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admin
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Hi RWS,
have you changed contract point value or something? Its way too high. You should also be on build 26.1 That way you can export the system to me to
check.
The pl per trade in the trade list is still not done in 26.1, but it should be in the next 1 or 2 builds.
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rws
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The reason was regional setting which should be US setting instead
of European.
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admin
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Hi RWS,
Im happy to try and fix the problem, but will need screen shots of your regional settings so I can duplicate the problem. Great you found a work
around. Carl is in NL and not had these issues.
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Carl
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I am in the Netherlands, but used US regional settings on my PC's.
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Armmar
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hmm not sure if this is a bug or me not setting things up right.
I have data from 2004 till 2015 on my primary instrument and all secondary instruments. However, all systems that are being generated are showing
trades from 2008 till the end of 2013.
I'm on build beta 26.4
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rws
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I have seen this also when running DAX
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rws
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I also would like to have this point 4
Being able to export the list of trading system for analysis in
an external program like excel or other.
Was this removed and not added again?
Thanks
Quote: Originally posted by admin  | Hi Carl.
You point 1). Good idea. On the todo list.
2) We need all the metrics (or at least the main ones) for OOS and IS curve. Agreed
3) This is complex. We could do the ratio of fitness of orginal to OOS and IS. Why its complex is PF and Average trade might go up lots, and netprofit
down. So there is too many things to compare.
I'm open to ideas on this.
4) Im not clear on this. Can you do some screen shot(s)
5) Currently the parameter tab = the original system tab, though some people will find this hard to see. I think the parameter tab isnt needed.
Whats much too complex is the walkforward tab summary. I'm not going to document this as it will be explained in GSB in the next month or less.
In short this is the parameters and indicators in machine (GSB) readable format), not human format.
If you don' understand it, dont worry. Even I dont, though I have a good idea. ie 13 in the list I think represents fastK.
This needs to be explain in GSB as time permits.
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Carl
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Seems possible again. Click on the left upper corner of the table. Crtl+c. Excel. Ctrl+v
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admin
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HI Armmar
Best you export me the system with the data files so I can observe this.
Was there any trades pre 2008? Its possible the closeminusCLoseD has filtered out years where volatility is low.
You could change the secondary filter to Genetic to see if the same issue occurs.
Regarding export of systems.
Export to portfolio Analyst is being worked on, but not sure how far away it is.
For now just do as Carl said, crlr c, ctrlv
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Armmar
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| Quote: Originally posted by admin | HI Armmar
Best you export me the system with the data files so I can observe this.
Was there any trades pre 2008? Its possible the closeminusCLoseD has filtered out years where volatility is low.
You could change the secondary filter to Genetic to see if the same issue occurs.
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Email sent. I was using the closed filter; however, removing the filter didn't eliminate the discrepancy.
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Gregorian
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Volume in MC data
Is volume a field you use in GSB? If so, how are we to format data from MC to include volume? In TS, volume may be in the data by default, but that's
not the case in MC. We have to choose the option to "Export all available fields", but if we do that now, GSB does not recognize the format of the
import file.
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admin
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Volume is used in GSB. I think its up volume added to down volume. Send me the file you want to use from MC, and I will get if fixed.
I think only accumdist function used volume from memory.
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Carl
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Hi Peter,
GSB managed to build a good strategy on BP.
1.
I noticed the IS results in the red oval differ from the IS results in the green oval. Is this because of the fitness commission? And if so, is this
on purpose?
2. When I use the Tradestation script from GSB in TS, the results are much worse in TS. How can I best examine the cause of the difference?
Thanks
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admin
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1) My results match 100% in the green. Are you sure your on the correct system? The resolution of the screen shot is very low. I cant verify this as
the full system details
arnt seen. Its just averagefc(close....
2) The next build of GSB has had a lot of work to diagnose this issue of GSB <> TS. Im hoping its not far away.
For now you either need to put diag mode on, pick a date of your choice, and check the ts print log results = results in GSB ts code.
Great you found some success with BP. Im interested to see how that market goes.
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admin
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All or most of the issues why TS <> GSB at times have been identified.
Issues with gsb_zerosafe is ts not always the same as GSB, when multiple data streams are used, sometimes there are duplicates of the same date and
time,
and an issue with the TS debug script.
Should all be fixed in the next build.
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Armmar
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Training data from end
I feel like I saw this somewhere (maybe in an earlier build / in the docs?) but can't find it right now ... is there a way to set the training data to
be at x% of the data from the end of the data segment rather than in the beginning?
Also, as a suggestion, it would be cool to have randomly selected training segments. For example: Suppose your training data is across 5 years of
data. Instead of 5 contiguous years, run the training across 20 randomly selected 3-month segments of the data (basically when testing a particular
setting / ruleset, run it against the whole data set but only look at the trade results originating from those 20 randomly selected quarters). This
way you are more likely to include various market regimes within your training set and your test sets.
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admin
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test at beginning set to true / false. More later...
Under optimization on the gui left side
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Armmar
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hmm ... can't seem to find it. On build 26.4. http://i.imgur.com/waHDShe.png
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admin
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Go to tools, app settings, gui, advanced mode TRUE.
You have got test at beginning as a second option. There is small merit in using this as it does shift where OOS is. I've never used it myself.
WF improvements could take a few months of programing time and it will get very innovative as GSB matures.
I think there is merit in your idea. There are however more important WF improvements needed. ie multi pass wf. Coarse settings, then fine settings.
Auto detect the best fitness.
As for your idea. Normally we have 10 periods of data to WF. (not 20)
If we did your approach, would it make sense to have GSB pick say 10 chunks of data, but randomize the order of the 10 chunks, and then plot x times
the
x equity curves on the same chart? This get problematic if we are not day trading, and the gaps between the data splices are going to screw the
indicators.
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Armmar
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Ahh that's where it was! Thanks
fwiw, I'd suggest against auto-detection of the best fitness function ... that is yet another optimization we'd be layering on top which presents one
more opportunity for fitting too tightly to the data. Maybe its good to give the user options if they want to use it, but from my own experience,
optimizing fitness functions doesn't lead to better results after the WF.
| Quote: Originally posted by admin |
As for your idea. Normally we have 10 periods of data to WF. (not 20)
If we did your approach, would it make sense to have GSB pick say 10 chunks of data, but randomize the order of the 10 chunks, and then plot x times
the
x equity curves on the same chart? This get problematic if we are not day trading, and the gaps between the data splices are going to screw the
indicators. |
I don't think applying the idea I suggested to the walk-forward OOS segments adds much value. I'd have to think about this more tbh ... I haven't
tried applying this to the OOS segments of a WF before. I was suggesting it more in the context of the training data. Instead of training on one
contiguous block of data, I was suggesting training on multiple randomly chosen blocks of data. Under this scenario, the actual indicator values are
calculated using all data (not just the randomly chosen training data blocks), but only trades taken during those randomly selected blocks and
considered when evluating the training data performance.
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admin
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Ive found that a system tend often to gravitate to one fitness, but what it is varies. The final results however is often the same regardless of the
fitness.
It will be an option, not something users must use. If we get solid parameter stability very early with one fitness - then thats what I want to use.
Yes you can argue that its another form of curve fitting, but its still valid and worth doing. Im going to think on your wf ideas when we get to
improve the current wf.
That's a month or two away is my guess. TS<> GSB, universal data importers and a surprise big feature should be in the next 2 major builds.
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Gregorian
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Mysterious halts
I usually set Restarts to 300 so that GSB will run overnight generating strategies. More often than not, over the past several releases, GSB will
mysteriously stop, anywhere from 10 seconds in to many hours in, with anywhere from no to 44 of the 300 runs done. No errors displayed; it just stops
running, per the Status display. Might this be something I have configured wrong? Not enough RAM? I have 16 GB, but MC chews up a lot of that, so I
recently ordered another 16 GB.
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admin
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16 gb could be tight with all the other stuff in the os. I have 32 on my main machine and it struggles to run 2 GSB for very long periods. It does
have a lot of other apps though. Much nicer being on 64 gb so you can run lots of copies with no ram concerns.
Very good move to get more ram. Whats your population set to, and are you on 30 minute bars etc.
When task manager shows ram is 70%+ full, I can get issues. Best you send me a screen shot if your front gui and I will try to duplicate the setup..
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admin
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| Quote: Originally posted by Gregorian | | I usually set Restarts to 300 so that GSB will run overnight generating strategies. More often than not, over the past several releases, GSB will
mysteriously stop, anywhere from 10 seconds in to many hours in, with anywhere from no to 44 of the 300 runs done. No errors displayed; it just stops
running, per the Status display. Might this be something I have configured wrong? Not enough RAM? I have 16 GB, but MC chews up a lot of that, so I
recently ordered another 16 GB. |
I have run GSB for > 24 hours, and no sign of this.
Most likely you are too low on ram
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admin
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I have spent the day on the TS <>GSB issue. I'm now seeing that TS is giving us issues.
In the normalization ts function "GSB" eld
Highest & highestffc & lowest are at times giving the wrong results.
Ive made a function using maxlist and minlist that is perfect.
However when I put these functions into the ts gsb function, they don't work.
Basically HighestMaxlist(price,x ) returns price, not highest(price,x)
If I remove the gsb function and put all the code into the gsb trading system, it works. (ie no functions)
Anyone experts in EL got any ideas?
Inputs:
snPrice(NumericSeries),
iiLength(NumericSimple);
Variables:
hst(0);
hst=snprice;
For Value3 = 1 To iiLength-1 Begin
hst=maxlist(hst,snprice[value3]);
End;
gsb_HighestFFCMaxlist = hst;
  
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