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Quote: Originally posted by meldinman  | 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? |
The current methodology likely will work on many markets unchanged. But what takes time on a new market is the session time(s) used, secondary
filter(s) entry type,
and then perhaps something that's unique to a market. ie CL dont enter on the first hour. (that will be done by genetic algorithm later)
Some markets require pattern tests, day of week / month patterns and until we have that, some markets wont be GSB friendly. Thats ok as if GSB never
got better, it could still crack many markets. Ive done nothing on KC at all so no comments.
One user put a lot of work with success into fx markets, but is not sharing this until they make an improved video. You also need to figure out if
lack of forward performance is market conditions. I looked at a very old non GSB ES system yesterday. Very linear curve for many years, but now at max
dd last few months. Thats my take on most day trading ES systems, regardless of them being human or machine designed. To me this implies they likely
are not busted. Nearly everything in metals is new highs. New indicators may also help things. There are a few new ones in the next build that im
sending to 3 early adopters today
Thanks received (1):
+1 meldinman at 2021-01-15 07:07:56
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admin
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This comment might not belong here, but this is one of the most read threads, and so I will put it here.
I have not digested the full implications of this... but recommend you all read
We are possibly in for significant stock market correction short term.
I am not an expert in this area, and have not fully digested the information.
https://www.zerohedge.com/markets/its-not-just-robinhood-red...
https://www.zerohedge.com/news/2021-01-30/robinhood-brink-co...
https://www.cnbc.com/2021/01/31/silver-futures-jump-7percent...
Comments are welcome
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meldinman
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As systematic traders our goal is strive to be agnostic to market direction and refrain from predicting future market behavior. That being said, I
think it quite apparent to most observers that the markets have entered into quite overheated territories. Unfortunately, markets by nature tend to
move against the consensus and it seems that most believe that a bursting of this bubble is imminent and are salivating for another march 2020 event.
If this is the case, we probably see some sort of rolling correction in time that will frustrate both sides. I'm not so sure how that will affect ES
systems but after a wild 2020 I will be happy to get through the next few months in one piece. In the meanwhile I continue to look at other markets to
develop as I see larger trends beginning to take form across various commodities.
Thanks received (2):
+1 admin at 2021-02-01 14:51:19 +1 coccigelus at 2021-02-01 11:20:33
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OUrocketman
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I think recent market events have certainly reinforced the importance of having as large a number of possible of noncorrelated systems across as many
markets as possible. Though, getting to that point is certainly a lot of work. I imagine diversification among secondary filters is also important
to achieve this.
Also, I think it's important to have some sort of 'index' that system developers can compare their performance to. This helps to better differentiate
between a bad system and a bad market. Say for example, you develop 30 gold systems, but trade the "best 5" from some starting time. How does say
the "best 5" initially selected compare to the average performance of the other systems not selected over time? If they all do terribly, and say, CTA
index for that market is down, then you can probably take comfort in knowing that particular market is just bad presently. If the systems not
selected are good, and the "best 5" are now the worst 5, that could be a fairly good indicator that some / all of those systems may need to be
replaced.
At least those are the kind of thoughts I have bouncing around in my head lately. It can be hard enough to develop one robust system though, much
less a robust library from which to draw systems.
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admin
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| Quote: Originally posted by OUrocketman | I think recent market events have certainly reinforced the importance of having as large a number of possible of noncorrelated systems across as many
markets as possible. Though, getting to that point is certainly a lot of work. I imagine diversification among secondary filters is also important
to achieve this.
Also, I think it's important to have some sort of 'index' that system developers can compare their performance to. This helps to better differentiate
between a bad system and a bad market. Say for example, you develop 30 gold systems, but trade the "best 5" from some starting time. How does say
the "best 5" initially selected compare to the average performance of the other systems not selected over time? If they all do terribly, and say, CTA
index for that market is down, then you can probably take comfort in knowing that particular market is just bad presently. If the systems not
selected are good, and the "best 5" are now the worst 5, that could be a fairly good indicator that some / all of those systems may need to be
replaced.
At least those are the kind of thoughts I have bouncing around in my head lately. It can be hard enough to develop one robust system though, much
less a robust library from which to draw systems. |
I think there is merit to what you say, and I have enough gsb and non gsb systems often to get an idea about how this things are going. Other clues
are market range
2005 2006 was very stressful for me, as nearly all my systems were day trading on ES or min russell. You just couldn't make $ doing that in that
period. With the wisdom of hindsite that is now very clear, but it wasn't at the time.
I don't have the resources to do what you ask, but the idea is good.
Im also reviewing some old system setups that were used on various markets in gsb (not that have been published) and its very clear that setup is not
correct. IE I have a number of systems that are on the wrong session time. They happen to be going well but I expect them to fail earlier than those
on the correct session time.
Thanks received (1):
+1 OUrocketman at 2021-02-01 21:17:26
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Bruce with additions from me made good progress on emini dow (@YM)
no data pre 2007 was used in the build process.
GSB needs some new features to make this as well as I would like. They were planned after customizable indicator lengths
Whats really good sign is the same system went well on ES with zero changes in parameters too.
Emini russell - RTY also, but not as good.
    
Whats also great is this trades very different to anything else I have seen
Thanks received (2):
+1 cotila1 at 2021-02-10 13:12:03 +1 RandyT at 2021-02-10 08:25:37
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OUrocketman
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Bruce and Peter,
Those are very nice results. Noticing the Long and Short profit gap is smaller than what I’ve observed on the handful of systems I currently trade as
well!
Was this done with essentially the same methodology we are following on gold or are there some market specific nuances here? Also, do you view
performance on similar markets as a must-have in a candidate system or do you consider it icing on the cake when it does happen?
Also, another general question I have on walk forward testing— how many months do you recommend we leave out of sample for the walk forward parameter
optimization? For example, Gold currently we have our IS period end on or around 10/09/2020. Should we optimize until, say, 12/31/2019, and then
verify the optimized parameters result in improved performance over the period from 1/1/2020 until today? Or, am I really putting too much thought
into this and optimizing over the entire range is generally fine, provided parameters are stable and WF OOS looks like current parameters performance?
Thanks!
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admin
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| Quote: Originally posted by OUrocketman | Bruce and Peter,
Those are very nice results. Noticing the Long and Short profit gap is smaller than what I’ve observed on the handful of systems I currently trade as
well!
Was this done with essentially the same methodology we are following on gold or are there some market specific nuances here? Also, do you view
performance on similar markets as a must-have in a candidate system or do you consider it icing on the cake when it does happen?
Also, another general question I have on walk forward testing— how many months do you recommend we leave out of sample for the walk forward parameter
optimization? For example, Gold currently we have our IS period end on or around 10/09/2020. Should we optimize until, say, 12/31/2019, and then
verify the optimized parameters result in improved performance over the period from 1/1/2020 until today? Or, am I really putting too much thought
into this and optimizing over the entire range is generally fine, provided parameters are stable and WF OOS looks like current parameters performance?
YM was done with entrytype crossandClosed sf CloseToHighLow3
This is all very new and I don't normally even use crossandClosed
(A feature that was experimental and should not have been released)
I think the better way would be tertirary filter CloseToHighLow3
and sf Not normalized CLoseD
I have not used tertiary filters at all yet. Im more keen for filters which is in GSB but not populated with filters that are useful yet
I optimize over all data in the date file. (2007 to 2020)
This gives a few more months OOS, but I always use wf parmaters, not non wf.
Note also wf optimizes over global dates, not dates. This is a long standing bug that needs to be fixed.
Hope this helps. good questions and Im playing with YM right now.
Thanks! |
Thanks received (3):
+1 Piet at 2021-02-11 00:41:47 +1 meldinman at 2021-02-10 18:43:24 +1 OUrocketman at 2021-02-10 17:56:32
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admin
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Im just starting on YM today, not sure how much I will pursue it.
Big picture is I have not build ES systems on GSB for perhaps 2 years, ... and GSB is so much better at building systems since then.
My assumption on YM & other had been, we need aritectural changes. IE pattern filters, tertiary filters etc
Good chance I'm wrong. Just did a test with 139 systems in Favourite B. Thats good for end result of lots of testing on a market, so considering IM
just starting its excellent.
Obervation is its the newer inidcators that work well, not the original 47 or so
 
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admin
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An update on YM.
YM is working exactly like I would have expected GSB to work years ago, with no changes to what we always did- except have the beta indicators
quick results look like secondary filter of closeLessClosedbpv (VIP NOT GA)
My test setup is
@YM (NOT @YM.D) 830 TO 1500 Central USA time 30 min bars
data 1.1.2007 to 9.30.2020
fitness np/dd
using all the same macros as we do for gold
one pass green max 10 indicators
I am not using tertiary filters. Not sure why but they did not work for me
YM is working great, esp as this is first runs on it, and there is always lots of room to improve. I would expect ES to be even better
Thanks received (1):
+1 NickW at 2021-02-11 07:46:15
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meldinman
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I'm getting similar things as you, though I figured this may be a fun time to give tertiary filters a try. Only thing seems to be a heavy bias towards
2008 and 2020 where the bulk of profits are. WF doesnt seem to like that...
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update again.
Ive think I made a critical mistake in dates of indicator selection, so need to re do everything.
I used post 2017 dates instead of pre 2017 dates. This breaks out of sample seperation from in sample.
Will keep you all informed.
Bottom line is I like Bruces YM system in that OOS pre 2007.1.1 is great which was not the case on the last few of my YM systems I tested
and it worked well on other markets.
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admin
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I made another mistake
tried 5 different secondary filters 4 times, but has secondary filter on not normalized closeminusCloseDbpv by mistake (not ga and the SF I chose)
This means sf was closeminusCloseDbpv
here is the variation in fav B for what is 10 identical tests.
This shows the variation possible on identical tests, and why I run 4 tests to get a more accurate picture.
Ave. Fav. B 49.85
Fav. B: 25
Fav. B: 25
Fav. B: 25
Fav. B: 27
Fav. B: 33
Fav. B: 34
Fav. B: 34
Fav. B: 36
Fav. B: 39
Fav. B: 41
Fav. B: 42
Fav. B: 44
Fav. B: 56
Fav. B: 58
Fav. B: 59
Fav. B: 60
Fav. B: 76
Fav. B: 78
Fav. B: 102
Fav. B: 103
On issue is on YM is these indicators gave really good results, but don't match TS. the issue is in GSB not ts code
CloseToHighLow8
CloseToHighLow7
Im now trying other sf on YM again, but keen to get those faulty indicators fixed
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When I get a new system on a new market, I like to optimize each input individually in TS over a very wide range, find the rough range to be used
then optimize them all together in EWFO
This takes ages to do in human and cpu time, but has been very worthwhile at times
There are two better ways to do this.
1) use the ts API. Docs included.
2) put inputs into a array multi dimensional array in ts, with each parameter set having a index number
then all inputs in ts can indirectly be optimized in one pass.
This is not explained well but you might get the idea.
Is anyone willing to take this project on?
Attachment: Login to view the details
Attachment: Login to view the details
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+1 cotila1 at 2021-02-13 10:30:13
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sfuser108
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Can someone please clarify what "inputs" need to be optimized in TS? The systems that get generated by GSB don't have any inputs?
Not sure what optimization is being referred here.
Thanx
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Carl
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Hi sfuser108,
Please see the GSB code in TS.
There is a block called // inputs
And then you can see the text "vars:"
Change vars: to inputs: and the inputs will become visible in TS
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admin
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| Quote: Originally posted by sfuser108 | Can someone please clarify what "inputs" need to be optimized in TS? The systems that get generated by GSB don't have any inputs?
Not sure what optimization is being referred here.
Thanx
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they don't need to be optimized as GSB does this, but first time on a new market I like to investigate a system in much more detail
Thanks received (1):
+1 sfuser108 at 2021-02-12 08:34:56
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admin
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Im doing a big run on ym.
3 more days work to test all sf.
email me share key if your willing to get the info and contribute you CPU
Likely I will email out a summary of gold in a weeks time. Gold developemtn is stalled as I'm waiting on updates to GSB - custom parameters.
Regardless if I stoped work on gold now, I would be very happy. Have finalized my gold portfolio with 9 systems, caped at max of 5 contracts.
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Piet
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send you an email for my 8 machines. Like this kind of contribution!
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+1 admin at 2021-02-12 03:56:17
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sfuser108
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Steps After Families are found
Fundamental question - How do you go about picking the right family to trade in real time after you have created the families and you get several..
Lets say off the 100 Fav B, the families result in the following
Family/Number of members
1/19
2/8
3/6
4/6
5/4
6/2
7/2
8/2
etc
What procedure do you do after to arrive with the ultimate system to take to TS for possibly live trading?
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admin
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| Quote: Originally posted by sfuser108 | Fundamental question - How do you go about picking the right family to trade in real time after you have created the families and you get several..
Lets say off the 100 Fav B, the families result in the following
Family/Number of members
1/19
2/8
3/6
4/6
5/4
6/2
7/2
8/2
etc
What procedure do you do after to arrive with the ultimate system to take to TS for possibly live trading? |
Great question
I like the top few families as they are most robust as less sensitive to parametaters.
wf them
look for good astab-c and less important rasta-c
look for brown curve (oos) that doesn't go down or flat
look for a linear system equity curve
Here are some very good examples.
Note GSB now users astab-c and rstab-c in the graphs which is superior to astab and rstab
Thanks received (2):
+1 Siem at 2021-06-01 02:37:04 +1 cotila1 at 2021-02-13 10:30:35
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admin
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I just emailed out a lot of info on building gold systems to those who contributed to the gold project.
If you did contribute, and your not on this email list - then email me. I can then verify if you gave me your share key.
Whats included in the email out is what secondary filters work on the multiple session times. (All were tried = a lot of CPU power went into this)
Gold basically has 2 very different session times.
I showed out of sample results of all systems, real time results of all systems, and some tricks that are unique to gold to get better out of sample
results.
For those who did not contribute, I'm fairly open about the 2am to 330am info, but not sharing about the other time frame.
I just think that's the fair thing to do - reward those who contributed, and if I gave everything away - then that's no reward for the contributors.
the 2am to 330 am systems are the most profitable, but other time frame & secondary filters give significant diversification.
If you missed out, you can at least contribute to the dow project... email me your share key.
Thanks received (2):
+1 OUrocketman at 2021-02-16 01:09:26 +1 Bruce at 2021-02-15 23:29:23
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admin
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I was asked, how doe the share key work.
open a worker in c:\gsb\workers
go to app settings, share key
enter say your email+random code
joeblogs@gmail.com981234
save app settings.
kill all workers (via gsb resource manager)
start some workers via gsb resource manager)
you can use any name, but using email makes it easier for me to track the contrubutors
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admin
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Here is another YM system. I dont have high faith in this system, and not sure I will put the time into it until I have better YM setup
The oos is in blue. pre 2017 and post 20200930
Its a wonder to behold its current winning streak.
counter trend and trend following.
Unlike Bruces YM system, it didn't do well b4 2007. This is an orange flag.
 
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meldinman
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If you where more interested in this equity curve what further work would you do? Would you individually WF each parameter in EWFO to see if
parameters are robust? would you first try other similar iterations in GSB?
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