| Pages:
1
..
7
8
9
10
11
..
17 |
adcardoso01
Junior Member
Posts: 15
Registered: 18-12-2018
Member Is Offline
Mood: No Mood
|
|
Thx a lot for you effort to understand as I'm not totally familiar with GSB functionalities.
Yes, I'm talking about OOS%.
I understand that you are still grappling with validating several approaches. No worries.
Anyways... I was just brainstorming here.
All the best!
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Quote: Originally posted by adcardoso01  | Thx a lot for you effort to understand as I'm not totally familiar with GSB functionalities.
Yes, I'm talking about OOS%.
I understand that you are still grappling with validating several approaches. No worries.
Anyways... I was just brainstorming here.
All the best! |
GSB is greatly enriched by the ideas of the GSB community, and different perspectives are healthy because if we get improved approach - this flows
through to our trading p/l
|
|
|
cyrus68
Member
Posts: 171
Registered: 5-6-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by rws | 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) |
|
I'm specifically referring to daily bars for stocks. If you are swing trading, using daily bars, a reversal trade at session close is very
problematic.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Hi Cyrus, I think that can be done, but it will be after the secondary filters etc. I can see why you want the feature.
|
|
|
JasonT
Junior Member
Posts: 61
Registered: 6-6-2018
Member Is Offline
Mood: No Mood
|
|
Central Price Data Repository
Hi Peter,
it is possible for GSB to supply, as an option, a central online directory of price data (maintained daily, weekly or monthly) and for GSB 'Data >
Public Data Directory' to point to it?
Thanks,
Jason.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by JasonT | Hi Peter,
it is possible for GSB to supply, as an option, a central online directory of price data (maintained daily, weekly or monthly) and for GSB 'Data >
Public Data Directory' to point to it?
Thanks,
Jason. |
Where is the data going to come from? Likely there are legal issues if I supply the data. Best thing would be open a workspace with a indicator that
writes the price files.
I dont mind data being stale, as it also gives a further un seen data period
|
|
|
JasonT
Junior Member
Posts: 61
Registered: 6-6-2018
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by admin | | Quote: Originally posted by JasonT | Hi Peter,
it is possible for GSB to supply, as an option, a central online directory of price data (maintained daily, weekly or monthly) and for GSB 'Data >
Public Data Directory' to point to it?
Thanks,
Jason. |
Where is the data going to come from? Likely there are legal issues if I supply the data. Best thing would be open a workspace with a indicator that
writes the price files.
I dont mind data being stale, as it also gives a further un seen data period |
I'm not across licensing requirements with regard to the pricing data. I wonder if there is a difference if the data is kept contained within the
application versus being available for anyone to download. I also wonder whether or not how the data is used is effected by the license ie if it is
used for trading execution then it can't be used but if it is used for analysis then it can be? Just thoughts.
Also I agree with the unseen data, hence the multiple update periods suggested.
|
|
|
JasonT
Junior Member
Posts: 61
Registered: 6-6-2018
Member Is Offline
Mood: No Mood
|
|
GSB based session template
Hi Peter,
As posted in another thread the concept you've introduced with the Price Data Multiplier, that enables you to turn an
'ES.1.Minute.@ES.D.CentralUsaTime.txt' file into a 30 min data stream by adding the multiplier (eg 30 min), is very helpful and saves a lot of time.
Is it possible to extend this concept further and include a GSB based price data session template?
This would different to the 'Trading-Periods > Times' filter which prevents entries outside that time window. It would emulate the Trade Station (for
example) session template in that indicators and secondary filters that GSB uses only considers bars inside the GSB session that is applied to the
Price Data used in its analysis. I suspect it would need to be applied consistently across every data stream being used for Opt Price Data, TPD,
Verif Price Data, WF Price Data and WF TPD.
Thanks,
Jason.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by JasonT | Hi Peter,
As posted in another thread the concept you've introduced with the Price Data Multiplier, that enables you to turn an
'ES.1.Minute.@ES.D.CentralUsaTime.txt' file into a 30 min data stream by adding the multiplier (eg 30 min), is very helpful and saves a lot of time.
Is it possible to extend this concept further and include a GSB based price data session template?
This would different to the 'Trading-Periods > Times' filter which prevents entries outside that time window. It would emulate the Trade Station (for
example) session template in that indicators and secondary filters that GSB uses only considers bars inside the GSB session that is applied to the
Price Data used in its analysis. I suspect it would need to be applied consistently across every data stream being used for Opt Price Data, TPD,
Verif Price Data, WF Price Data and WF TPD.
Thanks,
Jason. |
You mean your data might be es 830 to 1515, but there is a global filter you can apply to make it 830 to 1500?
if data2 was @ym 24 hour, the filter 830 to 1500 would also apply.
If so I think this is an reasonable idea, but it wont happen until secondary filters are done
|
|
|
JasonT
Junior Member
Posts: 61
Registered: 6-6-2018
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by admin |
You mean your data might be es 830 to 1515, but there is a global filter you can apply to make it 830 to 1500?
if data2 was @ym 24 hour, the filter 830 to 1500 would also apply.
If so I think this is an reasonable idea, but it wont happen until secondary filters are done |
Yes that's almost what I mean. I was thinking that you download all the data (say 24x7) for the instrument you want to build systems on then apply a
filter to that, say 0830-1500. That means that you can download all the data you need in one data file and test your assumptions on that, rather than
download data for 24x7, and one for 0830-1500, and one for 0900-1400 for example.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by JasonT | | Quote: Originally posted by admin |
You mean your data might be es 830 to 1515, but there is a global filter you can apply to make it 830 to 1500?
if data2 was @ym 24 hour, the filter 830 to 1500 would also apply.
If so I think this is an reasonable idea, but it wont happen until secondary filters are done |
Yes that's almost what I mean. I was thinking that you download all the data (say 24x7) for the instrument you want to build systems on then apply a
filter to that, say 0830-1500. That means that you can download all the data you need in one data file and test your assumptions on that, rather than
download data for 24x7, and one for 0830-1500, and one for 0900-1400 for example. |
I see merit in this but @es.d is not the same as @es in that @es gives data on some holidays that @es.d doesnt.
Likely we can implement after secondary filters etc
|
|
|
JasonT
Junior Member
Posts: 61
Registered: 6-6-2018
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by admin |
I see merit in this but @es.d is not the same as @es in that @es gives data on some holidays that @es.d doesnt.
Likely we can implement after secondary filters etc |
Noted. I agree that would make it trickier. I just did an @ES.D v @ES comparison earlier for my notes prior to posting the suggestion (see
attached). The @ES.D session hours are limited by the Regular Session in a way that @ES is not - even if you use a 24x7 session template for @ES.D you
get 08:30 to 15:15 Mon-Fri only (ie the Regular Session). This limitation can be emulated by using a session template on @ES equivalent to the @ES.D
Regular Session but it doesn't account for any holidays that are automatically added by the @ES.D Regular Session.
Thanks for your consideration of the idea.
|
|
|
coccigelus
Junior Member
Posts: 73
Registered: 11-7-2018
Member Is Offline
Mood: No Mood
|
|
Hello, I would like to have a couple of others folders in the Favorites. Let's say C & D.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
I have thought on this and would like it. Its going to make the GUI even bigger.
However there might be less need for all of this when we have a excel / acess or standalone app the digs into the metrics.
What Ive found is decent correlation of various in sample data to out of sample data. You can also use the systems on the left, my leaving them
selected by the mouse. Its more crude but works.
Override original data can also be used.
c & d can be done but the answer is maybe. What would be nicer if we can soft code how many favorites we have. I dont know if that can be done but
its the best option.
|
|
|
Gregorian
Junior Member
Posts: 97
Registered: 23-5-2017
Member Is Offline
Mood: No Mood
|
|
Evolving PT exit
I'd like to request that PT exit be evolvable, as you did with the SLs.
Am seeing some good results by setting PT, but choosing what PT to set is just an educated guess right now. Having it genetically evolve would be
great.
|
|
|
Bruce
Member
Posts: 115
Registered: 22-7-2018
Location: Auckland - New Zealand
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by Gregorian | I'd like to request that PT exit be evolvable, as you did with the SLs.
Am seeing some good results by setting PT, but choosing what PT to set is just an educated guess right now. Having it genetically evolve would be
great. |
Ditto.
MFE and MAE metrics would also be useful here.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
We should be able to do GA PT
MFE & MAE as one of the custom fields
Not sure when it will happen as the next stage of GSB is a major one.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Are users interested in greater stats. IE a list of the amount each indicator is used.
Combined with favorites, this could be used to see what indicators performed best IN sample,
and then you compare to what performed best out of sample.
The idea would be to not use indicators that go well in sample, but not out of sample.
|
|
|
avatartrader
Junior Member
Posts: 60
Registered: 1-10-2018
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by TradingRails | | Quote: Originally posted by Gregorian | I'd like to request that PT exit be evolvable, as you did with the SLs.
Am seeing some good results by setting PT, but choosing what PT to set is just an educated guess right now. Having it genetically evolve would be
great. |
Ditto.
MFE and MAE metrics would also be useful here. |
I think it would be good for the Bars, Minutes exits to use GA as well for the same reasons. If I had to choose one, I would choose to have Bars use
GA, since I generally like to use that more than exiting after n minutes.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Hi Avatar,
whats the context that you timed exits? I assume some sort of long term trading?
I suspect its a really poor exit and one of the other 7, or atr stop, close down day etc is better.
|
|
|
engtraderfx
Junior Member
Posts: 98
Registered: 15-10-2018
Member Is Offline
Mood: No Mood
|
|
IQFeed data export formatting
IQFeed data format - Peter, i am using the iqfeed data tool to export data files (as for some reason Multicharts seems to truncate some data at
start). However after a number of failed attempts keeps giving a text error when trying to import to GSB, I think the issue is the data is exported
in reverse time (latest time at top). I did add new formatting for date & time but still gives error. Does GSB recognise this or could this be
included?
Thanks, Dave
Example format below from ..
Date,Time,Open,High,Low,Close,Volume,Inc Vol
2019-03-15,17:00:00,58.72,58.73,58.65,58.69,490637
2019-03-15,16:30:00,58.72,58.73,58.70,58.72,488660
2019-03-15,16:00:00,58.74,58.75,58.70,58.71,487080
2019-03-15,15:30:00,58.71,58.74,58.69,58.74,484248
2019-03-15,15:00:00,58.80,58.81,58.66,58.71,478347
2019-03-15,14:30:00,58.86,58.89,58.76,58.81,465099
2019-03-15,14:00:00,58.77,58.87,58.72,58.87,437134
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by engtraderfx | IQFeed data format - Peter, i am using the iqfeed data tool to export data files (as for some reason Multicharts seems to truncate some data at
start). However after a number of failed attempts keeps giving a text error when trying to import to GSB, I think the issue is the data is exported
in reverse time (latest time at top). I did add new formatting for date & time but still gives error. Does GSB recognise this or could this be
included?
Thanks, Dave
Example format below from ..
Date,Time,Open,High,Low,Close,Volume,Inc Vol
2019-03-15,17:00:00,58.72,58.73,58.65,58.69,490637
2019-03-15,16:30:00,58.72,58.73,58.70,58.72,488660
2019-03-15,16:00:00,58.74,58.75,58.70,58.71,487080
2019-03-15,15:30:00,58.71,58.74,58.69,58.74,484248
2019-03-15,15:00:00,58.80,58.81,58.66,58.71,478347
2019-03-15,14:30:00,58.86,58.89,58.76,58.81,465099
2019-03-15,14:00:00,58.77,58.87,58.72,58.87,437134 |
mc truncate data at start likely due to bars back settings. Try making it 1 (or 0??)
That could be the simplest fix.
|
|
|
engtraderfx
Junior Member
Posts: 98
Registered: 15-10-2018
Member Is Offline
Mood: No Mood
|
|
Peter, didn’t help unfortunately, does change basic data chart, have contacted MC for help.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Let me know how you get on. How much is missing from mc.
often its not an issue, esp as first part of data often is not liquid and not suitable for trading.
can iqfeed order be made old to new?
|
|
|
engtraderfx
Junior Member
Posts: 98
Registered: 15-10-2018
Member Is Offline
Mood: No Mood
|
|
I managed to get it down now to a few months by reloading data, eg CL data from IQFeed starts on 19/9/2006 with MC showing back to 18/12/2006 so
pretty close now. Have sent query to IQ on data order. I notice in my systems some have a large drawdown in that first 6 mths vs rest ( eg 3 to 4K
vs around 2K for rest of data), was wondering if its reasonable to ignore that early data.
|
|
|
| Pages:
1
..
7
8
9
10
11
..
17 |
![[*]](images/davis/default_icon.gif){kind=icon}
