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Quote: Originally posted by Daniel UK1  | HI Peter, i know your list is full... however, i think it would be worthwhile since we now are reaching a quite high amount of indicators, to start
to divide them in groups...
For example momentum indicators, volume etc.. *not sure where to put the moon stuff .. but i think even a small and simple grouping would help...
and not to mention the possibility to change data path for whole gsb so one can easily move from ssd to dropbox for example...
Anyway, thanks for great support and development of GSB.. |
Its a good idea but too early.
Im upto 90 indicators, but on CL the ones over 40ish are nowhere as good as the top 40. Im not going to release indicators that I consider lemons into
standard build. Other issues are some of the 40 to 90 dont match TS, so that also could be why they are lemons.
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engtraderfx
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Trailing Stop on close?
Hi Peter, I am looking at potential longer term ideas, the gsb ATR trailing stop is intrabar exit, have you tried using closing price to trigger the
exit (ie Close crosses ATR band, then close trade next open)? Sometimes filters out noise & lets trailing stop get closer to stop.
Thanks Dave
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admin
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| Quote: Originally posted by engtraderfx | Trailing Stop on close?
Hi Peter, I am looking at potential longer term ideas, the gsb ATR trailing stop is intrabar exit, have you tried using closing price to trigger the
exit (ie Close crosses ATR band, then close trade next open)? Sometimes filters out noise & lets trailing stop get closer to stop.
Thanks Dave |
Hi Dave
I have no plans for intrabar features in GSB. I also don't see the need for it unless your trading daily bars. I recommend you code your exit on
existing systems and see if it helps them. If it does I will consider adding.
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pkotzee
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Combine multiple strategies in 1 for the same symbol
Hi Peter,
Do you think it will be possible to develop some way to combine 2, mostly uncorrelated strategies into 1 on the same symbol? Each will still have
their own rules. I understand TS don't do well with running 2 or more strategies attached to separate charts on the same instrument, but since some
strategies don't trade often, I think it might be worthwhile to explore this idea.
Kevin Davey wrote an article about this:
Article
Although my easylanguage expertise is a bit limited, I'll try to do it manually as per his article and post what it looks like.
Thanks
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edgetrader
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| Quote: Originally posted by pkotzee | | I understand TS don't do well with running 2 or more strategies attached to separate charts on the same instrument, (...) |
Since a few months I'm running several strategies on the same symbol, in separate charts on same TS brokerage account. The strategies have overlapping
and sometimes opposing trades on most days they trade. So far, it worked fine without issues. You can use keywords like marketposition, setstoploss,
setexitonclose and they work fine on the individual strategy level (not portfolio).
The main thing you need to take care of are the attached settings marked yellow and red. Yellow settings are important because your theoretical
strategy position must force its live position, at least after some time the theoretical filled.
Two side issues:
1. For Eurex markets, your custom session needs to end at least a minute before exchange session for setexitonclose to work, or else your orders may
be rejected.
2. If opposing trades are exited at session end, you may buy and sell at the same time, paying double slippage and commission. Such situations can be
taken care of by using unmanaged orders, but it only saves you a bit of money and may not be critical depending on how often it happens. This works on
the portfolio level and only one chart can do it:
OrderTicket.CancelAllOrders(GetAccountID, Symbol, false);
OrderTicket.ClosePosition(GetAccountID, Symbol);
At Interactive Brokers, issue 2. is critical because IB thinks your orders may "cross" each other and they'd be rejected.
Thanks received (4):
+1 getty002 at 2020-07-25 22:16:45 +1 pkotzee at 2020-05-25 19:28:22 +1 admin at 2020-05-25 04:52:44 +1 Carl at 2020-05-24 10:33:35
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admin
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| Quote: Originally posted by pkotzee | Hi Peter,
Do you think it will be possible to develop some way to combine 2, mostly uncorrelated strategies into 1 on the same symbol? Each will still have
their own rules. I understand TS don't do well with running 2 or more strategies attached to separate charts on the same instrument, but since some
strategies don't trade often, I think it might be worthwhile to explore this idea.
Kevin Davey wrote an article about this:
Article
Although my easylanguage expertise is a bit limited, I'll try to do it manually as per his article and post what it looks like.
Thanks |
Whats an issue is will you limit it to one contract, even though you have two systems. If so this is a bad idea as you get one of the big winning
trades, and two of the small loosing trades.
This is indirectly touched on in the newest CL video
Look at low correlation of loosing trades, not low correlation of all trades
Thanks received (1):
+1 pkotzee at 2020-05-25 08:05:26
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pkotzee
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| Quote: Originally posted by admin | | Quote: Originally posted by pkotzee | Hi Peter,
Do you think it will be possible to develop some way to combine 2, mostly uncorrelated strategies into 1 on the same symbol? Each will still have
their own rules. I understand TS don't do well with running 2 or more strategies attached to separate charts on the same instrument, but since some
strategies don't trade often, I think it might be worthwhile to explore this idea.
Kevin Davey wrote an article about this:
Article
Although my easylanguage expertise is a bit limited, I'll try to do it manually as per his article and post what it looks like.
Thanks |
Whats an issue is will you limit it to one contract, even though you have two systems. If so this is a bad idea as you get one of the big winning
trades, and two of the small loosing trades.
This is indirectly touched on in the newest CL video
Look at low correlation of loosing trades, not low correlation of all trades |
The idea is not to limit it to 1 contract overall, but 1 contract for each strategy. So combining 2 strategies it will be able to trade 2 contracts
and so on.
And as you say, selecting multiple strategies for the same instrument based on low correlation of loosing trades/drawdown, combining them into 1
strategy but each underlining strategy can still trade 1 contract each.
Not sure if I explain it clearly.
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admin
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I still feel limiting to 1 contract is not a good idea for the same reasons, but its less so if the markets are different.
pa pro can cap your contracts to one, so you can test.
Likely you make less $ for the same drawdown is my limited testing
Best confirm what Im saying, as I could very much be wrong when its two different markets.
Trading the micro contracts might be a better option.
Totally understand the logic if your risk averse or low on capital, but I see it as higher risk in many ways to limit contracts numbers
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Carl
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Hi Peter,
A really nice functionality in GSB would be if we could choose a few different strategies and GSB creates a correlation matrix. Maybe a max of 10
strategies?
And another one. Choosing for example two different strategies and GSB calculates the total result of the two strategies combined.
Thanks.
Thanks received (1):
+1 cotila1 at 2020-06-10 13:57:11
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cotila1
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I really like those 2 ideas!!
| Quote: Originally posted by Carl | Hi Peter,
A really nice functionality in GSB would be if we could choose a few different strategies and GSB creates a correlation matrix. Maybe a max of 10
strategies?
And another one. Choosing for example two different strategies and GSB calculates the total result of the two strategies combined.
Thanks.
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admin
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Hi cotila1
Correlation matrix (especially negative correlation) is a good thing to look at.
We have portfolio Analysts pro to do all of this and much more.. Its poor use of limited programing time too add features that are already in another
product.
https://trademaid.info/pa.html
You also need to check for correlation to existing systems that have been made previously that might not be in GSB at the time.
Thanks received (1):
+1 cotila1 at 2020-06-14 10:24:32
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getty002
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Hi Peter,
1) Would you consider including the option for stop loss value to be a part of the search space?
2) Could you also allow "daily" bars as input. Currently we can hack it to 390 minutes, but if you start switching data1 time, it doesn't work.
Daily should be daily, regardless of the intraday timing.
3) Ability to prioritize my cloud worker to my manager (on a different machine). Currently I'm trying to run jobs with my manager and I can't get my
cloud worker to run my job, just other people's jobs  . How is the cloud
prioritization currently accomplished?
Thank you!
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RandyT
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| Quote: Originally posted by getty002 | Hi Peter,
1) Would you consider including the option for stop loss value to be a part of the search space?
2) Could you also allow "daily" bars as input. Currently we can hack it to 390 minutes, but if you start switching data1 time, it doesn't work.
Daily should be daily, regardless of the intraday timing.
3) Ability to prioritize my cloud worker to my manager (on a different machine). Currently I'm trying to run jobs with my manager and I can't get my
cloud worker to run my job, just other people's jobs . How is the cloud
prioritization currently accomplished?
Thank you! |
@getty002, I would second your requests for items #1 and #2.
Regarding #3, is your cloud worker on same local lan, or remote? If remote, you'll need to exchange "share keys" between the two instances. The one
running manager, and the other node running the workers. Note you also need licenses for both of these machines if that is not obvious.
Share keys can be set under App settings->Workplace
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getty002
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| Quote: Originally posted by admin | I still feel limiting to 1 contract is not a good idea for the same reasons, but its less so if the markets are different.
pa pro can cap your contracts to one, so you can test.
Likely you make less $ for the same drawdown is my limited testing
Best confirm what Im saying, as I could very much be wrong when its two different markets.
Trading the micro contracts might be a better option.
Totally understand the logic if your risk averse or low on capital, but I see it as higher risk in many ways to limit contracts numbers
|
A portfolio voting mechanism (say 3 of 9 strategies) to execute 1 order has the potential to mitigate the drawdown and retain a reasonable PNL/DD
ratio.
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getty002
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| Quote: Originally posted by RandyT |
Regarding #3, is your cloud worker on same local lan, or remote? If remote, you'll need to exchange "share keys" between the two instances. The one
running manager, and the other node running the workers. Note you also need licenses for both of these machines if that is not obvious.
Share keys can be set under App settings->Workplace
|
Thanks for the fast reply Randy! I tried sharing keys and this didn't work for me, it just kept running other jobs on the worker. I tried deleting
the gsb shared keys and it didn't run for me. The computers are on the same LAN - is there a different solution for this?
Thank you.
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RandyT
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| Quote: Originally posted by getty002 |
Thanks for the fast reply Randy! I tried sharing keys and this didn't work for me, it just kept running other jobs on the worker. I tried deleting
the gsb shared keys and it didn't run for me. The computers are on the same LAN - is there a different solution for this?
Thank you.
|
If they are on the same lan, there is no need for share keys.
And just to confirm, you have two licenses?
This might be something that Peter will need to clear up for you via a Teamviewer session...
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getty002
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| Quote: Originally posted by RandyT | | Quote: Originally posted by getty002 |
Thanks for the fast reply Randy! I tried sharing keys and this didn't work for me, it just kept running other jobs on the worker. I tried deleting
the gsb shared keys and it didn't run for me. The computers are on the same LAN - is there a different solution for this?
Thank you.
|
If they are on the same lan, there is no need for share keys.
And just to confirm, you have two licenses?
This might be something that Peter will need to clear up for you via a Teamviewer session... |
Yes, two licenses. Strange that the same LAN didn't work for me. However, moving my key to the top of the list did seem to do the trick. Really
appreciate your help. BTW, insightful comments throughout this forum from you and others. I'm learning a lot. :-)
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admin
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| Quote: Originally posted by getty002 | | Quote: Originally posted by RandyT | | Quote: Originally posted by getty002 |
Thanks for the fast reply Randy! I tried sharing keys and this didn't work for me, it just kept running other jobs on the worker. I tried deleting
the gsb shared keys and it didn't run for me. The computers are on the same LAN - is there a different solution for this?
Thank you.
|
If they are on the same lan, there is no need for share keys.
And just to confirm, you have two licenses?
This might be something that Peter will need to clear up for you via a Teamviewer session... |
Yes, two licenses. Strange that the same LAN didn't work for me. However, moving my key to the top of the list did seem to do the trick. Really
appreciate your help. BTW, insightful comments throughout this forum from you and others. I'm learning a lot. :-)
|
if you have these set these worker settings to true, or the same share key in your manager and worker - the workers should go if they are on the same
lan
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getty002
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First, let me say I appreciate what GSB offers and the capabilities it has. I realize I'm a new user here, and I may be met with some resistance, but
I'd like to make a request for a stable, more user friendly GSB release. In my short time here, I've noticed a breakneck pace of development in
constant new capabilities - this is indeed wonderful and welcomed. This has a side-effect though with such a small development team - QA and
usability can suffer. I'm not a full-time user of GSB, therefore I'm not using the software 10 hours a day to work through and conquer all the
gotchas and bugs in the software. When I do make time, it sometimes becomes an exercise in frustration on how to get things to work smoothly. What
I'm recommending is that at some point in the near future, perhaps consider taking a break from feature additions and transitioning to a rev. 1.1 or
2.0 where many of the operations in GSB are really streamlined and stable. Here are some examples to consider:
1) Stabilize the code - GSB often freezes on me and will crash. This can become a loss of hours to days of effort (FYI, this is on a 256 GB RAM
machine with 20% RAM utilization, Windows 2019 Server Ed., not a swap memory crash)
2) Stabilize the way file directories are used in GSB and the Resource Manager - I constantly am unable to have directories remembered or pointing to
the right place - this problem has been a thorn in my side since first starting to use your software. My current thorn is an inability to use RM at
all because of this problem.
3) In order to get fixes, I feel like I must use the Resource Manager since this appears to be the way you release code - but unfortunately without
proper QA, I may be fixing one bug while inheriting another one. Having a stable, reliable release is really important in software development, where
99% of your users will be. I don't always want the latest bells and whistles created while sacrificing stability.
4) Consider creating one integrated GSB application. I'm unclear why maxing out my one single machine requires me to start GSB manager and then 6
instances of GSB Worker. Having developed parallel processed code for other applications, it's my belief there's enormous overhead being wasted by
having so much open and having the data inefficiently passed between the manager and workers. Data is literally being copied from one directory to
another on my hard drive with GSB. Standalone is unable to max my machine resources and is therefore unusable to me. Further, why not have a single
application that just selects "use this machine" or "use personal cloud" or "use GSB cloud". I don't understand why there are so many applications
and it makes software development and releases much more complicated for you to manage. You have to release a new version of all of them. The
problem of optimization is very easily scaled and shouldn't require 7 separate applications running on a computer. There's an opportunity here for a
single application which dynamically identifies the machine's resources and begins multi-threading to use those resources fully.
5) Simplify the application settings where possible, many may be tweaked by Peter only. (i.e. inactive process affinity?)
6) Consider allowing an option for Performance filters to dynamically reduce thresholds if say less than 1 in 100 systems pass the initial thresholds.
I often find it difficult to find a set of input parameters that will meet the default filters, and it takes me about 15 minutes to discover this
because the ramp-up time takes a long time (this is related to #3 above). I *regularly* have to cancel my job after waiting 15 minutes because I
discovered my input parameters just don't produce enough solutions with the filters. How do I make this initial discovery process more efficient and
much faster?
Six items are likely enough for now to digest. :-) Again, please recognize I value GSB, so take these requests/comments as constructive criticism.
Thanks received (1):
+1 loclhero at 2021-05-24 13:20:51
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admin
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Hi Getty
Thanks for your comments.
1) GSB is very stable. If its not first think I would look at is do you have ram free, and large enough windows swap file.
I have gsb on 10 to 15 servers, and I dont have to go into any of them to fix them.
2) If you use c:\gsb as default install you will have few problems. I will fix your issues via teamviewer.
in time GSB will be more supportive of other folders. GSB can be moved to any folder and paths are relative.
However you will get less problems with c:\gsb. RM is designed for c:gsb and not other paths. Its going to be much more of a pain for other paths.
3) the latest build is normally the one with less bugs. Right now anything recent will be fine. Only changes are in macro / features for gsb
automation in the last few builds.
If your using gsb automation, you MUST have the most recent build
4) Totally understand why you say this. Normally apps work like this, but GSB was designed for speed. All maths is cached in ram. This makes
spectacular speed increases. A massive amount of programing time was spent try to make one GSB do the equivalent of many copies. It was a total
failure. If GSB did not have ram caching, there would be no need for multiple copies. 1 gsb would use 100% the CPU.
You could have that, but GSB is now 10 to 100 times faster. Simple choice I think.
The management via RM works great, so no longer an issue to manage.
A single app that you just choose standalone, or public or personal cloud has merit, but not much different to what we have now. You ideal i think is
a little better than what we have now. However GSB is not a mature product and has got years more of development work to go, and this is something
that would happen at the end of development, not the beginning. Im my opinion end of product is when developers fill with stuff that makes then
simple, bloated and often a pain for advanced users. Look at acronis true image. Wish I could wind back the clock 10 years.
5) we have this already. There numerous levels, advanced off/on, trial user, purchase user, beta tester and SU (me only)
6) Too hard to implement and I dont like the idea. Also I have 100 to 250 workers. Not finding a system in 10 minutes is totaly diffenrt to user with
one worker.
Its simple. On a new market, leave these settings very low. Then increase them once you find what works.
Peter
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getty002
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1) GSB instability is not a memory swap (RAM limitation) problem as stated in my note. It seems to occur when for example I do a create family on a
worker and interact with the application directly. When I have no interaction with the session, it doesn't seem to crash. Stating that yours are
stable doesn't mean that mine are.
2) My GSB is not installed to default, it's installed to Google Drive. Frankly this shouldn't matter - otherwise what's the point of specifying the
directory location?
4) Having developed parallel processing applications using Open MPI on Linux, I contend that there's overhead wasted with 7 applications open.
Caching in memory does not require multiple separate applications, although it was perhaps the simplest for you to implement. I believe the fact that
the same data is double and triple copied on my hard drive just to manage the different applications supports my argument.
5) Where is the purchased user, non-beta release?
Peter, it seems that you will continue to push forward unabated without regard to my comments on usability or stability, so I'll just be quiet now...
But please keep in mind that our time has value too. And at the moment, I feel like I'm stuck in a bit of a meat grinder with many hours lost due to
the above stated concerns.
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admin
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| Quote: Originally posted by getty002 | 1) GSB instability is not a memory swap (RAM limitation) problem as stated in my note. It seems to occur when for example I do a create family on a
worker and interact with the application directly. When I have no interaction with the session, it doesn't seem to crash. Stating that yours are
stable doesn't mean that mine are.
2) My GSB is not installed to default, it's installed to Google Drive. Frankly this shouldn't matter - otherwise what's the point of specifying the
directory location?
4) Having developed parallel processing applications using Open MPI on Linux, I contend that there's overhead wasted with 7 applications open.
Caching in memory does not require multiple separate applications, although it was perhaps the simplest for you to implement. I believe the fact that
the same data is double and triple copied on my hard drive just to manage the different applications supports my argument.
5) Where is the purchased user, non-beta release?
Peter, it seems that you will continue to push forward unabated without regard to my comments on usability or stability, so I'll just be quiet now...
But please keep in mind that our time has value too. And at the moment, I feel like I'm stuck in a bit of a meat grinder with many hours lost due to
the above stated concerns. |
1) Im happy to look into your stability issues if you can re-produce it. I agree that if my GSB are stable, doesnt mean yours is. Im not getting
issues from users over this, but thats not to say you dont have issues. Many issues are often experienced by one user, and if one user can't use GSB
well, I work hard to fixing it.
Right now I have a lot of lead programmers time going into bugs from one user. For this one user, the bug is critical (not just annoying) so
development work for all gets slowed down.
If you have a crash, exception file in \gsb\exceptions or windows event logs / screen shots are often helpful.
2) why it matters is RM is not configured to auto detect other paths. It can be manually configure to other paths, but thats not the default. SO that
makes it a little more complex and your not likely to get it right without some tech support.
3) I totally agree that is not more efficient. Personally I dont care on disk space. Ram is the issue. If i have 10 to 15 servers with an average of
256 gb of ram each, the cost saving to me (and other users) would be massive if I could run one GSB instead of 7 to 25 copies. As I said a lot of time
was put into this, and it was not successful.
5) Its the same exe file, but there are unlock keys.
Beta build has more bugs and issues, and more complex so not for everyone.
vip you read the warning
https://trademaid.info/forum/viewthread.php?tid=249
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admin
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Hi Getty002
Im intending to have option of path for all user settings fairly soon, but it will be in beta tester mode only. A number of users wanted this. Its in
the short term job que
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Systemholic
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hi Peter,
i have a wish list.
Can i suggest you consider including a new metric - Max Consecutive Loss to help user better select post build systems for further scrutiny and
testing. Current metric like NP,FF,PF and NP/DD is great but they do not really show how long a system risk (risk of loss) can persist before it
become profitable . I believe Max Consecutive Loss does give user a good idea and all things equal having this information can help user prioritise
systems to send into favourites for further testing. Not sure where is best to place this in GSB & will leave that to your best judgement. Many
thanks.
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admin
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| Quote: Originally posted by Systemholic | hi Peter,
i have a wish list.
Can i suggest you consider including a new metric - Max Consecutive Loss to help user better select post build systems for further scrutiny and
testing. Current metric like NP,FF,PF and NP/DD is great but they do not really show how long a system risk (risk of loss) can persist before it
become profitable . I believe Max Consecutive Loss does give user a good idea and all things equal having this information can help user prioritise
systems to send into favourites for further testing. Not sure where is best to place this in GSB & will leave that to your best judgement. Many
thanks. |
I would like the opinions of others on this, but the request is in the job que. Hope to have it in a few weeks. Other things are being worked on now
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