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Quote: Originally posted by asobi  | Hello,
I have a newbie question.
How can I run only local GSB to build and walk-forward systems? My desktop is merely an old intel i7, and I saw my GSB borrowed much computing power
from the free cloud. But usually the running WFs stuck for a long time (flat curves on WF graph) and I'm not sure if this situation goes to my local
machine or the cloud? So I would like to test this case locally to see if a hardware upgrade is necessary.
Thanks! |
Welcome
under app settings, remove the sharekey under tools workplace
You must have at least one worker on your own machine for the manager to work if oyu removed the share keys
Thanks received (1):
+1 asobi at 2020-03-18 04:49:06
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emsjoflo
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Peter,
I have been experiencing trouble with GSBSYS1ES not closing trades at the end of the day on Tradestation. It has happened to me three times now. The
first couple of times I figured it was because I had time settings wrong. Now I'm not sure. Any ideas?
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admin
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| Quote: Originally posted by emsjoflo | Peter,
I have been experiencing trouble with GSBSYS1ES not closing trades at the end of the day on Tradestation. It has happened to me three times now. The
first couple of times I figured it was because I had time settings wrong. Now I'm not sure. Any ideas? |
setexitonclose may not work for live trading
add the code
if time =1500 then begin
sell..
buy to cover..
end;
that assumes your on central time
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erlendsolberg
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Hello, quick question:
Where can we find macro15?
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admin
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Here it is.
Im having problems replicating my own results.
good chance the issue is human error on my side.
Attachment: Login to view the details
Thanks received (1):
+1 erlendsolberg at 2020-03-20 04:40:12
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admin
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settings full doesnt seem to change training pf
set it to 1.8
settings partial seems to work on the same feature
bug fixed in 57.41 build. still under testing
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Daniel UK1
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Not sure where to put this one, as we all are striving to produce non correlated systems we also risk facing having multiple systems that potentially
could trade against each other *could have happened just 2 weeks ago, when during same session ES system1 took short while system2 was stopped out
from the long.... potential non optimal scenario if my stop was wider.... the only solution i can see is to create more sub accounts at IB so one
runs one account per strategy for a symbol... have anyone found a better solution ? i suspect Peter in IBLINK has this thought of and solved somehow,
and is a non issue? i have not put much though into it, until i realised that i just escaped this scenario by just luck...
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admin
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| Quote: Originally posted by Daniel UK1 | | Not sure where to put this one, as we all are striving to produce non correlated systems we also risk facing having multiple systems that potentially
could trade against each other *could have happened just 2 weeks ago, when during same session ES system1 took short while system2 was stopped out
from the long.... potential non optimal scenario if my stop was wider.... the only solution i can see is to create more sub accounts at IB so one
runs one account per strategy for a symbol... have anyone found a better solution ? i suspect Peter in IBLINK has this thought of and solved somehow,
and is a non issue? i have not put much though into it, until i realised that i just escaped this scenario by just luck... |
I think on all platforms I know of, you can trade the same symbol on mutiple accounts that trade can trade in opposite directions.
Its an issue for the human mind, but not the logic of execution
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Daniel UK1
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Hi Peter,
Yes, solution is to use multiple accounts and use one per strategy on same symbol.
If i am long and placed a stop with strategy 1... then strategy 2 goes short and placing a stop, i end up with position 0 and have one stop in either
direction that will make me 1 long or short in either direction if market take either of the stops out... or am i thinking incorrectly here?
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admin
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| Quote: Originally posted by Daniel UK1 | Hi Peter,
Yes, solution is to use multiple accounts and use one per strategy on same symbol.
If i am long and placed a stop with strategy 1... then strategy 2 goes short and placing a stop, i end up with position 0 and have one stop in either
direction that will make me 1 long or short in either direction if market take either of the stops out... or am i thinking incorrectly here?
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i still think you can trade long and short in the same account etc.
likely you are making an issue of something that is not an issue.
test on a ts sim account to be sure
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Daniel UK1
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I was just about to write, no thats not possible... but ended up with, perhaps 
not sure if my mind is playing with me... the stops should take out each other, and end of day i should be 0 and closed orders... this is a real mind
f$%£..
Regards
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OUrocketman
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Potential Way To Combine Systems On Same Symbol, Same Account
Very important disclaimer: I haven't transitioned to execution yet (always good to measure at least twice and cut once ) and so I cannot vouch for this from firsthand experience.
Another theoretical way to trade multiple strategies on the same symbol is through position sizing. The idea is if you have 2 strategies on the same
account and you wish to apply them to the same symbol, you can model them as "voters". If strategy 1 says go long, and strategy 2 says go short, then
you should be flat. If both strategies agree, you should be 2 contracts long or short, accordingly. There can be varying amount of agreement through
any given trading day, so Strategy 1 can act as a stop for strategy 2 and vice versa. The author has a good explanation available.
Source is available here: http://easylanguagemastery.com/trading-multiple-strategies-w...
There are several parts, but part 1 should get you to them. Some strategies have logic that can't be perfectly combined, but only approximated, so
compare your "combined" results with trading each strategy individually as a sanity check offline. And remember, when the markets really move things
can become eerily correlated, so please manage your risk. In effect, don't think just because you have 5 strategies that it would be acceptable to
have 5 contracts open.
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jptann
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I can attest to the above method of voting to run multiple strategies on the same instrument in the same account. Before I retired (now just trade to
keep me busy at much smaller scales) I used to run a Registered Commodity Pool and also a CTA. In the pool we had $3M+ assets. One rule we used is
to forget about exchange minimum margins but set our own for risk control. On the ES, we discovered that $30K per contract gave us the needed risk
mitigation. With that calculation, we used to run 100 contracts in the account.
We used a voting allocation amongst the strategies and after a while had different weightings to maximize the portfolio and reduce risk. This allowed
for some very sophisticated contract allocations in real time, so not only did we turn on and off strategies, but dynamically changed their weights
based upon a proprietary allocation method that used "risk of ruin" calculations to maximize the risk adjusted return in real time.
In my personal account now I use a voting method that assigns a weight of 1 to each of 5 strategies. I let them net together so my range of contracts
traded is from -5 to +5 with an account of $150K. If this is too large, you can always use the 1/5 ES contract (I forgot the symbol) on the CME and
for the value of 1 contract or an account of $30K or less if you can accept the drawdown risks, you can still vote between 5 different strategies.
An interesting artifact is that over 10 years trading like this, I found an odd number of strategies usually was the best, so 5 turned out to be a
perfect number. I used 5 instead of 3 since I wanted to have more granulation in short term, mid term and long term strategies. What ever "floats
your boat".
The most common position I found was 3 contracts either way. It seemed on strategy was always opposite the others so I usually had 1-1+1+1+1 = 3
Thanks received (3):
+1 Daniel UK1 at 2020-03-27 17:42:36 +1 Bruce at 2020-03-27 17:09:42 +1 OUrocketman at 2020-03-27 14:19:30
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Daniel UK1
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| Quote: Originally posted by jptann | I can attest to the above method of voting to run multiple strategies on the same instrument in the same account. Before I retired (now just trade to
keep me busy at much smaller scales) I used to run a Registered Commodity Pool and also a CTA. In the pool we had $3M+ assets. One rule we used is
to forget about exchange minimum margins but set our own for risk control. On the ES, we discovered that $30K per contract gave us the needed risk
mitigation. With that calculation, we used to run 100 contracts in the account.
We used a voting allocation amongst the strategies and after a while had different weightings to maximize the portfolio and reduce risk. This allowed
for some very sophisticated contract allocations in real time, so not only did we turn on and off strategies, but dynamically changed their weights
based upon a proprietary allocation method that used "risk of ruin" calculations to maximize the risk adjusted return in real time.
In my personal account now I use a voting method that assigns a weight of 1 to each of 5 strategies. I let them net together so my range of contracts
traded is from -5 to +5 with an account of $150K. If this is too large, you can always use the 1/5 ES contract (I forgot the symbol) on the CME and
for the value of 1 contract or an account of $30K or less if you can accept the drawdown risks, you can still vote between 5 different strategies.
An interesting artifact is that over 10 years trading like this, I found an odd number of strategies usually was the best, so 5 turned out to be a
perfect number. I used 5 instead of 3 since I wanted to have more granulation in short term, mid term and long term strategies. What ever "floats
your boat".
The most common position I found was 3 contracts either way. It seemed on strategy was always opposite the others so I usually had 1-1+1+1+1 = 3
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Hi Jptann,
Thanks for sharing, interesting to read. I am very much into these kind of ensemble systems.
You mention that you now use a voting system that assigns 1 weight per system of 5, this would be the same as just trading 5 different systems without
any voting, right ? of am i missing something?
Or do you mean that you request that you need for example 2 of 5 votes to take the initial entry in either direction and then just adjust weights
after that to actual signals during the trade without any requirements for vote numbers..
May i ask, are you using MC or TS? if in MC do you handle the management of the voting logic in overall money management signal on a portfoliotrader
with 5 separate strategies?
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ants222222
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Is there anyway to get free continous contract historical data for backtesting without tradestation?
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admin
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I assume you mean intraday?
Im not aware of anything.
csidata had some sort of free trial I think, but its 15 years since I tried it, and the data was shorter in the trial
last i remember it was daily data only.
see if quote.com or qcharts has something.
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Daniel UK1
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Hi, you want free continues data to backtest GSB strategies on, but not using tradestation? You on MC? in that case no, MC has no data...
Perhaps if you really want to stretch it, you can import GSB provided ES data, its backadjusted i believe, into MC using ASCI.. Perhaps TS has
possiblity to import data also?
I would say, dont use data that is free or not your own data... spend money on data and be happy about it, its the most important part you have..
Regards
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ants222222
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Yup, I currently have IB and MC, new to automated trading.
[/rquote]
Hi, you want free continues data to backtest GSB strategies on, but not using tradestation? You on MC? in that case no, MC has no data...
Perhaps if you really want to stretch it, you can import GSB provided ES data, its backadjusted i believe, into MC using ASCI.. Perhaps TS has
possiblity to import data also?
I would say, dont use data that is free or not your own data... spend money on data and be happy about it, its the most important part you have..
Regards
[/rquote]
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Daniel UK1
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| Quote: Originally posted by ants222222 | Yup, I currently have IB and MC, new to automated trading.
[/rquote]
Hi, you want free continues data to backtest GSB strategies on, but not using tradestation? You on MC? in that case no, MC has no data...
Perhaps if you really want to stretch it, you can import GSB provided ES data, its backadjusted i believe, into MC using ASCI.. Perhaps TS has
possiblity to import data also?
I would say, dont use data that is free or not your own data... spend money on data and be happy about it, its the most important part you have..
Regards
[/rquote] |
Hi,
Then you can just use IB and chose their continues symbol, if its backadjusted, not sure, think so. However with IB as you know you only get intraday
1 minute data back a few years, so not really great and as you know you also get the highly annoying pace error from IB when feeding to much of it
into MC..
I use IB and MC but use data from IQ DTN, i think its one of a few that delivers good reliable data, their api client is rock solid against MC.
Cost for IQ data is around 130usd i think.
Good luck and feel free to ask questions if you have any
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admin
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| Quote: Originally posted by ants222222 | Yup, I currently have IB and MC, new to automated trading.
[/rquote]
Hi, you want free continues data to backtest GSB strategies on, but not using tradestation? You on MC? in that case no, MC has no data...
Perhaps if you really want to stretch it, you can import GSB provided ES data, its backadjusted i believe, into MC using ASCI.. Perhaps TS has
possiblity to import data also?
I would say, dont use data that is free or not your own data... spend money on data and be happy about it, its the most important part you have..
Regards
[/rquote] |
I put IB continuous contract data on a tws chart, and got data only for the quarter. You cant trade off that as its not enough data for system, esp
just after rollover time.
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Daniel UK1
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Did not know it was that bad with IB history, regards
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jln780
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Hi, I updated to the latest RM, however, my GSB manager and workers have not.
Still showing 57.49 instead of 50.78?
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admin
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| Quote: Originally posted by jln780 | Hi, I updated to the latest RM, however, my GSB manager and workers have not.
Still showing 57.49 instead of 50.78? |
you mean showing 50.78 instead of 57.49?
email me teamviewer.com details & I will look
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Gregorian
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List of supported functions in NT
I'd like to start experimenting with Ninjatrader, but so far every strategy GSB has developed has been uncompilable due to missing functions. Is there
a list of which GSB functions are currently supported in NT? I think that would be useful, especially as more functions are added to the list, so we
could generate strategies using only the supported functions.
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admin
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| Quote: Originally posted by Gregorian | | I'd like to start experimenting with Ninjatrader, but so far every strategy GSB has developed has been uncompilable due to missing functions. Is there
a list of which GSB functions are currently supported in NT? I think that would be useful, especially as more functions are added to the list, so we
could generate strategies using only the supported functions. |
The extra 40 that are in the beta tester mode are not yet added.
These are pre-release and wont be added unless we find they actually produce good systems. We dont want a product with lots of indicators that dont
work. So in time they will migrate into the release version.
Todays build has a fix for one NT error. Think it was a closeD function. There are also known bugs / issue in some of the pre-release ts functions
too. It might be best you dont run the extra 40 indicators. We have a major bottle neck issue with lead programmers time. Personal issues that are
causing fewer hours to be worked which slows development. There are two other programmer on GSB, but NT is done by the lead programmer. Im also
working on a new product designed to reduce execution errors in TS/MC NT? & so monitor your trading server.
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