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admin
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The next release of ewfo will have optional filters on .
GSB now can make the ewfo/ts files so there is no need to go through the slow and time consuming process of putting code into TS if you want to do
your own walk forward.
Not many users do this. I think there is value in it, but its not essential.
EWFO has a lot more tools than GSB when it comes to walk forward
 
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Bruce
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Quote: Originally posted by admin  | The next release of ewfo will have optional filters on .
GSB now can make the ewfo/ts files so there is no need to go through the slow and time consuming process of putting code into TS if you want to do
your own walk forward.
Not many users do this. I think there is value in it, but its not essential.
EWFO has a lot more tools than GSB when it comes to walk forward
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Can't wait to see this Peter!
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admin
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New ewfo with batch mode.
see https://trademaid.info/gsbhelp/Batchmode.html
New build at top of thread. File removed.
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admin
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New ewfo, You can build and optimize in TS or GSB a long short version.
Then you can optimize long only, short only and long and short combined.
This is NOT the same as just seeing the performance for long and short.
The reason is different parameters are in effect used for long and used for short
See this url for the documentation on it
https://trademaid.info/gsbhelp/LongShortWalkforward.html
Download the file at the top of this thead.
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saycem
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Hi Peter
I'm selecting systems that I have run a standard gen alg multi thread wf in GSB that had good stab scores and then running them again as ewfo.
However when I load them into ewfo their oos equity curves are worse. Is ewfo harder to pass?
 
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admin
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| Quote: Originally posted by saycem | Hi Peter
I'm selecting systems that I have run a standard gen alg multi thread wf in GSB that had good stab scores and then running them again as ewfo.
However when I load them into ewfo their oos equity curves are worse. Is ewfo harder to pass?
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First thing is check your fitness.
gsb default = np*at. ewf default = np
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saycem
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made a big difference - thx
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saycem
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I'm running a number of different efwo multi thread in GSB and looking at the results in EWFO.
How do I get the script for a system that I'm happy with from GSB. There is no option for Tradesation WF scripts in the drop down and I'm not sure
that the settings are matching between the two (highlight yellow)
 
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admin
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Hi Saycem,
there is no wf code in drop down as WF has not been done. So you are comparing pre wf parameters of GSB with post WF param from EWFO.
Even if this was not the case, there can be all sorts of valid reasons why the results between the two might not match.
Input ranges on WF may have been different, dates different to name just a few
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saycem
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Are you not performing a WF when you select EWFO multi thread in GSB?
I open the file in EWFO and the results are similar to a normal GA WF from GSB ( but you can't compare them exactly bc you can't see the EWFO curves
in GSB - it shows an error message)
I have a system that where the IS and OOS results are close in EWFO and it has also passed Cluster Analysis which I assume is a good result??
So I want to use this system and the param settings in TS.
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admin
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| Quote: Originally posted by saycem | Are you not performing a WF when you select EWFO multi thread in GSB?
I open the file in EWFO and the results are similar to a normal GA WF from GSB ( but you can't compare them exactly bc you can't see the EWFO curves
in GSB - it shows an error message)
I have a system that where the IS and OOS results are close in EWFO and it has also passed Cluster Analysis which I assume is a good result??
So I want to use this system and the param settings in TS. |
My guess is a GSB_ewfo doesnt create the script like normal GSB script.
If so you can always do both.
Whats the error message?
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saycem
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The error message attached pops up when you select the system in GSB and no WF curves come up.
But you can open fine in EWFO and see the IS OOS equity curves and do Cluster. But what do you do then when you want to trade the system? Not sure how
you get a script to copy into TS?
I assume the 10 inputs that you can see in EWFO (yellow highlight) are the settings you need but in the GSB script there are 14 different variables -
so how do I marry them up? Or is this incorrect?
  
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admin
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Hi Saycem,
the names match up, and likely the order to. The data streams for each indicator are absent in EWFO as they were not optimized.
Not sure on the error message, but likely ok to ignore it.
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saycem
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Ok so what do you think is better for robustness:
If system passes cluster in EWFO then use these settings and copy them into TS manually
OR
Just run GSB GA Multi Thread WF even you will get different astab scores each time you run it and pick the best one you can get?
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admin
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| Quote: Originally posted by saycem | Ok so what do you think is better for robustness:
If system passes cluster in EWFO then use these settings and copy them into TS manually
OR
Just run GSB GA Multi Thread WF even you will get different astab scores each time you run it and pick the best one you can get?
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Im not decided on this, and stability should be examined in closer detail if it fails.
I still like to manually optimize each input (via AI wf), then use this range and put into ts to to a wf via ewfo. Its not essential do do this, but
Im still looking closely to see what works best, and refined what Im doing.
As I said before, astab-c is likely a little better than astab. I also liked vss score.
using 30 min bars, with 5 and 10 tick random noise. 4 data streams of 5 ticks, and 4 data streams of 10 ticks. I often pick vss >-(somewhere between
14 and 20)
Note this is all on ES, which is what im doing all my methodology testing on.
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Bruce
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Hi Peter,
Unable to get the new version to render correctly on the screen. See the attached I'm unable to get to the 'Run' button.
What am I missing?
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edgetrader
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| Quote: Originally posted by admin | The next release of ewfo will have optional filters on .
GSB now can make the ewfo/ts files so there is no need to go through the slow and time consuming process of putting code into TS if you want to do
your own walk forward.
Not many users do this. I think there is value in it, but its not essential.
EWFO has a lot more tools than GSB when it comes to walk forward
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Are the filters working in a way such that they hide the fitness functions in the stability spreadsheet that don't meet the filtering criteria?
I'd like to see filters built into the fitness functions themselves that work during walk-forward optimization. E.g. with a filter of at least 50
in-sample trades, do everything as usual if met, but set fitness to zero if less than 50 trades.
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Bruce
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Please notice the exception error, is this an issue along with the loss of data from the WF and EWFO file creation?
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admin
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| Quote: Originally posted by Bruce |
Please notice the exception error, is this an issue along with the loss of data from the WF and EWFO file creation?
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Im not sure, but I think that data center had an upgrade at midnight usa time.
It is still a problem let me know. Most exceptions are not critical.
Any connectivity outage doesnt matter too much,as when things are restored, the information is resent
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admin
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| Quote: Originally posted by edgetrader | | Quote: Originally posted by admin | The next release of ewfo will have optional filters on .
GSB now can make the ewfo/ts files so there is no need to go through the slow and time consuming process of putting code into TS if you want to do
your own walk forward.
Not many users do this. I think there is value in it, but its not essential.
EWFO has a lot more tools than GSB when it comes to walk forward
|
Are the filters working in a way such that they hide the fitness functions in the stability spreadsheet that don't meet the filtering criteria?
I'd like to see filters built into the fitness functions themselves that work during walk-forward optimization. E.g. with a filter of at least 50
in-sample trades, do everything as usual if met, but set fitness to zero if less than 50 trades. |
Hi Edgetrader,
sorry but I see this post was not replied too.
There are user definable settings, when you do fitness stabilty scores.
So on the defaults you will only see the fitness types that work best for your system. You have complete control over this.
This should do what you want - ie with the 50 trades.
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Bruce
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| Quote: Originally posted by Bruce |
Hi Peter,
Unable to get the new version to render correctly on the screen. See the attached I'm unable to get to the 'Run' button.
What am I missing?
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Any response to this pls?
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admin
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You cant do run till you open files. Its blank up the top right
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Bruce
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Once I've loaded a file and open the Run button doesn't appear.
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Bruce
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I've seen this raised previously however there's a casim of difference between the GSB-WF and the imported EWFO file into EWFO, why is this. What are
the expected variances, if any? does this mean that the GSB-WF is overstated?
 
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admin
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| Quote: Originally posted by Bruce |
I've seen this raised previously however there's a casim of difference between the GSB-WF and the imported EWFO file into EWFO, why is this. What are
the expected variances, if any? does this mean that the GSB-WF is overstated?
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I suspect the fitness in gsb is np*at and the fitness in ewfo is np*sharpRatio^2
If so the comparison in this case is useless.
There are features in GSB 54.65 which means you can not optimize any input. This is going to be good for things like secondary filter closed. Im happy
with that being locked, or ideally given a narrow range. Locked is now possible but narrow range wont happen until GSB 2.0
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