Hi Peter,
I've ran into a little problem, not sure how I did it or how to fix it.
I was trying to change the Price data file and some how stuffed something up, now when I click on it I get an error message.
Thanks.
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