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admin
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Quote: Originally posted by edgetrader  | Thanks for the interest and comments on this idea. With Kase bars in TS, you can set them to a target range of 2 points and have them built from 1
minute data. The only issue I found in my testing is that TS peeks one bar into the future to construct the bars. For example, your current bar has a
range of 1.75. The next minute bar that comes in has a range of 2.50. TS uses future knowledge to complete the current bar at 1.75 and build the next
bar with 2.50.
The correct thing to do is leave the current bar open at 1.75 and wait for the next minute to complete, then make a bar with 4.25 range. The
occasionally larger bars like this one with 4.25 range are what you have to accept when correctly building advanced bars out of 1min data. The big
advantage will be that most GSB users have access to up to 20 years of 1min data and systems can be live traded with MC custom resolutions.
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Im not clear on this. If ts peaks into the future its useless. Even if GSB fixes this issue, we cant trade it in TS. If not wrong in my comment,
please help me understand this better.
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edgetrader
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Yes that's right, you can't trade it in TS unless you do a massive workaround that involves recreating the custom bars on user controlled arrays and
recoding all indicators to work on these arrays.
So the idea is to have it in GSB and let the users try it. If they find it worthwhile and want to trade custom bar strategies, they can do it on MC or
another platform that allows to program the bar formation, such as NinjaTrader.
I'm not thrilled about TS10 and believe MC .Net (for various reasons) is the future anyway. So what I suggest is that GSB provides MC custom
resolution plugins to match GSB's custom bars. We can then live trade the strategies on MC .Net and EL edition.
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admin
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| Quote: Originally posted by edgetrader | Yes that's right, you can't trade it in TS unless you do a massive workaround that involves recreating the custom bars on user controlled arrays and
recoding all indicators to work on these arrays.
So the idea is to have it in GSB and let the users try it. If they find it worthwhile and want to trade custom bar strategies, they can do it on MC or
another platform that allows to program the bar formation, such as NinjaTrader.
I'm not thrilled about TS10 and believe MC .Net (for various reasons) is the future anyway. So what I suggest is that GSB provides MC custom
resolution plugins to match GSB's custom bars. We can then live trade the strategies on MC .Net and EL edition. |
There is merit to what you sugest,but its likely to come later in GSB development. There is much more GSB user demand for secondary filters and other
exit types. Ninja trader likely the next platform we will work on, so that might be a better timing. Whats the big plus in mc .net? Im avoiding ts10
for as long as possible, and there are no features I need that arnt in ts9.5
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edgetrader
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The paradigm is different as it's object oriented unlike usual EL, giving you more flexibility to solve complex tasks. C# is a great and standard
programming lauguage. You can use Visual Studio and a real debugger. You can interact from MC .Net with a standalone .Net program (GSB?) and trigger
actions in both directions.
Yes you're doing well with TS9.5, in combination with custom programming you had done, like IB Link. Some of these features are supported by MC .Net,
including:
- a strategy can trade simultaneously with more than one broker and on more than one instrument
- sending unmanaged orders and have your own order management system
- access to the status of orders, positions, accounts, logs from the .Net script
Also you have better data access and don't have to go through adding data2, adding data3 etc. The features include:
- indicators/strategies can programmatically access data for symbols that aren't charted
- access to the list of symbols in the database
- ability to use third-party databases (SQL Server, Mongo DB)
When TS cuts off 9.5, I think moving to MC .Net will be better long term vs. TS10.
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jptann
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The only reason I like MC.Net is that you can own it and have a number of life time licenses. Same with MC. I am phasing out my use of TS since I
don't like their brokerage operation. Before I go, I'm downloading long histories in 1M time frames so as to use this in MC to build real time
charts. MC makes this very easy and when you have a contract month change, you just have to use their custom instrument feature. It is pretty easy
but have not tried it for real yet. I will have to wait till next month when I move from Sep to Dec for the ES contract.
I am teaching myself MC.Net now but that is just for fun. Needed to learn C# anyway. I'm retired and just finished with VBE so neet to keep my mind
working. I am assuming once the GSB will be ready for Ninja, with some easy modifications it can move to MC.net, but that is just an assumption on my
side with no background.
If not, I can always go to Ninja but really like the support I have been getting from MC over the years. I was an early user of their platform and
did trade large sizes of ES 200 to 400 per trade, not limit, and only experienced 1/2 tick slippage on average. Of course that only works with ES and
TY. the other instruments you have to use limit trades but I don't want to add another risk into my day trading and walk forward analysis that can
skew the results, so market trades is it for me.
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tmlong18
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It would be great to add matrix optimization for EWFO.
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admin
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Can you explain? You mean the table of results of runs vs periods etc than can out in the last build of TS wfo.exe years ago.
I dont see the need for it as if you have hit parameter stability, there it will make no difference.
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tmlong18
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| Quote: Originally posted by admin |
Can you explain? You mean the table of results of runs vs periods etc than can out in the last build of TS wfo.exe years ago.
I dont see the need for it as if you have hit parameter stability, there it will make no difference. |
I mean the matrix table of different fitness criteria weight.
Sometimes it get a great result with NP(1)+ Avg Trade(1) but mess up with NP(1)+ Avg Trade(2) / NP(2)+ Avg Trade(1).
A matrix table may easily evaluate the stability.
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admin
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| Quote: Originally posted by tmlong18 | | Quote: Originally posted by admin |
Can you explain? You mean the table of results of runs vs periods etc than can out in the last build of TS wfo.exe years ago.
I dont see the need for it as if you have hit parameter stability, there it will make no difference. |
I mean the matrix table of different fitness criteria weight.
Sometimes it get a great result with NP(1)+ Avg Trade(1) but mess up with NP(1)+ Avg Trade(2) / NP(2)+ Avg Trade(1).
A matrix table may easily evaluate the stability. |
Have you seen this? Its fully programmable as to what fitness's you load.
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engtraderfx
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Couple of suggestions..
Take Profit / Stop optimising - following the guide to optimise using no stop loss / TP, would it be useful to run a chosen system after setting SL /
TP & also rerun an optimisation & WF for SL / TP while in GSB ?
Long / short chart - might be useful to give option to trend long vs short?
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admin
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| Quote: Originally posted by engtraderfx | Couple of suggestions..
Take Profit / Stop optimising - following the guide to optimise using no stop loss / TP, would it be useful to run a chosen system after setting SL /
TP & also rerun an optimisation & WF for SL / TP while in GSB ?
Long / short chart - might be useful to give option to trend long vs short? |
You mean have stop / pt values genetically modified and adjust in WF?
You mean performance graphs have a optional line for long, short and both?
We have performance metrics for long short and both already
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engtraderfx
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You mean have stop / pt values genetically modified and adjust in WF? [At a basic level, just wondering if can enter TP / SL values in parameters
after selecting a system & rerun in GSB, & then yes, run an optimisation or WF to determine appropriate values. Would be useful to use GSB than have
to rereun in TS / MC].
You mean performance graphs have a optional line for long, short and both? [Yes just show a equity curve of short vs long as quick way to see
comparison]
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admin
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| Quote: Originally posted by engtraderfx | You mean have stop / pt values genetically modified and adjust in WF? [At a basic level, just wondering if can enter TP / SL values in parameters
after selecting a system & rerun in GSB, & then yes, run an optimisation or WF to determine appropriate values. Would be useful to use GSB than have
to rereun in TS / MC].
You mean performance graphs have a optional line for long, short and both? [Yes just show a equity curve of short vs long as quick way to see
comparison]
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I will ask programmer about this.
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zdenekt
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I wish the fitness function "Avg win / Avg loss ratio". Is it possible?
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admin
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That can be done, look out of it in a beta build coming up. Not sure when but its not a big task.
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admin
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Its in build 50.54. Not released yet
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adcardoso01
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Peter, I got a beginners question:
As per Carl post, the development process is as follows:
1. run GSB
2. select good looking strat in GSB and perform WF in GSB
3. export code to TS
4. WF opt in TS
5. WF analysis in EWFO
Does that mean that the EWFO has much more capabilities than the Built in WF in GSB? In summary, when buying GSB one should also consider buying EWFO
in addition or when buying GSB you get all the functionalities of EWFO?
Thx!
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admin
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| Quote: Originally posted by adcardoso01 | Peter, I got a beginners question:
As per Carl post, the development process is as follows:
1. run GSB
2. select good looking strat in GSB and perform WF in GSB
3. export code to TS
4. WF opt in TS
5. WF analysis in EWFO
Does that mean that the EWFO has much more capabilities than the Built in WF in GSB? In summary, when buying GSB one should also consider buying EWFO
in addition or when buying GSB you get all the functionalities of EWFO?
Thx! |
Very few people wf out side of GSB. The only time this needs to be done is when you have added new - non gsb code. To do a WF outside of GSB takes a
really big amount of CPU and human time.
Only buy ewfo if you need to WF non GSB or modified GSB code.
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cyrus68
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Would it be possible to enable GSB to enter trades at the open of the bar instead of the close? i.e. the user will be able to select whether trades
are executed at the open or the close of the bar. This will enable swing trading daily bars for stocks, without facing problematic execution issues at
the brokerage.
Thanks
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admin
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| Quote: Originally posted by cyrus68 | Would it be possible to enable GSB to enter trades at the open of the bar instead of the close? i.e. the user will be able to select whether trades
are executed at the open or the close of the bar. This will enable swing trading daily bars for stocks, without facing problematic execution issues at
the brokerage.
Thanks |
is this in the context of daily bars, or say 30 min bars you want to enter say at 830 instead of 900 on ES?
I think the concept is ok, but will come after the additional secondary filters. (work starting fairly soon)
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rws
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Be carefull with future peaks if you have bars endtime and using
them with the open in a system.
| Quote: Originally posted by admin | | Quote: Originally posted by cyrus68 | Would it be possible to enable GSB to enter trades at the open of the bar instead of the close? i.e. the user will be able to select whether trades
are executed at the open or the close of the bar. This will enable swing trading daily bars for stocks, without facing problematic execution issues at
the brokerage.
Thanks |
is this in the context of daily bars, or say 30 min bars you want to enter say at 830 instead of 900 on ES?
I think the concept is ok, but will come after the additional secondary filters. (work starting fairly soon) |
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adcardoso01
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Peter, regarding the WF within GSB, is there a way to do the following?
1) Choose to do Anchored or Rolling WF and select the Rolling period;
2) Optimize WF periods, ie, Optimize 1yr with OOS of 2mo, then Optimize 1.5 yrs with OOS of 2mo and choose which works best for example? Here I'm a
little skeptical due to the excessive risk of curve fitting, but I'd like to hear your thoughts on it. What is your take on it?
Thx!
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admin
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| Quote: Originally posted by adcardoso01 | Peter, regarding the WF within GSB, is there a way to do the following?
1) Choose to do Anchored or Rolling WF and select the Rolling period;
2) Optimize WF periods, ie, Optimize 1yr with OOS of 2mo, then Optimize 1.5 yrs with OOS of 2mo and choose which works best for example? Here I'm a
little skeptical due to the excessive risk of curve fitting, but I'd like to hear your thoughts on it. What is your take on it?
Thx! |
With GSB we can have some objectify.i
ie wf say 100 systems, apply wf parameters and check oos by dates.
My tests showed anchored is better than rolling, but not every test is better.
But to do the test validly, you would have to do it several times with say different oos years. if all oos years were just 2018 - it would be
comparing anchored to rolling that use the year before 2018 parameters on 2018. Thats not a fair test.
I see less need for wf not we have market validation etc but i dont have conclusive view on this. (yet)
What your talking about is a bit like cluster analysis. I think its less needed when you looked for parameter stability in WF. (covered in wf videos)
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adcardoso01
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My point here is: What PERIODS (IS and OOS) result in best parameters when doing WF analysis. After that, the question that follow is: Are these
parameters stable overtime?
Im asking you because a thought that occurred to me was: Can we improve parameters stability somehow? Is it possible to find out what periods of WF
result in more parameter stability?
If we can run WF tests using steps of 1 month (for example: IS: 1yr / OOS 1mo, then IS: 0.9yr / OOS 1mo, then IS: 0.8yr / OOS 1mo, etc) and compare
the parameter stability of those. That possibly could give insights of what is the optimum period (in terms of parameter stability) to re-optimize a
Model... Just food for thought...
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admin
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| Quote: Originally posted by adcardoso01 | My point here is: What PERIODS (IS and OOS) result in best parameters when doing WF analysis. After that, the question that follow is: Are these
parameters stable overtime?
Im asking you because a thought that occurred to me was: Can we improve parameters stability somehow? Is it possible to find out what periods of WF
result in more parameter stability?
If we can run WF tests using steps of 1 month (for example: IS: 1yr / OOS 1mo, then IS: 0.9yr / OOS 1mo, then IS: 0.8yr / OOS 1mo, etc) and compare
the parameter stability of those. That possibly could give insights of what is the optimum period (in terms of parameter stability) to re-optimize a
Model... Just food for thought...
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Your question looks good but way to hard for me to interpret correctly.
by period. do you mean dates, nth setting, nth day setting.
are you taking the wf runs and oos% etc. Best give me specific example , maybe with screen shot.
It sounds like you are talking about cluster analysis like in ts wfo.exe
No one has yet done cluster analysis and stability of parameters.
On CL with a year or so oos, i found wf increased fitness, np at the expensive of pf and at. This showed it was valid but the non wf parameters were
fine collectively.
Im very open to ideas but I feel we dont need more work in this direction.
Im still grappling with several valid approaches to system building. But want objective large scale tests to do this. This takes me some time to do.
This thread is another valid method too
https://trademaid.info/forum/viewthread.php?tid=204
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