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admin
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A lot more work is being done on crude oil, and there have been some great trades of late too.
Some of the new found gems will only be in the private forum.
Likely about a week away. Thanks to the users who contributed to this information.
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admin
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Just a few things
This is RC2dax results. made by the command line predecessor ofGSB
57262 Euro less brokerage.
Its much older than shown but I dont have the track record
shown also is fibonacci lines on 24 hour es data.
Market seems to work well with them
disclaimer, past returns can not be used to determine future returns.
Trading has significant risk
Thanks received (2):
+1 Bruce at 2020-04-22 22:48:42 +1 cotila1 at 2020-04-11 07:23:03
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admin
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Currently we are looking into things like should you build CL system long & short,
or long only system and short only system on the same chart.
Also some unusual variations of the above.
Also do we get the same indicators with long short vs long only and short only.
We did find out will different secondary filters use the same indicators.
Will publish all in the private forum when we are finished
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admin
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critical for ts users.
Ts brokerage account will not allow trading CL.
Too risky
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admin
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FREE cl system for GSB purchasers.
Reports etc are here for any forum member
https://trademaid.info/forum/viewthread.php?tid=63&page=2#pi...
Just a note.
For CL we have many secondary filters.
Whats interesting is the loosing day correlation of systems with different secondary filter is very low but winning period correlation very high.
 
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Daniel UK1
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Not sure where to put this, but i wanted to check if other have checked with IB about CL and negative pricing? i was hearing stories about people not
being able to exit trades when may got negative.. and suffered huge losses... and then I though or perhaps assumed it was fixed since TWS could as of
now at least show negative prices... but i contacted IB today to make sure of things, since getting into several CL contracts now knowing if i can get
out despite using stops, is not really optimal... to my surprise over several chats and over 4 hours and several IB support teams... no one could
provide a clear answer to the question, can i trade CL june contract if it goes negative, can i get out of existing trades or open new ones? does IB
gateway work as intended with negative prices, and TWS? first person said NO, second person said YES, third person said MAYBE....
Have anyone else managed to get clarity in regards to this ?
Regards
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admin
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Quote: Originally posted by Daniel UK1  | Not sure where to put this, but i wanted to check if other have checked with IB about CL and negative pricing? i was hearing stories about people not
being able to exit trades when may got negative.. and suffered huge losses... and then I though or perhaps assumed it was fixed since TWS could as of
now at least show negative prices... but i contacted IB today to make sure of things, since getting into several CL contracts now knowing if i can get
out despite using stops, is not really optimal... to my surprise over several chats and over 4 hours and several IB support teams... no one could
provide a clear answer to the question, can i trade CL june contract if it goes negative, can i get out of existing trades or open new ones? does IB
gateway work as intended with negative prices, and TWS? first person said NO, second person said YES, third person said MAYBE....
Have anyone else managed to get clarity in regards to this ?
Regards |
Im trading with IB but havnt hit negative prices on CL.
Im not sure if it was you, but one user had good wins on CL recently but there contract roll was way to late. Thats getting much more risky. Volume
was the same on both contracts on 13 april.
You could always code gsb system to say if price >$5
ie
if time >= 900 and Time < 1330 and price >$5 then ....
Were there any updates to tws of late to support this? I have a extremely older version and need to update soon regardless
No big deal but this should go under general support section
Even in the beta tws, there are no comments about negative prices
https://www.interactivebrokers.com/en/index.php?f=1656
you should contact api@interactivebrokers.com
Also, if you can try the tws sim/paper account. Esp good to do this if prices go < $0
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Daniel UK1
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| Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Not sure where to put this, but i wanted to check if other have checked with IB about CL and negative pricing? i was hearing stories about people not
being able to exit trades when may got negative.. and suffered huge losses... and then I though or perhaps assumed it was fixed since TWS could as of
now at least show negative prices... but i contacted IB today to make sure of things, since getting into several CL contracts now knowing if i can get
out despite using stops, is not really optimal... to my surprise over several chats and over 4 hours and several IB support teams... no one could
provide a clear answer to the question, can i trade CL june contract if it goes negative, can i get out of existing trades or open new ones? does IB
gateway work as intended with negative prices, and TWS? first person said NO, second person said YES, third person said MAYBE....
Have anyone else managed to get clarity in regards to this ?
Regards |
Im trading with IB but havnt hit negative prices on CL.
Im not sure if it was you, but one user had good wins on CL recently but there contract roll was way to late. Thats getting much more risky. Volume
was the same on both contracts on 13 april.
You could always code gsb system to say if price >$5
ie
if time >= 900 and Time < 1330 and price >$5 then ....
Were there any updates to tws of late to support this? I have a extremely older version and need to update soon regardless
No big deal but this should go under general support section
Even in the beta tws, there are no comments about negative prices
https://www.interactivebrokers.com/en/index.php?f=1656
you should contact api@interactivebrokers.com
Also, if you can try the tws sim/paper account. Esp good to do this if prices go < $0 |
Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of
contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing
at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than
normal though. As you say volume on CLMO was same at may on 13th.
Anyway, yes to code in a safety feature might be good.
In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since
according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words.
I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can
enter negative but not trade during negative, and third person said maybe.
So as you can see this is very much unclear even for IB and needs further investigation.
I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem.
Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry 
Anyway i am investigating further and will update..
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RandyT
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| Quote: Originally posted by Daniel UK1 |
Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of
contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing
at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than
normal though. As you say volume on CLMO was same at may on 13th.
Anyway, yes to code in a safety feature might be good.
In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since
according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words.
I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can
enter negative but not trade during negative, and third person said maybe.
So as you can see this is very much unclear even for IB and needs further investigation.
I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem.
Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry
Anyway i am investigating further and will update..
|
Daniel,
FWIW, I've too am running on MC and using DTN data, although I am executing through Rithmic.
I have decided to roll based on OI which seems to be reasonably good way to stay out of this current mess in CL. I've created custom contracts in MC
and am rolling based on 2 days higher OI and using 'difference' to back adjust. I tried a ratio adjustment but it led to some unrealistic gains in
backtest. Then it is just a matter of mapping to the contract month on Rithmic that my OI tracking shows.
For now, this seems to be working and it is keeping me in what appears to be the safer contract.
I have debated changing current CL system to only allow short trades but have not gone there yet.
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NickW
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IB Negative Prices
Interesting thing to note is that CME customers were warned on April 3rd about the possibility of negative prices on the energy complex.
I am still searching myself for anyone that traded those negative prices on IB...
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admin
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| Quote: Originally posted by NickW | Interesting thing to note is that CME customers were warned on April 3rd about the possibility of negative prices on the energy complex.
I am still searching myself for anyone that traded those negative prices on IB...
|
I have paper traded on in sim account today.
just did a limit and stop limit
 
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Daniel UK1
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| Quote: Originally posted by RandyT | | Quote: Originally posted by Daniel UK1 |
Hi Peter, yes we discussed rolls on CL briefly, however i am on IQ DTN data, and they roll according to their rules which is a few days before end of
contract, same every month, cant control this, unless i create a custom future contract on MC, then i can control it, but that is not what i am doing
at the moment, although this has never been a problem, i was on june when it went negative. Perhaps now one wants to roll a few days earlier than
normal though. As you say volume on CLMO was same at may on 13th.
Anyway, yes to code in a safety feature might be good.
In regards to IB, its still very unclear, according to IB, tws on paper testing if negative prices would work, will NOT be a good idea, since
according to them this will not introduce potential problems since it will allow trades but this would not work like, this is their words.
I have contacted ib and first person said IB could at the moment NOT handle negative prices, second person said yes we can handle that, but you can
enter negative but not trade during negative, and third person said maybe.
So as you can see this is very much unclear even for IB and needs further investigation.
I just wanted to check if others have checked on their end, or perhaps assumes it will not be a problem.
Getting stuck in a bunch of CL contracts and not being able to get out, can hurt a bit for sure, can make the most seasoned trader to cry
Anyway i am investigating further and will update..
|
Daniel,
FWIW, I've too am running on MC and using DTN data, although I am executing through Rithmic.
I have decided to roll based on OI which seems to be reasonably good way to stay out of this current mess in CL. I've created custom contracts in MC
and am rolling based on 2 days higher OI and using 'difference' to back adjust. I tried a ratio adjustment but it led to some unrealistic gains in
backtest. Then it is just a matter of mapping to the contract month on Rithmic that my OI tracking shows.
For now, this seems to be working and it is keeping me in what appears to be the safer contract.
I have debated changing current CL system to only allow short trades but have not gone there yet. |
Hi Randy, thanks for feedback..
Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single
monthly contract though . Would it not be great if one could search for all
monthly contracts and then just import all in one time..
IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better.
I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply.
Regards
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RandyT
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| Quote: Originally posted by Daniel UK1 |
Hi Randy, thanks for feedback..
Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single
monthly contract though . Would it not be great if one could search for all
monthly contracts and then just import all in one time..
IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better.
I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply.
Regards
|
Daniel, the only reasonable way to set these up is to import the contract list. I include a list of all of the CL contracts needed to have custom
contract back to about 2007. Just import that into QuoteManager and you are good to go.
Note: you will want to make sure that QCL is defined in the symbol dictionary for IQfeed so that contract details are correct. Not all of them are
there by default.
Attachment: Login to view the details
Thanks received (1):
+1 Daniel UK1 at 2020-04-30 08:45:39
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Daniel UK1
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| Quote: Originally posted by RandyT | | Quote: Originally posted by Daniel UK1 |
Hi Randy, thanks for feedback..
Yes creating custom contract so one can control roll date, is perhaps best option here as you say.. its a pain though to manually add every single
monthly contract though . Would it not be great if one could search for all
monthly contracts and then just import all in one time..
IQ DTN have set dates to roll on, which means that they often does not make sense, rolling based on volume would be better.
I am waiting for reply back from IB for a confirmation if this is a problem or not with negative , will share their reply.
Regards
|
Daniel, the only reasonable way to set these up is to import the contract list. I include a list of all of the CL contracts needed to have custom
contract back to about 2007. Just import that into QuoteManager and you are good to go.
Note: you will want to make sure that QCL is defined in the symbol dictionary for IQfeed so that contract details are correct. Not all of them are
there by default.
|
Amazing Randy, many thanks.. yes like this its a breeze to add them.. thanks again..
Have a nice day
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Daniel UK1
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Update in regards to negative pricing discussed previously, IB confirmed its not an issue anymore, but has been though.
Summary: Interactive Brokers
IBCS 2020/04/30 08:42:18
Dear
Further to our recent conversation in the chat, please note the following:
We have updated our trading platform, TWS, in order to allow the entering of negative prices for Futures. Therefore, should a Future have a negative
price again as recently occurred, you can enter your order and order routing is expected to work without any issue and as normal.
Regarding options, we are currently working to enable our platform to display and allow order entry for options with negative strike prices, should
that scenario occur again.
I hope this helps, should you have any further questions please do not hesitate to contact us.
Kind regards,
Trade Desk
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admin
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| Quote: Originally posted by Daniel UK1 | Update in regards to negative pricing discussed previously, IB confirmed its not an issue anymore, but has been though.
Summary: Interactive Brokers
IBCS 2020/04/30 08:42:18
Dear
Further to our recent conversation in the chat, please note the following:
We have updated our trading platform, TWS, in order to allow the entering of negative prices for Futures. Therefore, should a Future have a negative
price again as recently occurred, you can enter your order and order routing is expected to work without any issue and as normal.
Regarding options, we are currently working to enable our platform to display and allow order entry for options with negative strike prices, should
that scenario occur again.
I hope this helps, should you have any further questions please do not hesitate to contact us.
Kind regards,
Trade Desk |
what im not clear on is do we need to upgrade tws?
negative prices worked fine on the sim account with very old tws
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portfolioquanttrader2020
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hi
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admin
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welcome portfolioquanttrader2020
To all users
Of late we are working on tertiary filters. This is a major upgrade to GSB.
I have done a quick & rough guide and description in the new architecture page
https://trademaid.info/gsbhelp/GSBarchitecture.html
I'm still working on Crude Oil systems after many months. I keep finding things and ways to improve.
So that's a good problem to have but im keen to move onto other markets.
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Daniel UK1
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| Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Update in regards to negative pricing discussed previously, IB confirmed its not an issue anymore, but has been though.
Summary: Interactive Brokers
IBCS 2020/04/30 08:42:18
Dear
Further to our recent conversation in the chat, please note the following:
We have updated our trading platform, TWS, in order to allow the entering of negative prices for Futures. Therefore, should a Future have a negative
price again as recently occurred, you can enter your order and order routing is expected to work without any issue and as normal.
Regarding options, we are currently working to enable our platform to display and allow order entry for options with negative strike prices, should
that scenario occur again.
I hope this helps, should you have any further questions please do not hesitate to contact us.
Kind regards,
Trade Desk |
what im not clear on is do we need to upgrade tws?
negative prices worked fine on the sim account with very old tws |
I do believe so Peter, however cant see any downside to upgrading tws, dont like upgrading IB gateway though if that would have been needed, but that
does not seem to be the case according to IB.
Regards
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moresi522
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Hi,
I hope this is the right thread. I would like to share with you my tests with a 30 min EURUSD.
I would like to explore the Forex environment, and I started with the most liquid.
I follow the guide for Crude oil methodology to build a system
from 2010 to 06/30/2017
1 - Built a baseline with 47 main indicators, 1 operator (Multiply) 4 entry mode (Cross,CrossSingleLevel,CrossDulaLevels,CrossOrCloseD,CrossAndCloseD)
See "Baseline" Sheet
2 - Search firstIndicator, built 30.000 system with 2 indicators, got all green and orange (if orange > .5) and in the second pass got only the green.
12 indicators (nb. CLP B in the second pass is better than first pass and this is good)
3 - built 50.000 systems with 12 indicators, all settings are in "Final" sheet
4 - 50.000 systems with normalization mode CenterScaling2 ( (Final Norm MOD1 B sheet is the same configuration of MOD1, just a duplicate test)
4 - 50.000 systems with normalization mode HighestLowest2 "Final Norm MOD2" sheet
On the "Resume" sheet you can see all Main, Astab and VSS and the differences with baseline.
curiously the "final" configuration (with both normalization mode) is a lot better than the other one. Now I'm building 50.000 system with sign mode
SumOfindicatorSign. I'll post the result later.
in attach you can see all the 250 walk forwarded system for every test, all configurations and all csv files. I hope they could be useful for someone.
I will be grateful to hear from you all, any comment will be appreciated
In attachment, you can find all the 250 walk forward better systems for:
Attachment: Login to view the details
Attachment: Login to view the details
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moresi522
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I would like to understand better the meaning of the graph in GSB.
example, getting one of the systems generated from EURUSD GSB I see the result in the image attached.
from 2010 30/6/2017 training with nth of 80 days
and WF goes from 2010 to 28/2/2019)
the first is image is the comparison between the two equity with mathchecking script. and the result is the same. Also the trade numbers are the same.
Good.
Problems came when I use the live trading script. As you can see in the second image I have in GSB the WF until 2019 with WF OOS the still improve the
equity. The same thing in the same period does not happen in MC where the result are not good.
So, How do we understand immediately if a system is good also outside the training period? I thought WF OOS would give us the right direction with
live trading, but It does not seem the way.
Thank you
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Daniel UK1
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| Quote: Originally posted by moresi522 | I would like to understand better the meaning of the graph in GSB.
example, getting one of the systems generated from EURUSD GSB I see the result in the image attached.
from 2010 30/6/2017 training with nth of 80 days
and WF goes from 2010 to 28/2/2019)
the first is image is the comparison between the two equity with mathchecking script. and the result is the same. Also the trade numbers are the same.
Good.
Problems came when I use the live trading script. As you can see in the second image I have in GSB the WF until 2019 with WF OOS the still improve the
equity. The same thing in the same period does not happen in MC where the result are not good.
So, How do we understand immediately if a system is good also outside the training period? I thought WF OOS would give us the right direction with
live trading, but It does not seem the way.
Thank you
|
Hi Moresi,
Myself i value the degradation numbers a lot, the degradation between IS and OOS.. if you look at your opt setting, what degradation do you have
between the the data you built on and the space of 80 days ?
However lots of people dont value this number.. but try it and see if it provides some clarity for yourself when it comes to avoiding failing
systems..
Not saying that your results if based on a failing system, can also be that market is overall not good..
Cheers
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moresi522
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Hi Daniel,
> if you look at your opt setting, what degradation do you have between the data you built on and >the >space of 80 days ?
Is there a setting that indicates the degradation? I don't know where it is.
Or do you mean the VSS ?
Thank you
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Daniel UK1
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Hi Moresi, i mean that if you record stats for IS in A and then OOS in B you will get the degradation stats between A and B.. as you see now when you
are doing Non WF and WF for a and b...
Also a good tip could be to test entry modes individually and not together as i think you did..
Regards
Thanks received (1):
+1 moresi522 at 2020-05-05 16:09:21
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admin
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Just an update. I have 26 minutes of part 1 of the cl video. Might have it finished in 48 hours.
Took me nearly the entire day to record 26 minutes, but its getting much faster.
Ive laid the foundation & explanation, and just done pass1 in indicator testing.
Thanks received (6):
+1 OUrocketman at 2020-05-11 21:48:28 +1 saycem at 2020-05-11 18:35:20 +1 Daniel UK1 at 2020-05-11 14:48:35 +1 cotila1 at 2020-05-11 14:36:35 +1 Bruce at 2020-05-11 08:47:42 +1 pkotzee at 2020-05-11 02:54:32
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