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admin
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Quote: Originally posted by mdb  | | Thanks, this kind of information is very helpful to new users like me. The program is so versatile I get lost and forget where I am heading.
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agreed. The direction we need to go in to have a macro for each market.
This all takes time and when we work on a new market, we find new things that would apply to all older ways of building systems.
IF GSB was stagnant would not be an issue, but I could easly see a decade of work to go. Nice problem to have as hiting a ceiling where there is no
room to improve is frustrating.
If your new, and havnt purchased, various features are left out for you.
The logic is there is enough to work on for a new user, so keeping it simple is best.
Also some new features are experimental. We dont know if they work and or have bugs
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admin
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Likely Monday, I will do a small GSB article called Meatpies, if you worked in a meat pie factory would you eat one.
Reminds me of a story.
I went into a meat pie factory to do some server repairs 20 + years ago. I weighed about 63 kg at the time, 5'11 feet high.
security guard is supposed to stop all exiting vechicals to search for stolen food.
He said to me, your too thin, no need for a search. ....
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bizgozcd
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| Quote: Originally posted by admin | Likely Monday, I will do a small GSB article called Meatpies, if you worked in a meat pie factory would you eat one.
Reminds me of a story.
I went into a meat pie factory to do some server repairs 20 + years ago. I weighed about 63 kg at the time, 5'11 feet high.
security guard is supposed to stop all exiting vechicals to search for stolen food.
He said to me, your too thin, no need for a search. .... |
So...what exactly are you trying to say? 
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admin
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this is continuation of the article on previous page " posted on 16-12-2020 at 11:38 PM"
Earlier I told my meat pie story.
If you work in a meat pie factory, will you eat a meat pie? There has to be a certain % of meat
but meat could be snouts, ears, tongue roots, tendons and blood vessels.
So the moral is avoid cheap meet pies.
How does that relate to GSB
A lot of work has gone into GSB so it doesn't produce systems that are flawed.
IE
IF LOW <= HIGH & CONDITION2 THEN BUY
Well low will always be less than high, so you have redundant logic.
Now entry types
each market normally has a strong bias to certain entry type
GC & ES to cross, CL to compare 2
It is critical to get the correct entry type for each market, and do not run multiple entry types at once. One
commend is the 3 cross entry types are so similar, there is little difference between them
Some users use any indicator cross or no conflict cross
I tried it of later with success on gold.
v1=inidcator1
v2=inidcator1
v3=inidcator1
So if any of these indicators cross say 0 it trades.
This in practice allows 2 indicators that are totally crap to be in the system
But when I dig down into the system..
Here was results of a system using AIC
v1 = inidcator1; //13 loosing trades only.
v2 = inidcator2; //9k8 pf 2.76 by itself. It was about 20 trades so statistically non significant
v3 = indicator3;//60k pf 2.39 by itself. Nearly all the profit made by this one indicator. About 300 trades
Often i got moonsine as one of the crap aic inidicators
So if you used AIC, and im less keen on it still - you need to comment out all but 1 indicator, and see where the profit is.
Next build of gsb has a indicator called zero. It returns only zero
v1 = inidcator1;
v2 = gsb_zero; so if aic gives this you know its not used.
v3 = indicator3;
should you use zero with compare or cross entry types and multiple operand, zero will NEVER be used
the reason is
inidcator1*zero*indicator3 will always = 0
Thats the beauty of multiply operand in gsb architecture, and why its slightly better than add operand
I suspect the same flaw is in No Conflictcross entry type, but I havnt looked into that.
 
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admin
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can all users look for workers that say pending stop
Icon will be 107 (pink) or icon about 96.
If in doubt kill all workers and restart them.
Im not sure why this has occurred, but I cant kill them on my end.
Update on the gold project. Im working on indicator selection. The green pre filter on indicators works well, but I feel there is big room for
improvement.
I dont yet have the solution though
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admin
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problem above is resolved. ignore
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admin
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Just an update on Gold
Ive found one indicator that works very well, and making other indicators that are improved on this.
Need updates to GSB to test some new methods - user definable parameters. Its not that simple to do as we need to preserve compatibility with older
indicators.
Also making changes (new versions) of other indicators.
My limited testing shows highest high/lowest low works better on daily bars than intra day - and there is a lot less possible combinations of lengths
needed
Here are my current gold systems, im trading all or most of these on eminis
Thanks received (2):
+1 bizgozcd at 2020-12-31 07:54:31 +1 cotila1 at 2020-12-31 05:27:32
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meldinman
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Hi peter,
Any thoughts on adding indicators that use 2 data sources?
Some of my mean reversion systems use relative value between two data streams. I think there would be a lot of potential systems if one could add
relative value/correlation indicators.
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bartek
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idea of improvements
Peter, Have you ever tried to implement market filtering approach, where you recognize if market is in trend or trading range and depends on the
recognition, apply different set of indicators? From my discretionary trading experience, type of the market is the first thing to recognize to be
successful in day trading.
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admin
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| Quote: Originally posted by bartek | | Peter, Have you ever tried to implement market filtering approach, where you recognize if market is in trend or trading range and depends on the
recognition, apply different set of indicators? From my discretionary trading experience, type of the market is the first thing to recognize to be
successful in day trading. |
I thought about it in the past (just in ts) tried it, and never succeeded
Though I think other traders have succeeded.
What I found it the markets that were not trending how I like often were profitable, just less profitable. ie if vix
This whole concept is easy to curve fit, but if we applied the logic to 50,000 or 300 systems if would be much more solid.
Im open to ideas on all of this.
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admin
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| Quote: Originally posted by meldinman | Hi peter,
Any thoughts on adding indicators that use 2 data sources?
Some of my mean reversion systems use relative value between two data streams. I think there would be a lot of potential systems if one could add
relative value/correlation indicators. |
I have thought about it, and I think the idea has merit.
Have not talked to programmers about it yet, but will do so.
There are tweaks that are simple in the pipeline that have got immediate significant update. Whats been worked on right now is user customizable
parameters, and a number of new indicators
Thanks received (2):
+1 bartek at 2021-01-04 20:57:35 +1 meldinman at 2021-01-04 20:56:35
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bartek
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| Quote: Originally posted by admin | | Quote: Originally posted by bartek | | Peter, Have you ever tried to implement market filtering approach, where you recognize if market is in trend or trading range and depends on the
recognition, apply different set of indicators? From my discretionary trading experience, type of the market is the first thing to recognize to be
successful in day trading. |
I thought about it in the past (just in ts) tried it, and never succeeded
Though I think other traders have succeeded.
What I found it the markets that were not trending how I like often were profitable, just less profitable. ie if vix
This whole concept is easy to curve fit, but if we applied the logic to 50,000 or 300 systems if would be much more solid.
Im open to ideas on all of this. |
So idea is to divide market to 3 or 2 types: e.g. Trending, Trading Range, Reversal. Try to recognize these types using some indicators like ADX or
similiar. In next step run optimization engine for specific type with set of indicators. In my opinion this is how current institutional computers
run. If we have strong trend, they start trend robots adding to the market. If Trading Range they run robots based on such indicators like
stochastics.
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bartek
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idea of improvements
My another idea of improvement is how to manage computational power in GSB community. I think we can apply P2P logic where we measure upload/download
power. With such logic the more power we share, more we can use. I think this significantly increase amount of servers in the GSB cloud. The GSB cloud
is the main reason I've purchased license.
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admin
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Hi Batek, can you start by finding some things that are know to work on some existing TS systems?
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bartek
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| Quote: Originally posted by admin | | Hi Batek, can you start by finding some things that are know to work on some existing TS systems? |
Of course I can try to find out my own developed system having some promising results. I have TS account. But I think trying to optimize for specific
systems will take decades vs GSB with implemented methodology. This is worth considering.
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admin
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| Quote: Originally posted by bartek | | Quote: Originally posted by admin | | Hi Batek, can you start by finding some things that are know to work on some existing TS systems? |
Of course I can try to find out my own developed system having some promising results. I have TS account. But I think trying to optimize for specific
systems will take decades vs GSB with implemented methodology. This is worth considering. |
Ive not studied market regimes at all, so need to see some specific examples of what would work before this is put into GSB. Im open to doing it, but
likely this is a long term goal, not short term. There is many more years development work to go onto GSB - as im sure you appreciate.
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RandyT
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| Quote: Originally posted by admin | | Quote: Originally posted by bartek | | Quote: Originally posted by admin | | Hi Batek, can you start by finding some things that are know to work on some existing TS systems? |
Of course I can try to find out my own developed system having some promising results. I have TS account. But I think trying to optimize for specific
systems will take decades vs GSB with implemented methodology. This is worth considering. |
Ive not studied market regimes at all, so need to see some specific examples of what would work before this is put into GSB. Im open to doing it, but
likely this is a long term goal, not short term. There is many more years development work to go onto GSB - as im sure you appreciate.
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I believe that SF and TF mechanisms provide the way to apply filters to certain system logic to determine what type of market the system is applied
to. It may just be a matter of having indicators that are reliable for identifying these market regimes, which is the bigger challenge IMO.
Some of the recent discoveries with length applied to SF indicators may also apply.
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admin
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Randy, I think it would be good to do some reading on the topic, and try some known concepts on existing systems. I think BTA group do this sort of
thing, but im not sure if its under NDA. My problem is things i have tried over the years might help a little, but come at the cost of still reducing
trades that are still profitable to trade. Its just not a subject I have persued greatly.
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admin
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just an update on gold. New stuff I am trying is going really slow as its taking lots of human time (mine) and gsb still needs updates to custom
parameter.
While I feel I can do better in gold, I can say existing systems are performing well. I put that down to ideal market conditions
account1 14.2 profit
account2 12.8k profit
doing 8 emini contracts all up, but some started more recently
shown also feb month of gc results
  
Thanks received (1):
+1 cotila1 at 2021-01-11 13:24:59
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admin
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I would recommend you all look at the last post on pa pro, as I think its quite significant for all users.
https://trademaid.info/forum/viewthread.php?tid=127&page=3#p...
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erlendsolberg
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When selecting systems to walk forward out of the B-systems with the new Gold methodology, do you recommend sorting (creating families) by IS, OOS or
the whole period (IS + OOS)?
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admin
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| Quote: Originally posted by erlendsolberg | | When selecting systems to walk forward out of the B-systems with the new Gold methodology, do you recommend sorting (creating families) by IS, OOS or
the whole period (IS + OOS)? |
a good question.
when the macro has finished running stats, Its on the last oos period (2017.6 onwards)
This definitely should not be used.
Ive used the In sample period a year ago, but later are using all dates.
I dont think its critical.
The top families are ranked first but how common they are, then by the fitness with the dates that are used.
So what dates are used will not affect the top families chosen, but will affect the parameters.
A wf should be trying a wide range of parameters regardless.
If you need me to explain in more detail I can do so in this theory.
But the bottom line is use all dates, else In sample
Thanks received (1):
+1 erlendsolberg at 2021-01-13 03:38:51
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meldinman
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interesting discussion. after some time using GSB I have seen some systems I created fail out of sample and some work well. SO far GC methodology has
worked quite well for building GC systems but on other markets it struggles. Seems like each market has its own wrinkles that one must account for to
get it right. Do you find that to be the case with the current methodology? Would you look at an equity curve of a potential CL system the same way as
a GC system? is it just an understanding of each market and idea of what a suitable system should look like?
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admin
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| Quote: Originally posted by meldinman | | interesting discussion. after some time using GSB I have seen some systems I created fail out of sample and some work well. SO far GC methodology has
worked quite well for building GC systems but on other markets it struggles. Seems like each market has its own wrinkles that one must account for to
get it right. Do you find that to be the case with the current methodology? Would you look at an equity curve of a potential CL system the same way as
a GC system? is it just an understanding of each market and idea of what a suitable system should look like? |
GC is perhaps the easiest market, but thats also because we figured out whats unique to it. There still is significant upside to go in GC. Some not
released indicators show promise too.
CL has also been harder since end of april, while as gold has been as good as it gets the entire year.
Im not sure what you mean exactly by "Would you look at an equity curve of a potential CL system the same way as a GC system?" the the likely answer
is yes.
What we learnt from GC, will likely have to be re-applied to all markets.
But you are very correct. Each market has something unique to it, and once thats found much better success awaits.
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meldinman
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Well using GC methodology on other markets has given mixed results. Which is what makes me curious. Seems like each market you have developed had
tweaks/updates to the methodology ES - CL/NG - GC etc. My testing using GC methodology on KC has produced some strong systems in theory although
forward observation has been lackluster. I have some hunches as to why (similar to things you observed on CL systems) but I have yet to prove that.
One may think that this is due to certain markets being "easy" for GSB to find systems, but it is more likely based on the nature of how each market
moves and how to use GSB to capitalize on that. Genetic algorithms are like blood hounds, they will do a good job tracking down the scent you are
after but if you give them the wrong scent they wont find what you are looking for.
Do you believe, after developing systems on various markets, that the current methodology will continue to hold up across various markets or that one
must understand the unique characteristics of a market and the methodology will evolve to something different for each market? How much weight would
you put to developing a robust method across all markets vs finding a strong method that works for a particular market?
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