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Carl
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I think you're right.
Here are the monthly net profit figures (GSB ngdemo strategy).
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admin
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A few comments on crude oil systems
https://blog.ungeracademy.com/2017/04/11/energy-market/?utm_...
"Crude oil responds well to many kinds of approaches, so it works well with trend following but also counter-trend and bias, so you can really develop
plenty of strategies on crude oil and get a good basket of trading system.
These two are good even for intraday breakout systems but, in any case, for trend following are very good because the lack of liquidity leads to
higher inefficiency so when the trend starts is more right to continue."
I suspect GSB is trend following (breakout maybe), so it implies we are missing out on potential systems. (esp counter trend)
For those who did Andrea Ungers course, could be good to brush up how to make a counter trend system.
This system is LONG only, but about 10 trades a month.
http://www.petronelsystems.com/pegas-1-cl/
Again this implies we are missing out on a lot of trades. GSB CL trades tend to be much higher profit per trade. Note its possible that pegaus CL has
multiple systems on one chart, but limited of one contract max.
It wont happen over night, but GSB can have new architecture added to support other trading types. Obvious places to start are stop & limit entry.
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uhrbi
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Even after almost one year of using GSB I am certainly not close to proficient as I'd like to be and some of you already are. I say that for you to
put the following in the right perspective.
I don't know what GSB sytems are in terms of category (breakout, trend following or countertrend), but from what I've seen so far is that GSB is doing
very well on markets that have a stronger tendency to revert to the mean,
that is why ES and NG systems are "easier" to build, while it is a lot harder to build systems on markets that tend to do well on breakouts like CL or
the German DAX for that matter.
When I look at the trades on a chart even the ES systems look like breakout systems so my intial statement might not be so obvious and possibly more
related to underlying GSB architecture.
I have not come up with a clear explanation and maybe I am completely wrong on my reasoning but one thing that comes to mind is the entry.
For a breakout we need a breakout to happen so buying /selling above/below a certain price can add as a confirmation while entering at market can be
either too late or is lacking the breakout confirmation.
However these are only some random thoughts from a newbie on a tendency I observed...
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admin
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Quote: Originally posted by uhrbi  | Even after almost one year of using GSB I am certainly not close to proficient as I'd like to be and some of you already are. I say that for you to
put the following in the right perspective.
I don't know what GSB sytems are in terms of category (breakout, trend following or countertrend), but from what I've seen so far is that GSB is doing
very well on markets that have a stronger tendency to revert to the mean,
that is why ES and NG systems are "easier" to build, while it is a lot harder to build systems on markets that tend to do well on breakouts like CL or
the German DAX for that matter.
When I look at the trades on a chart even the ES systems look like breakout systems so my intial statement might not be so obvious and possibly more
related to underlying GSB architecture.
I have not come up with a clear explanation and maybe I am completely wrong on my reasoning but one thing that comes to mind is the entry.
For a breakout we need a breakout to happen so buying /selling above/below a certain price can add as a confirmation while entering at market can be
either too late or is lacking the breakout confirmation.
However these are only some random thoughts from a newbie on a tendency I observed...
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Your thoughts are appreciated.
The last few days I happen to have put a lot of thought into this. I think GSB systems are trend following & maybe breakout. The architecture doesnt
have counter trend (I think). However it should be a simple matter of adding just a single (or more) specifically designed counter trend filter or
oscillator into GSB.
I dont see GSB systems reverting to the mean. Your welcome to post some screen shots - as I would find this interesting.
CL is very easy to build systems on. I did one or two videos on this.
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admin
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uhrbi, here is my proof of concept counter trend osc. Add this into gsb as a secondary or primary filter should make gsb counter trend.
I hope to have it in GSB in the next few weeks.
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Bruce
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NQ System
Thought I would share this @NQ system that I built a few months back now before Peter really started to teach us about multi-time frame validation.
I built this using a test - training period - then validation. Used only a 15 min time frame so I could capture a good quantity of test-training
trades being subjected to a set of tight filters. I'm now developing using multi-time frame, nth, verify, etc. and starting to experience a smoother
equity line. Certainly a lot more robust. Results are there includes comm and slipage. Clearly, this system is enjoying the recent volatility.
 
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uhrbi
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| Quote: |
Your thoughts are appreciated.
The last few days I happen to have put a lot of thought into this. I think GSB systems are trend following & maybe breakout. The architecture doesnt
have counter trend (I think). However it should be a simple matter of adding just a single (or more) specifically designed counter trend filter or
oscillator into GSB.
I dont see GSB systems reverting to the mean. Your welcome to post some screen shots - as I would find this interesting.
CL is very easy to build systems on. I did one or two videos on this. |
What I meant was GSB is very good on markets with a stronger mean reverting tendency, not that GSB systems are counter trend per se.
You advised us a couple of months back not to use CL systems.
If I remember correctly you had to use quite some time and processing power as well as some new GSB features developed in the process to make good
systems for CL.
So my understanding is that it wasn't very easy... and I say that with absolutely no offense because we all gained a lot from your experience,
the updated GSB functionalities and the more refined methodology for market and system validation.
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admin
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| Quote: Originally posted by uhrbi |
| Quote: |
Your thoughts are appreciated.
The last few days I happen to have put a lot of thought into this. I think GSB systems are trend following & maybe breakout. The architecture doesnt
have counter trend (I think). However it should be a simple matter of adding just a single (or more) specifically designed counter trend filter or
oscillator into GSB.
I dont see GSB systems reverting to the mean. Your welcome to post some screen shots - as I would find this interesting.
CL is very easy to build systems on. I did one or two videos on this. |
What I meant was GSB is very good on markets with a stronger mean reverting tendency, not that GSB systems are counter trend per se.
You advised us a couple of months back not to use CL systems.
If I remember correctly you had to use quite some time and processing power as well as some new GSB features developed in the process to make good
systems for CL.
So my understanding is that it wasn't very easy... and I say that with absolutely no offense because we all gained a lot from your experience,
the updated GSB functionalities and the more refined methodology for market and system validation.
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A few months back when market validation tests were first made, I was cautious and was biased to dont trade unless you have done market validation. CL
it turns out went well out of sample and passed market validation tests really well. However the last 1/2 of this year has not been so good. I see
this is market conditions, not system performance
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admin
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| Quote: Originally posted by TradingRails |
Thought I would share this @NQ system that I built a few months back now before Peter really started to teach us about multi-time frame validation.
I built this using a test - training period - then validation. Used only a 15 min time frame so I could capture a good quantity of test-training
trades being subjected to a set of tight filters. I'm now developing using multi-time frame, nth, verify, etc. and starting to experience a smoother
equity line. Certainly a lot more robust. Results are there includes comm and slipage. Clearly, this system is enjoying the recent volatility.
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Its fantastic you share your great results. Thank you. NQ seems surprisingly diversified from ES. Im still working on ES & CL, to see whats works
best. NQ will be much later after I apply what new things Im learning.
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Bruce
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So help me understand your latest process.
You're optimizing with nth set to NoTrd and using auto verify in a single step, this is to verify on the unseen 'nth' data, that is the NoTrd data.
However when you set Nth to Trd after the optimization you get all the degradation from what appears to be the unseen data as displayed on the graphs.
Isn't this (Trd) the unseen/optimized data? All you've done is switch the NoTrd for the Trd? I'm not seeing the verification happening on the unseen
Nth data.
What am I missing with this phase of the process? Thanks.
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admin
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| Quote: Originally posted by TradingRails |
So help me understand you latest process.
You're optimizing with nth set to NoTrd and then using auto verify, this is to verify on the unseen 'nth' data, that is the NoTrd data. However when
you set Nth to Trd you get all the degradation from what appears to be the unseen data as displayed on the graphs.
Isn't this (Trd) the unseen/optimized data? All you've done is switch the NoTrd for the Trd? I'm not seeing the verification happening on the unseen
Nth data.
What am I missing with this phase of the process? Thanks. |
The autoverify is on the seen data. After that I will investigate further the systems that pass the 8 out of 8 time frames im using. for verification.
Further verification has to be done manually. ie you could very the systems that passed 8/8 by changing nth from no trade to trade, or from no trade
to all.
Hope that helps.
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Bruce
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| Quote: Originally posted by admin | | Quote: Originally posted by TradingRails |
So help me understand you latest process.
You're optimizing with nth set to NoTrd and then using auto verify, this is to verify on the unseen 'nth' data, that is the NoTrd data. However when
you set Nth to Trd you get all the degradation from what appears to be the unseen data as displayed on the graphs.
Isn't this (Trd) the unseen/optimized data? All you've done is switch the NoTrd for the Trd? I'm not seeing the verification happening on the unseen
Nth data.
What am I missing with this phase of the process? Thanks. |
The autoverify is on the seen data. After that I will investigate further the systems that pass the 8 out of 8 time frames im using. for verification.
Further verification has to be done manually. ie you could very the systems that passed 8/8 by changing nth from no trade to trade, or from no trade
to all.
Hope that helps. |
Roger that! Thank you that's cleared that up. 
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avatartrader
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I had a question regarding WF and using multiple data streams and I want to be sure I am understanding this correctly.
Let's say for example I am building a system on 29,30,31 minute data and want to do WF on it:
1. If the WF Price Data is empty, then it uses the first data stream specified in the Opt. Price Data only as per the documentation (i.e. the data
specified at index 0) or will it use all of them?
2. If I specify WF Price Data, either as a single or multiple streams, it will WF using all of the specified data and output separate WF results for
each, or does it create a single result based on either the best or the result of all of them?
The reason that I am asking is that I did a system build and when I walked forward a system, I originally did not specify WF data and when I walked
forward, the graph and drop down under "Performance" shows the results for a WF on the 29 minute time frame only. In addition, when I click to display
WF on the graph, it shows the OOS and Current in addition to 29m WF, but does not indicate a timeframe that the other two lines are based on.
Next, I did specify WF data as 29,30,31 and then re-ran the WF. However, neither the graph nor the performance tab reflect any WF on the 30 or 31,
while the "Script" tab does have scripts for the WF versions on all timeframes. In looking at the script, the parameter values and other WF metrics
(stability, etc.) are the same for all time frames.
So, I wanted to be sure I am understanding how this works correctly, or perhaps there is an issue because I did not specify the WF Price Data at
system build time or before I ran the first WF?
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admin
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| 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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Im very happy with GSB on cl,ho,rb but you have to factor in market conditions. Very little systems (GSB and non GSB made $ in 2017 on ES)
A benchmark I used was
http://www.petronelsystems.com/pegas-1-cl-0/
Look at the monthly 2018 results.
Its good to compare apples to apples, and this is apples to oranges.
Petronel had a decent live track record, and compared to a gsb system it has multiple systems in the one combined together. (Judging by the
description) Its also long only - which is very valid to do for CL. However the CL market has tanked, so not favourable to CL. Petronel did make a new
long short system in July. I enclose the results too. Thats flat since release.
 
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admin
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| Quote: Originally posted by avatartrader | I had a question regarding WF and using multiple data streams and I want to be sure I am understanding this correctly.
Let's say for example I am building a system on 29,30,31 minute data and want to do WF on it:
1. If the WF Price Data is empty, then it uses the first data stream specified in the Opt. Price Data only as per the documentation (i.e. the data
specified at index 0) or will it use all of them?
2. If I specify WF Price Data, either as a single or multiple streams, it will WF using all of the specified data and output separate WF results for
each, or does it create a single result based on either the best or the result of all of them?
The reason that I am asking is that I did a system build and when I walked forward a system, I originally did not specify WF data and when I walked
forward, the graph and drop down under "Performance" shows the results for a WF on the 29 minute time frame only. In addition, when I click to display
WF on the graph, it shows the OOS and Current in addition to 29m WF, but does not indicate a timeframe that the other two lines are based on.
Next, I did specify WF data as 29,30,31 and then re-ran the WF. However, neither the graph nor the performance tab reflect any WF on the 30 or 31,
while the "Script" tab does have scripts for the WF versions on all timeframes. In looking at the script, the parameter values and other WF metrics
(stability, etc.) are the same for all time frames.
So, I wanted to be sure I am understanding how this works correctly, or perhaps there is an issue because I did not specify the WF Price Data at
system build time or before I ran the first WF? |
1) The prices in opt price data are used. (optimize price data false)
Pleae confirm its set to false. If true GSB will use only 1 of the time frames you specify. (what it considers the best one)
2) From memory it does an average of them all, but you can get the output of each data stream. ie go to the ts code and select the central bar
interval of what you used.
The scripts should be the same for all time frames as the same paramaters are used on all time frames. Thats the point of opt over mutiple time
frames. You get whats best for them all, not a specific one. I may not have answered your question as throughly as you like, but ask again if your
still stuck. On holiday till friday night so replies are shorter. Can say we did catch too many fish to count
A first for our family. Roughly 4 meals for a family of 5.
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avatartrader
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Thanks, Peter - that helps and is what I was guessing it may be doing. Enjoy the rest of your vacation and enjoy the fish! It's dark, cold and wet
where I live in the northern hemisphere, so can't say I'm not a tad jealous...
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avatartrader
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I just got done walking forward a handful of systems that I built using Nth Mode and wanted to get some feedback on my observations:
1. With Nth Mode = NoTrd, each of the generated systems has about 250-300 trades
2. With Nth Mode = All, each of the generated systems has about 500-600 trades
3. When I run the walkforward, for all of the systems that I tried (Dates = All, Nth = All), I ended up with anywhere from 275 to about 400 trades.
However, the results and metrics were still very good, often exceeding the best optimization.
4. Referencing Peter's video on WF, a significant difference in the number of trades like this is not desirable, even if the number of trades is lower
and the metrics ultimately better.
I haven't seen anything updated to address using WF with the updated methodology so I wanted to be sure that this guidance is still accurate? Or, when
I do the WF, should I be doing it on the original settings of Nth=NoTrd and then changing it to All to evaluate post-WF?
Attached is a screenshot of one that I just did as a test. I do get similar results and behavior with generated systems using different types of
entries as well.
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admin
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| Quote: Originally posted by avatartrader | I just got done walking forward a handful of systems that I built using Nth Mode and wanted to get some feedback on my observations:
1. With Nth Mode = NoTrd, each of the generated systems has about 250-300 trades
2. With Nth Mode = All, each of the generated systems has about 500-600 trades
3. When I run the walkforward, for all of the systems that I tried (Dates = All, Nth = All), I ended up with anywhere from 275 to about 400 trades.
However, the results and metrics were still very good, often exceeding the best optimization.
4. Referencing Peter's video on WF, a significant difference in the number of trades like this is not desirable, even if the number of trades is lower
and the metrics ultimately better.
I haven't seen anything updated to address using WF with the updated methodology so I wanted to be sure that this guidance is still accurate? Or, when
I do the WF, should I be doing it on the original settings of Nth=NoTrd and then changing it to All to evaluate post-WF?
Attached is a screenshot of one that I just did as a test. I do get similar results and behavior with generated systems using different types of
entries as well. |
The difference in the number of trades is not too bad. My experience shows on (it was either es or cl or both) that fitness, number of trades
increased in the last 1 or 2 years pure out of sample, and pf and at decreased. All which is fine.
Currently this is what Im doing.
Do market validation to make sure your settings / markets are on a good foundation. Leave 1.1.2017 onwards as OOS. (*out of sample)
The do verification 25,26,27,28,32,33,34,35
Either on nth no trade, then change nth to trade on those that pass verification score 8.8
or change nth to all and do verification.
Test the out of sample (2017+) and choose systems that have good metrics in sample and OOS.
At this stage you could wf anything you like the looks of. I think its ok to use systems before or after wf, as long as it has a good wf result.
Here is my logic. Market validation showed systems collectively were good OOS 2017++ so they should be ok to trade.
Doing wf with 2017++ not seen, also gave good oos.
I am still experimenting with some of these concepts.
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uhrbi
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Hello Peter,
I tried the methodology presented in your validation video 2 from
earlier this year and the last video, but I am not sure if my results
are within the range one can expect. With the settings you showed in this video
I get an initial OOS degradation of around 30% for ES which gets down to
around 16% after all the methods you've shown when I check only
systems that have a positive verification score. So my question is, if
that is within the range one can expect or am I making a mistake?
Second question is, do you start the build process all over with the
exact same setting if the degradation is "too" high?
Where does the WF-testing come into play? Do you make a WF-test after
all the other validation procedures or do you think that it is not
necessary, because robustness is tested already?
How do I make the exact same test again without having the workers
send systems from the prior test to the manager? Do I have to close
them and re-start the workers, or is there any other way?
Thank you,
Daniel
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adcardoso01
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Any thoughts/opinions on Andrea Unger courses?
Only for beginners or worth it for experienced traders also?
Overall makes sense to invest in it?
Thx!
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admin
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| Quote: Originally posted by uhrbi | Hello Peter,
I tried the methodology presented in your validation video 2 from
earlier this year and the last video, but I am not sure if my results
are within the range one can expect. With the settings you showed in this video
I get an initial OOS degradation of around 30% for ES which gets down to
around 16% after all the methods you've shown when I check only
systems that have a positive verification score. So my question is, if
that is within the range one can expect or am I making a mistake?
Second question is, do you start the build process all over with the
exact same setting if the degradation is "too" high?
Where does the WF-testing come into play? Do you make a WF-test after
all the other validation procedures or do you think that it is not
necessary, because robustness is tested already?
How do I make the exact same test again without having the workers
send systems from the prior test to the manager? Do I have to close
them and re-start the workers, or is there any other way?
Thank you,
Daniel |
Hi Daniel.
These are good questions
I think what youve done in 1 is fine. I did a lot of this sort of testing in the last month, but had a freak combination of data loss, backup faulure
and human error, and I lost my results. I want to do more work in this area.
If your degradation is too high, i dont think you want to start again with the same settings.
The jury is not out on this one, but if youve done validation say on 25 to 35 less 29 30 31 I see much less need for wf
You dont have to close the workers, and they should not resend systems from a old test to a manager again. However I like to restart a manager each
time.
There is a possible bug that will show if you dont. We are still looking into this
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admin
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| Quote: Originally posted by adcardoso01 | Any thoughts/opinions on Andrea Unger courses?
Only for beginners or worth it for experienced traders also?
Overall makes sense to invest in it?
Thx! |
Ive done one of his courses, and liked it. Another GSB user recommend it to me, so there is at least 3 of us who have done them. I like Andre and
think the courses are good. Not sure I have the patience for his methodology. You find market bias and build systems accordingly. This sort of stuff
is going to be built in GSB before too long. Bottom line is few courses are worth doing but Andre's are. He did an update to the course this month
which I bought, but the materiel wasnt yet published and Ive been too busy to look at the updated material.
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admin
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I hope in < 1 week, a new video on a alternative way to build S&P 500 system. The concept could apply to other markets.
The new features of GSB have increased faster than the knowledge of best to use them. Hope this will help
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saycem
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Looking forward to it.
Keep up the good work
Would like to get a consolidated update on how to use all new features as I have been away for a month and already feel like things have changed a
lot.
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admin
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| Quote: Originally posted by saycem | Looking forward to it.
Keep up the good work
Would like to get a consolidated update on how to use all new features as I have been away for a month and already feel like things have changed a
lot.
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I have done 3 proof of concept methods on ES.
One method seems clearly the best.
Tomorrow I hope to start again, and record the making of them.
If any one has spare CPU resources, let me know. A lot of building of systems, and im doing about 700+ wf for each test.
You will also get 50.70 build
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