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bartek
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Quote: Originally posted by admin  | Update for the week.
Its been very successful in development.
I have modified any indicator cross entry type (AIC). Called AIC2
Im not getting better system building over AIC, but I have found a way to use it regardless.
Later I'm going to explain a lot about AIC entry type. In the past I have been a bit negitve towards it as it has some weakness (that is easy to over
come)
There are things nearly everyone doesn't know about AIC that need to be explained.
What I have done post system building is to allow all entries to trade.
This means you can get up to 3 trades in the same day, though 3 is very rare.
I enclose a system report. Included is 1 tick slippage and $2.40 per side slippage.
Give me an hour and I will post more.
This is combine with filters. (Out in the next build of GSB)
The filter I'm using is closelessCloseDbpv. Its VIP to understand this is NOT normalized, while everything else in GSB is normalized. Normaliztion is
an indicator is adjusted to be in the range of -100 to 100 regardless of its value
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Peter, results are really impressive! Awaiting your explanations 
Thanks received (1):
+1 admin at 2021-04-05 03:33:53
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rws
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I rather look at it just like it is an XY graph where the
parameter is defined on the X and the Y is the profit, or
drawdown or some other common metrics.
By defining the max and min profit for the shifts, you can
define how the profit curve has to depend on the parameter change.
You just define how that graph would look like either convex or hollow,
both can have a use.
I think the way it is in Stratasearch is oke but only 1 shift
should not be adding 0.1, 1 or 10 to a parameter but a
predifined% rounded to an integer of that parameter.
And Stratasearch chooses an average of the + and - shift
which is not good. So suppose RSI 10 has 100 k profit and
RSI 9 has 90 k profit and RSI 8 has 110k profit. In this case
the 1 shift result would show 100 k which seems like it has
a good stable area but that is far from the truth.
This is how I define it in SS
1S is the return for one shifted
$V_1SAvgAnnReturn/ $V_AvgAnnReturn > 0.9 and < 1.1
$V_2SAvgAnnReturn/ $V_AvgAnnReturn > 0.8 and < 1.2
$V_3SAvgAnnReturn/ $V_AvgAnnReturn > 0.7 and < 1.3
That helps finding good OS
But since this is an average it should account for both
the -shift and + shift.
This is not possible in stratasearch but just as an example
$V_+1SAvgAnnReturn/ $V_AvgAnnReturn > 0.9 and < 1.1
$V_-1SAvgAnnReturn/ $V_AvgAnnReturn > 0.9 and < 1.1
$V_+2SAvgAnnReturn/ $V_AvgAnnReturn > 0.8 and < 1.2
$V_-2SAvgAnnReturn/ $V_AvgAnnReturn > 0.8 and < 1.2
$V_+3SAvgAnnReturn/ $V_AvgAnnReturn > 0.7 and < 1.3
$V_-3SAvgAnnReturn/ $V_AvgAnnReturn > 0.7 and < 1.3
If a shifted parameter result is not in the range the system is
simply filtered out. In SS you can have up to 5 shifts.
You can either use these statements for a filter and/or
you can use them in a custom formula so it optimizes
on a certain outcome. I optimize them also in the customcriteria
in a way that it searches for a high shifted result.
So for example NPxATx
x$V_+1SAvgAnnReturn/ $V_AvgAnnReturn
x$V_-1SAvgAnnReturn/ $V_AvgAnnReturn
In this case I restrict the maximum value of the shifted
outcomes because otherwise it could find a
low current profit where the shifted profit has a very big value.
You don't want that result either.
There are some more tricks to work around that like having
the shiftedstatement on the power of a smaller than 1 exponent.
| Quote: Originally posted by Carl | | Quote: Originally posted by rws | I have been thinking, if you discard the dependecy of parameters
and still do a parameter check for every parameter to avoid peaks
then you can reduce the number of calculation to 10x6= 60 which
is doable. I think it would be much better then the other alternatives.
If all used parameters are not in a peak area it is hard to imagine that all together they do form a peak, rather the opposite.
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Hi rws, I agree.
If we are looking for a stable total outcome, this means every component in itself must be stable as well. Otherwise it could have been a coincidence.
Maybe it is enough to test every single indicator with the same indicator but changing the parameter values by -30% and +30%?
So suppose GSB comes up with a strategy that includes RSI(X).
Just compare the two couples RSI(X) RSI(X-30%) and RSI(X) RSI(X+30%).
Analysis results for example correlation and/or T-test?
For example, look at the correlation between:
RSI(8) and RSI(11) versus ROC(8) and ROC(11)
RSI stability looks good. Correlation 98.6%.
ROC stability not as good. Correlation only 85.6%
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admin
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Im still very open to this idea and its been passed onto the programer to comment, but here is an observation.
ts with wfo use to be able to optimize +=5% and +- 10% on the parameter range or both
of course this means opt takes 3 or 6 times longer.
It was many years since I did this, but I observed it degraded the OOS results.
I tried on quite a few systems.
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rws
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The thing is if you have peaked area with a higher IS profit then you have a higher OS if you manage to get in that peaked area OS.
If market conditions change it could be that a less peaked area performed better OS. But in the less peaked area the OS/IS could be better but IS
could have been already less to start with.
If you run several systems and often manage to find at least some in the peaked area OS then I also wonder how much sense it makes.
I also find systems that GSB builds already have a predefined structure where it often already performs very well OS. But still there is often quite
some difference between systems IS and OS.
I find when optimizing on 450 stocks, OS is very similar to IS when there is a less peaked area in SS. But SS allows many type of different systems
which have complete different characteristics unlike GSB. The priority to have a broad working parameterset might be more important in SS.
GSB works good OS out of the box but compared to SS I really miss the time functions and RAR. Like how many bars the average trade takes and how many
bars losing trades take. Of course you can select the systems based on the results but letting it optimize on shorter trades could have found shorter
trades initially with the same profit. I suspect that optimizes less efficient for systems that go overnight because I cannot let the GSB optimizer
know that a system that takes half the number of bars to have the same profit is better. The custom criteria does not allow me to let that know to
the optimizer.
Please correct me if I am wrong or which other tools there are.
If it is daytrading that is less of an issue but still you rather would rate systems with the same profit in less bars higher than systems that need 2
times as much bars to have the same profit. Also, you could do more trades and could have less trades that go nowhere.
In SS I found that longer trades with the same profit definitely have a much worse OS/IS rate.
| Quote: Originally posted by admin | Im still very open to this idea and its been passed onto the programer to comment, but here is an observation.
ts with wfo use to be able to optimize +=5% and +- 10% on the parameter range or both
of course this means opt takes 3 or 6 times longer.
It was many years since I did this, but I observed it degraded the OOS results.
I tried on quite a few systems.
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Thanks received (1):
+1 meldinman at 2021-04-15 18:51:55
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admin
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@rws. no reply from me on this today. tied up on other things
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Carl
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My livetrading CL strategy result has been flat for almost a year, but started to go up again!
Thanks received (5):
+1 Bruce at 2021-04-15 16:52:52 +1 SwedenTrader at 2021-04-15 15:01:48 +1 bartek at 2021-04-15 10:17:27 +1 meldinman at 2021-04-15 08:41:04 +1 admin at 2021-04-15 06:50:00
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admin
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This is a job for the most senior programer, which means if it happens (Seriously being considered) it wont be for some months.
If one of the secondary programmers could do it, it gets done quickly
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admin
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This is the new settings files for trial users.
They are much better than old settings and use the new filters of the latest GSB.
All users should look at these.
It has secondary filter closelesshighlow3 and filter closelessprevd (not normalized)
if your in beta tester mode, choose AIC, otherwise cross under entry types.
unzip data.zip into c:\gsb\data. Overwrite any files.
It has macros for es nq ym, data files etc
as is, you can see 50% approx out of sample using indicators I know work well on NQ
This is not how we build systems however. (see the most recent gold videos)
Note the following should be changed
change this to 100 , 0
choose nq/es/ym data. from optsettings
run macro 1 to get correct nq/es/ym settings
run macro2 to chose the top 10 inidcaotrs
run macro3 to build 50,000 systems and get the top 300 etc
Its recommend to run macro2&3 in GSB automation, but it doesn't have to be the case.
 
Attachment: Login to view the details
Thanks received (7):
+1 Bruce at 2021-04-22 17:32:35 +1 OUrocketman at 2021-04-21 17:34:50 +1 bizgozcd at 2021-04-19 08:00:59 +1 sfuser108 at 2021-04-19 05:25:57 +1 bartek at 2021-04-19 03:24:59 +1 Piet at 2021-04-19 03:14:36 +1 Carl at 2021-04-19 03:00:25
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admin
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feedback on the above welcome. Good change it will work fine on some other markets too
Ive been out of action today. TS is constantly crashing when the markets open. This has kept me out of action for some time.
comment from user Carl
Just downloaded the 62.12 installer, did a clean install and ran macro1. Nothing happened.
It’s because GSB.exe.config is not included, macro1 sets the available entry modes to 0.
After running GSB.exe.config, 2 entry mode are activated and systems are being build.
I will get this fixed soon. It only affects trial users as long as you have gsb.exe.config (which gives you extra features and indicators)
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Carl
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| Quote: Originally posted by admin | feedback on the above welcome. Good change it will work fine on some other markets too
Ive been out of action today. TS is constantly crashing when the markets open. This has kept me out of action for some time.
comment from user Carl
Just downloaded the 62.12 installer, did a clean install and ran macro1. Nothing happened.
It’s because GSB.exe.config is not included, macro1 sets the available entry modes to 0.
After running GSB.exe.config, 2 entry mode are activated and systems are being build.
I will get this fixed soon. It only affects trial users as long as you have gsb.exe.config (which gives you extra features and indicators)
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For now:
1. run macro1
2. check if one or more entry modes are enabled
If not, then manually enable entry mode cross in the left GSB menu.
3. start build process
Update:
I installed GSB again on another computer.
Everything is working fine. Entry mode cross enabled at start-up and after running macro1. Cannot reproduce the issue I saw a few days ago.
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meldinman
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has anyone else been having a large amount of TS crashes this past week? Im wondering if there may be a bug in new GSB codes causing it?
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NickW
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did you install new gsb scripts lately?
did you try to roll back to previous version?
not experiencing issues in MultiCharts.
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meldinman
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Yes I im using new gsb scripts, which is why Im wondering if its a function of some code bugs. Working with TS now but seems like my system is getting
tons of .net errors from TS charts
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bartek
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| Quote: Originally posted by admin | feedback on the above welcome. Good change it will work fine on some other markets too
Ive been out of action today. TS is constantly crashing when the markets open. This has kept me out of action for some time.
comment from user Carl
Just downloaded the 62.12 installer, did a clean install and ran macro1. Nothing happened.
It’s because GSB.exe.config is not included, macro1 sets the available entry modes to 0.
After running GSB.exe.config, 2 entry mode are activated and systems are being build.
I will get this fixed soon. It only affects trial users as long as you have gsb.exe.config (which gives you extra features and indicators)
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For indicators finding do you use Auto nth day mode= All?
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Carl
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Personally I think using Nth day mode Trd or All are both okay.
As long as you don't use all the price data up to yesterday.
You have to keep 1 to 4 years of price data as out of sample data.
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admin
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bartek
with inidcator testing, the systems are built with nth 80, see 80 trades in sample, 80 trades out of sample..
BUT they appear in the GUI as nth all. So this is 50% out of sample, plus there are years of data not seen yet as well
Thanks received (1):
+1 bartek at 2021-04-21 03:18:41
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admin
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| Quote: Originally posted by meldinman | | has anyone else been having a large amount of TS crashes this past week? Im wondering if there may be a bug in new GSB codes causing it?
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IM using the identical ts eld, but yes, I've had the worst week ever. I built a new trading computer. The old one was very stable but I'm upgrading it
from 1 cpu 128gb to 2 cpu 384 gb ram
(Used for GSB after hours)
I don't think its gsb code though.
Its hard for gsb code to crash ts if you tried.
Im suspecting my crashes are due to a problem with TS trading app.
see screen shot. I saw it appearing intermittently in a box on the opt of ts.
This is just a wild guess, and I'm not saying its the issue.
corrupted workspaces, cache, windows registry issues etc are much more likely causes.
TS10 reputation is still poor. (I'm on 9.5 build 28)
Other things is you should reboot your pc once per week. TS is normally very stable as long as you don't open lots of charts going back to start of
contract dates. This is almost certain to crash TS is my experience.
You can also go to add remove programs, and to a repair on TS
delete ts cache and tcache. Open all your charts, let the data load. wait for it to be loaded, then close charts, reopen charts.
Best to have min possible data on your charts. often 1 year is ok, but some systems like zone trader might need up to 3 years.
Its wise to backup your eld, and zip up your workspace. A zip file has crc (cyclic redundancy check) so any file coruptions would be clear.
you can also backup the entire ts folder using .7zip on max compression < 100 mb
if you delete cache and tcache.
also open just a few workspaces at a time, not 20 or so. (TS support told me that)
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admin
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| Quote: Originally posted by meldinman | | Yes I im using new gsb scripts, which is why Im wondering if its a function of some code bugs. Working with TS now but seems like my system is getting
tons of .net errors from TS charts |
likely your .net is corupt. (just my guess)
Dont think I've ever had a .net ts error.
Corupt .net does affect gsb at times, but likely its a different version of .net to what GSB uses
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admin
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| Quote: Originally posted by admin | feedback on the above welcome. Good change it will work fine on some other markets too
Ive been out of action today. TS is constantly crashing when the markets open. This has kept me out of action for some time.
comment from user Carl
Just downloaded the 62.12 installer, did a clean install and ran macro1. Nothing happened.
It’s because GSB.exe.config is not included, macro1 sets the available entry modes to 0.
User Carl and I cant reproduce this error, so all seems fine
After running GSB.exe.config, 2 entry mode are activated and systems are being build.
I will get this fixed soon. It only affects trial users as long as you have gsb.exe.config (which gives you extra features and indicators)
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meldinman
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ya, TS support is saying it mgiht be becuase im using Windows server 2019 edition, they say only support windows 10. Likely not a GSB issue, had to go
through all the steps above, still seeing crashes with just the TS default strategies. Sometimes TS is the best but sometimes it makes me wanna cry
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loclhero
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Trading System Interpretation
Does it make sense to interpret the weight associated with an indicator as a measure of the importance of that indicator?
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admin
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| Quote: Originally posted by meldinman | | ya, TS support is saying it might be becuase im using Windows server 2019 edition, they say only support windows 10. Likely not a GSB issue, had to go
through all the steps above, still seeing crashes with just the TS default strategies. Sometimes TS is the best but sometimes it makes me wanna cry
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ts have said that for years about windows server, but I've been running on windows server for 5 or 10 years,and been stable.
I too felt like crying. Its taken up most of my time in the last week. Up to 3 am once.
are you on ts 9.5/28?
I got a second login as a test, and it seems stable, though maybe too early to tell.
someone posted about the ie message coming up in TS, which is annoying.
Im asking, why is TS accessing IE when I don't ask it to. They gave more complex fix and said put google into restricted sites.
I didn't do there recommendations as I was nervous about doing stuff with registry and dll midway in a trading day. I did block google and I think
that fixed the issue of the script. Unlikely this will cause stability, but I'm not taking chances.
My suspicion is, its the tsapps that caused instability. Still my wild guess but my unstable ts has been better since I did this.
Very useful for me to know standard workspaces crash.
Im on my 3rd server to try and fix this and that didn't help.
You should just try a different machine and new operating system.
I can get you a VM 1 ms away from TS servers if you need to test it.
 
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meldinman
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I told them I have a friend running on windows server no issues. The crashes started happening after I spent a long time migrating all my workspaces
back to ts 9.5 from 10 in the hope of better stability. But instead of 1 to 2 crashes per week it started happening 4 to 5 times per day. Something in
the install was giving TS hangups so I went after tech support to get to the bottom (not just their usual bs about rewriting workspaces etc)
My crashes where being generated by TS charting not TS apps. I dont have any apps running either and I think my server automatically blocked those
connections. I never thought to try a different server, I'm using steadfast and they could probably get that done for me. What a nightmare either way,
hope you clear up your issues as well.
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admin
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| Quote: Originally posted by meldinman | I told them I have a friend running on windows server no issues. The crashes started happening after I spent a long time migrating all my workspaces
back to ts 9.5 from 10 in the hope of better stability. But instead of 1 to 2 crashes per week it started happening 4 to 5 times per day. Something in
the install was giving TS hangups so I went after tech support to get to the bottom (not just their usual bs about rewriting workspaces etc)
My crashes where being generated by TS charting not TS apps. I dont have any apps running either and I think my server automatically blocked those
connections. I never thought to try a different server, I'm using steadfast and they could probably get that done for me. What a nightmare either way,
hope you clear up your issues as well. |
i don't use any tsapps either, but I saw rectangular box up the center top pop up, and I suspect its looking to update them etc. But as I said I've
deleted them and it seems better
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meldinman
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how did you go about deleting them?
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