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admin
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Quote: Originally posted by Daniel UK1  | Hey everyone, just wanted to check if anyone have had any good results on other markets than S, GC, SI, NG, CL and ES the usual suspects... ?
For example currency futures ? or other interesting tradable markets? |
Here is xlv long only, inc my fills.
It was not made by me, and a different approach. The author claims GSB works long only on most stocks.
oos 2017 12 27
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rws
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Hi Peter,
When optimizing on an ETF of a sector, I see far worse results
when walkforwarding than optiziming on all the stocks in that sector in Amibroker. For example with a tribes or particle swarm optimizer. I suspect it
would be the same for GSB.
It is very logical, on 1 ticker you are very easily overdefined while
optimizing on 50 tickers, you find more robust OOS parameters settings because you cannot easily overdefine as there is easily a
50-fold more data. You can also have more parameters when optimizing on an portfolio without the risk of curvefitting which can improve the result.
You will find less peaks for the parameters right from the start which can be a shortcut instead of many confirmations afterward.
I understand GSB has Data2 but that is not like a portfolio.
I understand GSB can verify on different tickers but optimizing on
different tickers right from the start is usefull.
Would you ever consider adding optimizing on a portfolio in GSB?
Thanks
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admin
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| Quote: Originally posted by rws | Hi Peter,
When optimizing on an ETF of a sector, I see far worse results
when walkforwarding than optiziming on all the stocks in that sector in Amibroker. For example with a tribes or particle swarm optimizer. I suspect it
would be the same for GSB.
It is very logical, on 1 ticker you are very easily overdefined while
optimizing on 50 tickers, you find more robust OOS parameters settings because you cannot easily overdefine as there is easily a
50-fold more data. You can also have more parameters when optimizing on an portfolio without the risk of curvefitting which can improve the result.
You will find less peaks for the parameters right from the start which can be a shortcut instead of many confirmations afterward.
I understand GSB has Data2 but that is not like a portfolio.
I understand GSB can verify on different tickers but optimizing on
different tickers right from the start is usefull.
Would you ever consider adding optimizing on a portfolio in GSB?
Thanks
|
I agree, and this can be done already.
Build with say your 50 stocks
then wf data, have all 50 datas in there.
You can also do the stats on the entire group of systems too.
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Daniel UK1
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| Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Hey everyone, just wanted to check if anyone have had any good results on other markets than S, GC, SI, NG, CL and ES the usual suspects... ?
For example currency futures ? or other interesting tradable markets? |
Here is xlv long only, inc my fills.
It was not made by me, and a different approach. The author claims GSB works long only on most stocks.
oos 2017 12 27
Please read the forum disclaimer.
|
Hi Peter,
XLV, as in health care fund etf?
Would you be able to share approach direction or how its traded ? for example swing ? intraday?
Thanks for sharing
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admin
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| Quote: Originally posted by Daniel UK1 | | Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Hey everyone, just wanted to check if anyone have had any good results on other markets than S, GC, SI, NG, CL and ES the usual suspects... ?
For example currency futures ? or other interesting tradable markets? |
Here is xlv long only, inc my fills.
It was not made by me, and a different approach. The author claims GSB works long only on most stocks.
oos 2017 12 27
Please read the forum disclaimer.
|
Hi Peter,
XLV, as in health care fund etf?
Would you be able to share approach direction or how its traded ? for example swing ? intraday?
Thanks for sharing |
Yes, its swing, health care, and long only and sf was lowest low (unusual)
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RandyT
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Market bias?
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admin
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A minor thing.
If you build your 50k systems, then run macro3 (stats)
you need to run macro2 (dates to 2015) before you run marco5 (top 90 wf) or macro6(top 91 vss)
I only just realized this.
Im going to merge macro2 into the start of m3 to fix this. It will slow m3 down a little.
The reason is m5 and m6 have pf and number of trade filters as well as wf & vss.
The pf filters etc should be done on pre 2015, not post 2015
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RandyT
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| Quote: Originally posted by admin | A minor thing.
If you build your 50k systems, then run macro3 (stats)
you need to run macro2 (dates to 2015) before you run marco5 (top 90 wf) or macro6(top 91 vss)
I only just realized this.
Im going to merge macro2 into the start of m3 to fix this. It will slow m3 down a little.
The reason is m5 and m6 have pf and number of trade filters as well as wf & vss.
The pf filters etc should be done on pre 2015, not post 2015
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This would likely explain why I have been scratching my head regarding the results I am getting with this approach. 
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admin
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| Quote: Originally posted by RandyT | | Quote: Originally posted by admin | A minor thing.
If you build your 50k systems, then run macro3 (stats)
you need to run macro2 (dates to 2015) before you run marco5 (top 90 wf) or macro6(top 91 vss)
I only just realized this.
Im going to merge macro2 into the start of m3 to fix this. It will slow m3 down a little.
The reason is m5 and m6 have pf and number of trade filters as well as wf & vss.
The pf filters etc should be done on pre 2015, not post 2015
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This would likely explain why I have been scratching my head regarding the results I am getting with this approach. |
I only just realized myself. A clue was you didnt get 90 systems into fav D at times.
I didnt think though enough the reason why
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admin
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Don't not use the public cloud for this unless we are on build 56.71 or above.It will produce a error that will stop all
cloud workers till they update to 56.71
This will only work in beta tester mode too. (for now)
I have made significant progress on CL this week.
1) Indicator choice
build 30,000 systems. training pf 1.3 pearsons 0.9.
do indicator stats on all 30,000
15 min data with 30 min data2, 14 min data with 28 min data2, 16 min data with 32 min data2,
 
2) secondary filters
There is a new SF in the alpha build list that for CL is significantly better than closeD.
To find it.
use indicators from 1 above
use 15 min data1, 30 min data2. Do not use 14/16 min
Enable all SF, except the 3 Closed filters, (We know the CLoseD filters are good, and we are looking for alternatives) and roofinfilter1pole
(redundant)
pf training back to 1.8 pf, pearsons 0.95
build systems the usual 50,000 / 250 way
export parm to excel.
sort on sf. Get most popular SF (alphabetical sort will do)
choose the most poplar sf from above (remove all other SF), put in GSB, and do the usual 50,000 / 250 systems
do stats on them
then choose the next most popular sf.... and repeat building 50,000/250 -> stats
You will find 1 (maybe more) much better than closeD
I suspect this SF is unique to CL and or energies, but im not sure.
 
Thanks received (3):
+1 getty002 at 2020-07-19 03:04:02 +1 RandyT at 2020-01-30 08:27:13 +1 Daniel UK1 at 2020-01-30 06:52:12
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RandyT
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Peter, do the following results reflect what you are seeing with indicator validation on CL and if so, how do you interpret the better performance of
a single indicator vs 2 indicators? Is this a suggestion that we should lean toward system development with 1 indicator?
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admin
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| Quote: Originally posted by RandyT | Peter, do the following results reflect what you are seeing with indicator validation on CL and if so, how do you interpret the better performance of
a single indicator vs 2 indicators? Is this a suggestion that we should lean toward system development with 1 indicator?
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Interesting.
We should try each others list to compare.
Here is my one indicator list.
One thing to watch is, the identical test. How much variation is there in each test.
One user who has spent months on CL, got his top 9 inidcators. My list has all his top 9, but more too.
Ive also found a second SF that is slightly better.
It was not in my top 250 systems.
We need to get stats of SF, like we have of primary filters.
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admin
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| Quote: Originally posted by RandyT | Peter, do the following results reflect what you are seeing with indicator validation on CL and if so, how do you interpret the better performance of
a single indicator vs 2 indicators? Is this a suggestion that we should lean toward system development with 1 indicator?
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HI Randy
did you have pf 1.3, pearsons 0.9. Your list is really different from mine
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RandyT
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Peter, a number of questions:
1. What is the "IsParallel" setting you have under optimization?
2. What session times are you using for this run?
3. Can I assume that entry mode is "Compare1/2"?
4. Any changes to Indicator weights?
There are some somewhat significant differences in your results. Any chance you could share your optimization settings file?
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RandyT
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Yes, settings were as you prescribed. Attached is settings file.
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admin
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Hi randy.
Default weights. Compare 1 compare 2
Sessions times in my files I sent you.
ignore parallel. Feature for me only... More later from me
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RandyT
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Secondary Filter analysis on single indicator run on 50k systems for CL data1:15min data2:30min
Peter, you did not mention in your prescription above how many indicators we should use for these SF analysis runs. I'll run this again on 2
indicators.
Thanks received (1):
+1 admin at 2020-01-31 16:30:38
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admin
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| Quote: Originally posted by RandyT | Secondary Filter analysis on single indicator run on 50k systems for CL data1:15min data2:30min
Peter, you did not mention in your prescription above how many indicators we should use for these SF analysis runs. I'll run this again on 2
indicators.
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I used closeDmiuns and closedover
stats for secondary filters are nearly done too in next build of GSB
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admin
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| Quote: Originally posted by RandyT | Secondary Filter analysis on single indicator run on 50k systems for CL data1:15min data2:30min
Peter, you did not mention in your prescription above how many indicators we should use for these SF analysis runs. I'll run this again on 2
indicators.
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Hi Randy, this is really good what you have done.
I have the feature in GSB right now, but its buggy and doesnt work correctly.
I think we either use the top 9 (or a few more like in my post of my cl) or we do the entire list. A comparision of the two would be interesting
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admin
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Randy, your ration is not correct (likely not critical) I should have a max of 1.
of the stats works is we use the fitness of the top 1/3 systems for top, and bottom 1/3 for bottom.
We ignore the systems in-between
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RandyT
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Happy to share this Excel file if anyone else wants to use it. Updating data could result in needing to tweak this a bit. No promises. Formulas are
designed to be a bit adaptive.
Peter, I did have some trouble mapping the filter names from what I see in GSB param results vs what I see in the configuration window. Comments
welcome on the values that show "0".
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RandyT
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| Quote: Originally posted by admin | Randy, your ration is not correct (likely not critical) I should have a max of 1.
of the stats works is we use the fitness of the top 1/3 systems for top, and bottom 1/3 for bottom.
We ignore the systems in-between |
Ok, I was not clear on your formula.
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admin
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| Quote: Originally posted by RandyT | | Quote: Originally posted by admin | Randy, your ration is not correct (likely not critical) I should have a max of 1.
of the stats works is we use the fitness of the top 1/3 systems for top, and bottom 1/3 for bottom.
We ignore the systems in-between |
Ok, I was not clear on your formula. |
Neither was I was it was a long time ago this was done. I just chatted to the programer yesterday over it. Regardless your stats look what I expect, +
a few surprises.
Im also interested in your stats with closeDminus and closeDover to see how they compare
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admin
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For CL, I have found a more consistent method of indicator selection.
First and fourth were identical.
Im building 50,000 systems with 1 indicator on 15 min (data1) 30 min data2 bars only.
training PF 1/8, pearsons 0.95
I also have a backup test.
Once you have loaded these indicators into the config, changed number of indicators from 1 to 3, changed nth post build to trade. Then build 50,000
systems again.
(on a new manager)
Do stats on the 50,000
check under indicator stats, is there one that is very weak.
You can see that dmi is clearly poor compared to the others.
In this case, remove DMI and repeat the building of 50,000 systems with 3 indicators.
 
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admin
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Im having great success with secondary filters.
The top rating filters via secondary filters stats are NOT the best secondary filter.
Note my benchmark using the two closed SF vs some of the others on the list.
Thanks received (1):
+1 Daniel UK1 at 2020-02-04 04:06:02
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