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cyrus68
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The explanation is useful, but questions remain regarding the use of the secondary filter. It is critical to get it right because of the out-sized
impact of the secondary filter on results. I'm still not sure of the correct setup for using the secondary filter.
First case. Data1=futures and data2=futures, where the data2 futures may have very different point values, relative to data1 and each other. For
example, data1=ES, data2=EC data3=HG. How are we supposed to set this up for closedBpv?
Second case. Data1=stocks and data2=futures, where the data2 futures may have very different point values, relative to data1 and each other. For
example, data1=AAPL, data2=SF data3=NQ. How are we supposed to set this up in the secondary filter?
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admin
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Quote: Originally posted by cyrus68  | The explanation is useful, but questions remain regarding the use of the secondary filter. It is critical to get it right because of the out-sized
impact of the secondary filter on results. I'm still not sure of the correct setup for using the secondary filter.
First case. Data1=futures and data2=futures, where the data2 futures may have very different point values, relative to data1 and each other. For
example, data1=ES, data2=EC data3=HG. How are we supposed to set this up for closedBpv?
Second case. Data1=stocks and data2=futures, where the data2 futures may have very different point values, relative to data1 and each other. For
example, data1=AAPL, data2=SF data3=NQ. How are we supposed to set this up in the secondary filter?
It doesnt matter if you get this wrong, as its not critical and just means your not at top efficiency. Ideally you want the data1 and data2 to have
similar values relative to their movement and volatility range.
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cyrus68
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"Ideally you want the data1 and data2 to have similar values relative to their movement and volatility range."
I thought that this issue is addressed in GSB by normalising the data streams.
The problem that I'm focusing on, is the treatment of point values in the secondary filter. If the difference in point values between ES and SPX is a
problem, then the difference in point values between AAPL and SF is an even bigger problem. You are saying that it's just too bad and we should
ignore it.
Another thing that I noticed in version 48.28 is that the secondary filters are now only available under the indicators menu. Presumably this means
that only normalised filters are now available, though this is not entirely clear.
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admin
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" If the difference in point values between ES and SPX is a problem". No its not a problem, its just an area than can and has been improved on a bit.
Im not saying its too bad - im saying its not very important and that you can ignore it. There are much more critical issues, which I will put in the
forum soon.
None of thep point values is an issue when things are normalized, but at times Secondary filter works best not normalized.
Im not aware of any changes in 49.28 with SF. They have been in that format for a long time. What did change is secondary filter has non normalized
BPV and c/closed(1) added.
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Petzy
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Please make a post where everything is explained regarding the new point value, secondary filter and changes in parameters
The new changes in GSB regarding the point value, secondary filter and the change in parameter is getting way to complicated for me. I am completely
lost now. There are some scattered explanations in the forum but it is hard for me to understand how it all ties together.
It would be very appreciated if there was one post or one document with a step-by-step instruction explaining how to setup GSB.
At the moment I don’t really know how to use GSB. The results in GSB is no longer the same as in TradeStation.
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admin
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| Quote: Originally posted by Petzy | The new changes in GSB regarding the point value, secondary filter and the change in parameter is getting way to complicated for me. I am completely
lost now. There are some scattered explanations in the forum but it is hard for me to understand how it all ties together.
It would be very appreciated if there was one post or one document with a step-by-step instruction explaining how to setup GSB.
At the moment I don’t really know how to use GSB. The results in GSB is no longer the same as in TradeStation.
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IF gsb<>ts , send me team viewer details. There is nothing in new builds to cause this that Im aware of. Docs are getting there, but got some time to
go. The help file is updated regularly. The new BPV closeD is not critical to use, but slightly better in some circumstances.
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cyrus68
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I agree with Petzy. GSB is looking increasingly complicated, introducing new mysteries that I can't fathom - let alone the issue of new bugs.
The whole issue of using WF in the context of multiple datasets. What is being walkforwarded and what parameters are being used?
How to view the results on the graph, replete with lots of other lines.
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admin
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| Quote: Originally posted by cyrus68 | I agree with Petzy. GSB is looking increasingly complicated, introducing new mysteries that I can't fathom - let alone the issue of new bugs.
The whole issue of using WF in the context of multiple datasets. What is being walkforwarded and what parameters are being used?
How to view the results on the graph, replete with lots of other lines. |
Well docs are still a work in progress, and we are all learning the best ways to use GSB. GSB advances at such a rapid rate docs lags. Other products
have current docs, but little product development. I would rather have product development.
I would rephrase that to say GSB is increasing powerful rather than complex. There are more features you dont need to use, but are better off
learning. You are in the beta forum so expect bugs and delay docs.. Otherwise stick to the release builds. Most new versions have bug fixes, thought
they are not always reported.
You just need be patient as there is only so much that can be done on a week by the GSB support staff.
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cyrus68
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So, to confirm, are you saying that if the normalised versions of the secondary filter are used, then differences in point values do not matter?
Here's one of the mysteries. Previously, we were told that the secondary filters in the GUI drop-down list were non-normalised and those in the
indicator list were normalised. Well, in version 28 the choices in the GUI are Disabled, Enabled and Walkforward only. I still haven't figured out
what the last one does.
So, where are the non-normalised SFs? Are the ones in the indicator list still normalised?
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admin
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| Quote: Originally posted by cyrus68 | So, to confirm, are you saying that if the normalised versions of the secondary filter are used, then differences in point values do not matter?
Here's one of the mysteries. Previously, we were told that the secondary filters in the GUI drop-down list were non-normalised and those in the
indicator list were normalised. Well, in version 28 the choices in the GUI are Disabled, Enabled and Walkforward only. I still haven't figured out
what the last one does.
So, where are the non-normalised SFs? Are the ones in the indicator list still normalised? |
MY REPLY IN CAPS
So, to confirm, are you saying that if the normalised versions of the secondary filter are used, then differences in point values do not matter?
CORRECT
I BELIEVE EVERYTHING IN GA IS NORMALIZED.
WF SF WOULD BE BUILD SYSTEM WITH NO SF, BUT WHEN YOU WF THE SYSTESM ADD IT IN. I DONT KNOW NAYONE WHO HAS DONE THIS.
NON NORMALIZED ARE HERE. ITS POSSBILE IF YOUR NOT IN GSB ADMIN MODE THAT BPV IS OGNE IN .28 VERSION. ITS BACK IN .30 VERSION
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cyrus68
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Here's what I see.
I don't see the value in building a system with no SF and then then add it in when running WF.
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admin
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"I don't see the value in building a system with no SF and then then add it in when running WF." Well thats fine, Ive never done it but i could be
done
here is .31. Has a fix for oyur wf issue and the sf bpv should be back. I have not tested this build at all. Time for
me to stop for the day.
this build will not talk to any other versions
Attachment: Login to view the details
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Carl
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| Quote: Originally posted by Petzy | The new changes in GSB regarding the point value, secondary filter and the change in parameter is getting way to complicated for me. I am completely
lost now. There are some scattered explanations in the forum but it is hard for me to understand how it all ties together.
It would be very appreciated if there was one post or one document with a step-by-step instruction explaining how to setup GSB.
At the moment I don’t really know how to use GSB. The results in GSB is no longer the same as in TradeStation.
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Hope to clarify the closelessprevclosedBPV enigma...
BPV = bigpointvalue = futures contract size.
Suppose you are using closelessprevclosed as the secondary filter (non-normalized).
And suppose you are testing on ES. You likely get the best results if closelessprevclosed is somewhere between 14 to 20. This means a 14 to 20 points
price change calculated from yesterday’s close.
If you verify this strategy on YM, the results will be horrible. Because you are using a price change of say 16 points on YM. This doesn’t work. On YM
you need a closelessprevclosed in the range of 150-200 points.
So 16 points on ES corresponds to 16*50 = 800 USD price change
And 160 points on YM corresponds to 160*5 = 800 USD price change
The 800 USD is the closelessprevclosedBPV and can be used on YM and on ES. So the closelessprevclosedBPV (in USD) is the more generic or universal
version of the closelessprevclosed (in points).
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admin
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Well described Carl. Wonder who thought of such a good idea 
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cyrus68
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Carl has decidedly good language and explanation skills. The example that is utilised, considers parameter settings when YM is used for verification
purposes.
I’m still unclear on settings and contract listing specs when we have no interest in verifying on other contracts but wish to include them as
secondary data. In Carl’s example, let’s have data1=ES data2=SPX data3=YM and data4=EC.
According to Peter’s previous explanations, if we use normalised versions of close-close, close/close and closeBpv, then there is no need to change
the contract information for the secondary data or worry about SF parameter settings.
However, he has also stated that when GSB is considering the various data-streams for inclusion/exclusion during system building, it would find it
difficult to handle the difference in point value between ES and SPX. So, a new SPX contract must be created, with point values equivalent to ES.
In the normalised versions of the secondary filter, do we need to define a special contract for SPX? And what do we do about YM and EC? Point values,
parameter settings? And for the non-normalised versions?
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admin
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| Quote: Originally posted by cyrus68 | Carl has decidedly good language and explanation skills. The example that is utilised, considers parameter settings when YM is used for verification
purposes.
I’m still unclear on settings and contract listing specs when we have no interest in verifying on other contracts but wish to include them as
secondary data. In Carl’s example, let’s have data1=ES data2=SPX data3=YM and data4=EC.
According to Peter’s previous explanations, if we use normalised versions of close-close, close/close and closeBpv, then there is no need to change
the contract information for the secondary data or worry about SF parameter settings.
However, he has also stated that when GSB is considering the various data-streams for inclusion/exclusion during system building, it would find it
difficult to handle the difference in point value between ES and SPX. So, a new SPX contract must be created, with point values equivalent to ES.
In the normalised versions of the secondary filter, do we need to define a special contract for SPX? And what do we do about YM and EC? Point values,
parameter settings? And for the non-normalised versions?
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anything normalized, point value doesnt matter.
As for non normalized this has been discussed already to the max extent it needs to be.
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admin
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GSB 49.35 Oct 15 2018
Additional debug mode if TS <>GSB
A few issues that cause TS<>GSB.
Some issues were holidays, (short session time) stops price out by a tick, TS not handling numbers very close to zero.
timed minutes exit in TS <> GSB
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admin
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In the pipeline, 49.40
option of timed exits after x bars, rather than x minutes
We not have internal gmail support to send email once jobs completed.
a few bug fixes.
Im hoping for market degradation figure on each system.
ie we make systems on 29,30,31 min bars, and validation on 20,40 25,25. The system degrades x% between the two sets of bars.
Then we can the individual systems by degradation.
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waldocktrades
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Will the "x-bars" exit be optimizable or, pre-set in the GUI?
I've been working on an indicator that tracks a market's day by the time period in a manner similar to seasonality. It looks like it will be a useful
tool in predicting average point differentials from time "a" to time "b."
Thanks for all of the support, thus far.
Andy
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admin
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| Quote: Originally posted by waldocktrades | Will the "x-bars" exit be optimizable or, pre-set in the GUI?
I've been working on an indicator that tracks a market's day by the time period in a manner similar to seasonality. It looks like it will be a useful
tool in predicting average point differentials from time "a" to time "b."
Thanks for all of the support, thus far.
Andy |
In the next build it will be fixed.
What your trying to do is very good, and we should add into GSB.
Im just trying to think this through.
1) genetically build systems and optimize times of the day. //to prone to curve fit.
2) build 1000's of systems and look at the spread of times used, then build systems with the chosen times as fixed variables.
Andrea Unger is big into market bias's, so your in good company.
Im open to more ideas how this might work.
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boothy
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Something I heard on a podcast the other day might be useful with x-bars exit and also with general system validation is E-Ratio
http://bettersystemtrader.com/079-strategy-validation-dave-b...
https://www.buildalpha.com/eratio/
linked is the podcast and an article on how to use and calculate it.
Thoughts??
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admin
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So what we would do is have eratio for each system, and then do nth stats on the good eratio and compare with the bad eratio? THat would show if the
concept works or not. Im open to other ideas?
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boothy
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| Quote: Originally posted by admin |
So what we would do is have eratio for each system, and then do nth stats on the good eratio and compare with the bad eratio? THat would show if the
concept works or not. Im open to other ideas? |
Yes that would be an interesting test.
could also be used for looking at exits, as the article states,
(Additionally, if E-Ratio falls off a cliff at bar 6… then it probably does not make sense to hold for 15 bars!)
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admin
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| Quote: Originally posted by boothy | | Quote: Originally posted by admin |
So what we would do is have eratio for each system, and then do nth stats on the good eratio and compare with the bad eratio? THat would show if the
concept works or not. Im open to other ideas? |
Yes that would be an interesting test.
could also be used for looking at exits, as the article states,
(Additionally, if E-Ratio falls off a cliff at bar 6… then it probably does not make sense to hold for 15 bars!)
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Personally I think that exit time is going to be really simple. It wont be linked so much as to exit after x bars, but exit at a certain time. (Day
trading)
Swing trading could be a different matter.
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waldocktrades
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Right now, I've got it set to look ahead two days ahead and as far back as I'd like. I average the bar by bar net change by timeframe and lookback in
the same subgraph to provide an expected shape to the day's trading. This creates a forward-looking indicator based on intraday market behavior.
I think it could be very interesting to see what GSB could do with it.
If you're interested, I can email you more.
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