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admin
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Short term progress reports on GSB features
This list isn't concrete, but is the intend short term road map forward.
1) Currently we are 80% complete the alpha build of multi time frame & data support.
This means you can build systems on 29, 30,31 minute bars and the system that works with the best parameters on all the times will have the highest
metrics.
This should lead to more robust systems.
Also you could use ES,NQ,emd,er,ym etc
or
es data1, $spx data2
emd data1, $idx data2
nq data1, $ndx data2 etc
Later we will use 1 minute input data, so you can optimize bar interval
and just select say 5,15,30,60 min bars that are derived from the 1 minute.
2) csv export of trade lists, not just Portfolio analyst format.
3) Then ability to save averages of all system metrics, to variable storageA
You can then do inverse nth, or invert dates etc, then send to variable storageB
You then get to see the ratios of A vs B. This is for market validation
refer to the youtube video on market validation.
https://www.youtube.com/watch?v=NFC7ego_Y70
4) Smarter stops, exits etc
5) Additional secondary filters.
A lot of work also going into portfolio analysts cloud. Just trialing auto upload of TS trades so results appear on your web site.
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admin
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Multi market validation beta build for GSB purchasers out Monday I hope.
It means you can build on es, $spx and validate on emd$idx, nq $ndx , ym,$dow
I have the build, but no time to test and document it.
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admin
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Out soon 1.0.45.02 / 2018-06-11:
Verification data implemented (as a right click).
Price Data implemented in Tools menu (similar to Contracts).
PerformanceSummary.VerificationScore implemented.
Trades' Export to CSV implemented.
PriceFileInfo implemented to replace PriceFileName.
PriceFileInfos implemented.
Allowed null in DB's ExceptionLog.WorkplaceId.
Minor UI fixes in Admin window, Contracts window, and performance grid.
Minor UI fixes in AdminForm.
ReformatAndRelocateOldFiles() function removed.
OptimizationSettings.ConvertPrimaryAndSecondaryDataToOptimizationData() implemented (to replace primary/secondary data with PriceFileInfos).
Multiple logic updates to the main GSB window.
OverrideOriginalData set to hidden and UpdatePriceData() function deleted.
Cant release this build till the new features are documented. The new features just to hard to use without documentation. Working on this now
Shown is a system built on es data1, with $spx data2.
It's verified on emd $idx, nq $idx, ym $comp, rty $rut etc
Other screen shot is verified on es, $spx 27,28,29,31,32 min bars
 
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admin
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Here is the docs on the verification data. GSB.exe is in beta section (GSB paid users only)
Attachment: Login to view the details
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rws
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Thank you so much for implementing this usefull feature!!
It would be good if there would be a way of operation where
you can set the additional tickers to have at least xx% profit
of the main ticker in order to have it automatically searching for robust systems.
Quote: Originally posted by admin  | Out soon 1.0.45.02 / 2018-06-11:
Verification data implemented (as a right click).
Price Data implemented in Tools menu (similar to Contracts).
PerformanceSummary.VerificationScore implemented.
Trades' Export to CSV implemented.
PriceFileInfo implemented to replace PriceFileName.
PriceFileInfos implemented.
Allowed null in DB's ExceptionLog.WorkplaceId.
Minor UI fixes in Admin window, Contracts window, and performance grid.
Minor UI fixes in AdminForm.
ReformatAndRelocateOldFiles() function removed.
OptimizationSettings.ConvertPrimaryAndSecondaryDataToOptimizationData() implemented (to replace primary/secondary data with PriceFileInfos).
Multiple logic updates to the main GSB window.
OverrideOriginalData set to hidden and UpdatePriceData() function deleted.
Cant release this build till the new features are documented. The new features just to hard to use without documentation. Working on this now
Shown is a system built on es data1, with $spx data2.
It's verified on emd $idx, nq $idx, ym $comp, rty $rut etc
Other screen shot is verified on es, $spx 27,28,29,31,32 min bars
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cotila1
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Thanks Peter, its a great job. I think the multiple market and 29,30,31 min bars verification is a great step for GSB.
once you release a consolidate build version, would be great you make a new video on this 29,30,31 min bars, and es,emd,ym,nq,rty validation.
thanks
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admin
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| Quote: Originally posted by cotila1 | Thanks Peter, its a great job. I think the multiple market and 29,30,31 min bars verification is a great step for GSB.
once you release a consolidate build version, would be great you make a new video on this 29,30,31 min bars, and es,emd,ym,nq,rty validation.
thanks |
I will do, but there is a lot of features coming in short period, so will wait till the dust settles.
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admin
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Verification score. We now have a count of the number of verification systems that pass the verifcation metrics in app settings.
This should be released in a few days
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admin
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Override original settings. If something on the left opt settings is changed, after systems are built - Then the system results will change when you
click on them.
This is wrongly perceived as a bug. To fix this highlight the system(s) and click override original settings.
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admin
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In Build 45.31
We now can do nth ratio calculations fully automated. averageAllSystems(fitness*netprofit*averatetrade*profitfactor)/{nth trade}
averageAllSystems(fitness*netprofit*averatetrade*profitfactor) {Nth dont trade}
run GSB with say nth 1.
If you run the manager (not standalone) wait till new systems top coming through. This can take some time to stop.
Select all system
Right click and change nth day mode from donotTrade to Trade.
Wait till all systems have changed. (popup in windows taskbar will tell you, or scroll through all the systems in GSB to check)
right click and do update statistics.
Ave/previous average. Note in last videos the higher above 1 the ratio is, the worse.
Not we have done the reciprocal of this number. So if our threshold of a market failure was 2, its now 0.5. 1 or above would be perfect score meaning
out of sample performance > in sample performance
This is described in detail in the market validation video https://www.youtube.com/watch?v=NFC7ego_Y70
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admin
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bug, to fix next build
System average should be (fitness*at*np*pf) not fitness+at+np+pf)
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Petzy
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| Quote: Originally posted by admin | Override original settings. If something on the left opt settings is changed, after systems are built - Then the system results will change when you
click on them.
This is wrongly perceived as a bug. To fix this highlight the system(s) and click override original settings. |
I'm not sure I understand this. This is a new behaviour as far as I can remember.
Also I can't see that Overriding the original settings will make any difference. The values still changes
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admin
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| Quote: Originally posted by Petzy | | Quote: Originally posted by admin | Override original settings. If something on the left opt settings is changed, after systems are built - Then the system results will change when you
click on them.
This is wrongly perceived as a bug. To fix this highlight the system(s) and click override original settings. |
I'm not sure I understand this. This is a new behaviour as far as I can remember.
Also I can't see that Overriding the original settings will make any difference. The values still changes |
It might change but thats the settings the system was calculated on. My assumption is settings changed after system building began. I havnt yet seen
this issue with the new build, so happy to look via teamviewer when it happens.
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rws
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Good progress
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admin
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Update to documentation for new features of the last week or two.
Attachment: Login to view the details
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admin
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GSB 46.13 should be out later this week. It is very significant in improvements in out of sample results.
If we leave every 2nd day out of sample on ES.30 minutes bars, my tests show a 25% drop in out of sample results.
All systems no matter how bad are included in these results.
Ive got that down to 5.4% drop in out of sample results (best case) compared to in sample.
However my favorite method - that gave the highest fitness (Net profit* average trade) gave 9.4 % drop in out of sample results
but average net profit of $38900 compared to $28,300 out of sample of 30 min bars.
This is research you can objectively test your self, with minutes of human time, and an hour or so CPU time per market.
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admin
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Hoping to upload in a few hours, but have a problem with last part of the video....
Here is a video on some of the features of GSB 47.03
It shows a comparison of a system built on ES, but verified on Dow, Nasdaq, Russell, MidCap S&P400.
It also shows the much faster method to see how much a large group ES30 min system degrades, and then the same test repeated with ES29,30,31 min bars.
Video uploaded but not finished. Hope to have done in the next day or so
video obsolete, see MarketValidation_video2_rev2o.2.mp4 below
Attachment: Login to view the details
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admin
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I started the video from scratch again. One of the many smart GSB users comment that the point value needed for closeD-close offset varies massively
for the dow compared to ES, EMD etc, and this might be why so many systems didn't pass on multi market validation. Turns out this was strongly the
case. However I got a surprise in results with CloseD(1) /Close compared to closeD(1)-close. The next video shows this.
Video not complete, and about 12 minutes long.
GSB 47.07 is being tested now by some experienced GSB users. It has the features shown in this video.
video obsolete, see https://youtu.be/2R4t9uYzfD4
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admin
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Finished video
It is critical to have good out of sample results, to make money in trading.
Today we are going to have solid evidence showing how much better building systems with multiple time frames is with the same parameter values, and
multiple indices with the same parameter values. This data is no derived from the results of one system, but of thousands of systems.
We also cover better alternatives to leaving certain dates for out of sample testing.
The implications to this are far reaching. You can tell what time frame, secondary data source is going to work best on all systems, not just the one
you try it on.
Sound logic on 1000's of systems leads to sound logic on one system. Font reverse this concept!
Video now on youtube
https://youtu.be/2R4t9uYzfD4
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alvestjo
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About using closeD(1)-close as a filter. Does this make sense at all if you are using many years of data since the market has traded at very different
levels 5-10 years ago. I find it very strange you get better results with this filter. Any ideas why?
Jonas
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admin
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| Quote: Originally posted by alvestjo | About using closeD(1)-close as a filter. Does this make sense at all if you are using many years of data since the market has traded at very different
levels 5-10 years ago. I find it very strange you get better results with this filter. Any ideas why?
Jonas |
I'm not sure why and in once sense I dont care why. I just want the to know what works best, and what doesn't. The first thing I would do is graph
range in points of the Dailyclose absvalue(closed(1)-closed(0)) over the years to see the results
One comment is there are some other markets that closeD(1)/close is going to
work better than closeD(1)/close but i have forgotton what ones. I found this by accident. I think for the indices Closed(1)- is best
Run this code on daily bars.
you cloud change
hl = Averagefc(h-l, ATRLength ) ;
to
Averagefc(absvalue(close/open)*100, ATRLength )
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admin
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Coming soon is GUI tweaks, better formatting of the market metrics, and ability to turn of and on sections of the gui you dont need.
I got market degradation down to -1.2%! today on ES.
I will write about in tomorrow in the private form for GSB purchasers
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admin
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The market validation video is now on youtube. Only a few tweaks since the post of MarketValidation_video2_rev2o.2.mp4
Here it is on youtube. https://youtu.be/2R4t9uYzfD4
Crude oil so far out of sample compared to in sample is degradation -35.2%
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admin
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In build 47.41 we can now build systes on say 29,30,31 min bars. Then test the out of sample nth (every second day)
to see the degradation out of sample on 29,30,31 and the individual time frames too.
In the big picture is means we build systems on say 29,30,31 min bars, same parameters for all time frames, but just trade the 30 minute bars. This
build will be out soon to in the beta section for paid GSB users, and in a about a week for trial users.
   
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admin
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For market validation, in build 47.41 we now have long short stats for all time intervals / markets traded.
Useful to tell if a market has a strong long or short bias.
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