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portfolioquanttrader2020
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efwo, cloud or local, I don´t Know
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portfolioquanttrader2020
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efwo, cloud or local, I don´t Know
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admin
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I think you are doing wf to ewfo.
This is very disk intensive and slower as its writing 100mb's of files.
Its still likely 10 to 100 times faster than doing it in tradestation.
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binhsir
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Hi，
I am a user of Strategy Quant and have been learning and using SQ for 5 months（part time）. I found that SQ supports MT4/5 and Forex
trading better, but it is not good enough for TS/MC and futures trading. For example, it does not support high-precision back-testing or back-testing
in the bar (it is troublesome when using stop order entry, setstoploss and other functions), I use MC to trade futures from CME or Chinese Futures
Exchange. I have completed all the teaching courses presented by SQ to customers and made detailed notes. I have mastered the use of SQ and the
methodology of SQ Building strategies, and have given me a deeper understanding of how to find robust and consistent trading strategies. Nevertheless,
no satisfactory system has been found on SQ so far.
1. By chance, I saw an advertisement for GSB in Futures Truth magazine. "I've accomplished more promise systems in GSB in two weeks than i have been
able to do after months of working with Adaptrade and years with StrategyQuant". This attracted me to download the trial version of GSB, and learned a
few videos from the official website and pppzwag video from Youtube. But I think the video is too few and not detailed enough. I only have a rough
understanding of GSB's methodology and some special
places, but I still can't grasp the complete process and details of using GSB to build a strategy. Do I need to purchase GSB , then i will be provided
more detailed GSB instructional videos? (Just like when I purchased SQ, I finished learning the complete instructional videos, and after watching many
SQ instructional videos of SQ official and third-party partner teachers on youtube, I initially grasped how to use the SQ construction strategy)
2. In addition, does GSB support backtesting within the bar? Like setstoploss, buy 1 contract next bar at 1350.8 stop, whether the order hits the
price within the bar can be traded without waiting until the bar close(just like the MC mechanism). I try to use GSB. I don't see any code include
stop order entry in the scripts. They are all such as "buy 1 contract this bar close". Does it not support stop orders?
3. When I used the GSB manager, I connected to the worker on the cloud machine on the network, and the worker on the local machine did not work, which
caused the speed to be far lower than when I directly used the standalone program (speed: about 3000/min). My machine is i9-9900K, 16*2G memory. How
to use the resources of one's own machine at the same time when using GSB manager?
4.When using GSB standalone, I set 14 cores (16 cores in total), and the speed of building is about 3000/min, the cpu usage rate is only 50%. Why is
the GSB not fully loaded to make the strategy building reach to 6000/min?
5. I have already purchased 2 license of Multicharts, MC14 itself provides WFO, WFM and Portfolio tools, do I have to buy EWFO and PA pro?
6.In StrategyQuant, NP/DD is usually the most concerned. As you said, the annualized NP/DD is too large and often unreal. In Monte Carlo simulations,
it is often found that the value at the 95% and 99% confidence level becomes relatively low. I have noticed the discussion about SQN on the forum,
which is very interesting, but why is there no SQN in the fitness option in GSB, but only integrated into EWFO? And you like to use NP*AT for fitness?
why？
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admin
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Hi Binhir
good to hear from you.
quick reply more later.
Intrabar is a waste of time in GSB. Stops tend to be big, and your never going to get stoped on the same bar you enter. This can not be said for daily
bars where it would likely be needed much more.
Not much work has been done with GSB on daily bars. As is GSB can use daily bars, but I've done nothing with it. I like the higher frequency of
trading with 30 min bars, and most but not all my sysyems close end of day.
Stops are supported in gsb, but not yet stop entry. This will happen in time, but GSB as is ... if it never improved is like trying to explore the
universe in one star ship enterprise.
3) Let me see via teamviewr/ anydesk.com etc. (I'm back in 2 hours, going out now)
standalone is slow compared to manager with many workers. You can run 1 or maybe 2 workers with 16 gb of ram
gsb is very fast at the expense of ram, so 16 gb is considered not a lot.
ewfo is optional. Much more powerful than mc wf. gsb can also output the files direct to gsb, though gsb has its own wf. gsb wf is fast, can be cloud
based but not as powerful as ewfo.
pa is optional, but has unique features. corelation of negative days, months, ability to combine systems to maximise np/dd
Thanks received (1):
+1 binhsir at 2021-06-15 01:44:45
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binhsir
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Please tell me your email, i send my teamview ID and Password.
Please note i modifyed and added my questions.
You may have misunderstood, I also like to use the 15min, 30min, 1hour timeframe for building strategy. Not meaning I like intraday strategy which be
closed the position at end of session day.StrategyQuant only supports bar close transactions under the MC/TS engine. This is different from MC. MC can
be transacted in internal 15min bar when i used stop and limit orders . What I want to ask is whether the mechanism of GSB in this respect is
consistent with that of MC/TS?
If the manager’s performance is mainly related to memory, that’s great, because my machine can be upgraded to a maximum of 4*32G, which is not a
problem.
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admin
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hi @ Binhir
you will have a lot of expertise that will be useful for GSB.
I think SQ is mostly used for fx is my suspicion, but likely you would know that more than me.
4) GSB caches all maths. THats why its so fast, so ram hungry and not driving cpu 100%. Thats why we have numerous workers on on pc/server to the
point were cpu and or ram are maxed out.
When you buy GSB you get GSB resource manager to do that. Without it you MIGHT run out of ram with 2 workers and manager.
6) we now have many fitness's and GSB automation is used to run 4 identical tests making 50,000 systems and checking out of sample stats.
in the past we used either np* at or np/dd. Now we objectively know these are not the best - though that's very market dependant.
more shortly
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admin
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@binhir. Its not hard for me to get sqn in gsb, and likely a good idea. No one ever requested it, but the best new gsb fitness did go into the most
recent build of ewfo. (in the forum not my web site)
Im happy to get sqn added into gsb. Its spectularly cpu intensive, so I might have an option to enable the feature. Normally I can get things like
that done very fast but the ewfo programmer is on leave this week.
Other tasks are very slow. Depends on what programmer does what in GSB. sqn now added to job que.
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binhsir
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Are there any more detailed instructional videos or courses? There are only 17 instructional videos on the official website, and I need more detailed
courses to master GSB.
So do you suggest that I buy GSB and GSB automation first？
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admin
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Quote: Originally posted by binhsir  | Are there any more detailed instructional videos or courses? There are only 17 instructional videos on the official website, and I need more detailed
courses to master GSB.
So do you suggest that I buy GSB and GSB automation first？ |
The direction I'm going is documentation, not videos.
Best case its a weeks work to do a video. Months later content gets improved... you need to do the video again. Users need to take notes from the
video . Takes time for everyone... and keeps me from devopling gsb.
User feedback has been documentation is better. Its been updated this week a few times, with more tweaks tomorrow
see https://trademaid.info/gsbhelp/Methodology.html
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...
and avoided the long short swing es systems for now. Im doing more docs on this soon
AUtomation is really good to buy, but there is a 14 day trial for gsb users.
the trial doesn't come with the VM macro spread sheet. ALso make sure you get the may 2021 version from me. I haven't done auto update of AU yet. (new
versions often come out and I don't always release them, though they are in the URL purchases get.)
So as long as your happy with what you've seen of gsb, you could but but best to have a quick trial first. If your a serious trader, money rich and
time poor, you might want a few gsb servers. GSB free cloud likely is either 1 high end server per user when I'm not using the cloud myself, and just
1 or 2 workers if I am using the cloud.
a medium to high end server runs about 8 to 20 workers.
I don't refund purchasers (have never been asked to either) which is why there are trials. GSB and its competitors have there market niches. sq I
thought was fx. gsb is mainly intraday futures. It can do many other markets but there may not be the knowledge of how to use gsb on the market, or
the knowledge is weak compared to massive advances have been made on other markets. Automation was a game changer. We can figure out all sorts of
things that work, that can not be done just building a single system that likely is a curve fit
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binhsir
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| Quote: Originally posted by admin | | Quote: Originally posted by binhsir | Are there any more detailed instructional videos or courses? There are only 17 instructional videos on the official website, and I need more detailed
courses to master GSB.
So do you suggest that I buy GSB and GSB automation first？ |
The direction I'm going is documentation, not videos.
Best case its a weeks work to do a video. Months later content gets improved... you need to do the video again. Users need to take notes from the
video . Takes time for everyone... and keeps me from devopling gsb.
User feedback has been documentation is better. Its been updated this week a few times, with more tweaks tomorrow
see https://trademaid.info/gsbhelp/Methodology.html
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...
and avoided the long short swing es systems for now. Im doing more docs on this soon
AUtomation is really good to buy, but there is a 14 day trial for gsb users.
the trial doesn't come with the VM macro spread sheet. ALso make sure you get the may 2021 version from me. I haven't done auto update of AU yet. (new
versions often come out and I don't always release them, though they are in the URL purchases get.)
So as long as your happy with what you've seen of gsb, you could but but best to have a quick trial first. If your a serious trader, money rich and
time poor, you might want a few gsb servers. GSB free cloud likely is either 1 high end server per user when I'm not using the cloud myself, and just
1 or 2 workers if I am using the cloud.
a medium to high end server runs about 8 to 20 workers.
I don't refund purchasers (have never been asked to either) which is why there are trials. GSB and its competitors have there market niches. sq I
thought was fx. gsb is mainly intraday futures. It can do many other markets but there may not be the knowledge of how to use gsb on the market, or
the knowledge is weak compared to massive advances have been made on other markets. Automation was a game changer. We can figure out all sorts of
things that work, that can not be done just building a single system that likely is a curve fit
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I see.I will read the help document carefully, there may be many questions that need to trouble you.
Of course I understand the importance of building a roubst strategy, so I learned about strategy building tools such as SQ, Adaptrade, GSB, TSL and so
on. I will try to use all of GSB products as soon as possible and see if they are suitable for me.
Thanks very much.
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admin
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@binhsir, GSB is a complex product, documentation and methodology updated over time, so I expect questions.
Keep in mind the june 10 2021 update here
https://trademaid.info/gsbhelp/Methodology.html
Thanks received (1):
+1 binhsir at 2021-06-15 20:37:46
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Arndt
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setting up price data
HI I would like to setup Opt Price Data using the 30,29,31 Minutes on NQ and get the following error message:
What am I doing wrong when setting up the price data like this?
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REMO755
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| Quote: Originally posted by Arndt | HI I would like to setup Opt Price Data using the 30,29,31 Minutes on NQ and get the following error message:
What am I doing wrong when setting up the price data like this?
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Hello
The file name must be: NG.1.Minute. ---------. --------- .--------
You @ NG # C.1.Minute, this is an error.
Thanks received (1):
+1 Arndt at 2021-06-15 13:30:40
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Daniel UK1
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| Quote: Originally posted by Arndt | HI I would like to setup Opt Price Data using the 30,29,31 Minutes on NQ and get the following error message:
What am I doing wrong when setting up the price data like this?
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I believe that setup will work if you change 31 to 32 and 29 to 28..
Or you dont use data 1 and 2 setup, and instead supply 29 30 and 31 as separate data 1 setups.
Cheers
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admin
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@arndt
while 29,30,31 can be done, I don't think it offers value on the more recent methdolgy. We did this in the days of building 1 system and trying to
figure out if it was valid.
Now we have validated the indicator before we even started building systems, and validated the entire setup by 50000 systems ->300 systems and
validating entire families etc
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admin
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| Quote: Originally posted by binhsir |
At present, My GSB manager can only use the computing power of the cloud server, but the computing power or workers of the local machine cannot be
used. Can you use teamviewer to remotely assist me to solve this problem?
My teamvier ID , password is |
shall do now. Best email TV and don't publish details. PLease remove details from post.
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Arndt
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Thanks for your inputs! It worked on the multiple data1 by selecting more using STRG.
In regards to Data used to validate indicators and then build systems:
Is it worth the effort to use the data I trade with (IQFEED) instead of the Tradestation Data? Or is the difference marginal and not worth the effort?
Are there any thoughts on this?
Thanks for your reply!
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admin
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| Quote: Originally posted by Arndt | Thanks for your inputs! It worked on the multiple data1 by selecting more using STRG.
In regards to Data used to validate indicators and then build systems:
Is it worth the effort to use the data I trade with (IQFEED) instead of the Tradestation Data? Or is the difference marginal and not worth the effort?
Are there any thoughts on this?
Thanks for your reply! |
Good question. Im told with tick data its critical to trade on what you build systems on.
I think with 30 min bars it shouldn't matter. Im not certain though. But I think ts goes further back in time than iq feed. SOmetimes that will be
usefull
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PRONOS
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Hey guys!
A student from Unger Academy wrote the following:
"I had an issue that MultiCharts tech support had a hard time fixing. Volume was totaling up incorrectly (below actual vol.) for futures etc. Turns
out, You need to make sure the field 'Build Volume On' is set to 'Trade Volume'. I bet there are several of you who, like me didn't realize it was set
to 'tick count' which will not display full volume for anything other than tick charts. Just a heads up, please check for yourselves."
To what extent does this issue affect us who build systems with GSB. Peter had described that "tick count" should be selected during "build volume
on". How can we deal with this issue?
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admin
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| Quote: Originally posted by PRONOS | Hey guys!
A student from Unger Academy wrote the following:
"I had an issue that MultiCharts tech support had a hard time fixing. Volume was totaling up incorrectly (below actual vol.) for futures etc. Turns
out, You need to make sure the field 'Build Volume On' is set to 'Trade Volume'. I bet there are several of you who, like me didn't realize it was set
to 'tick count' which will not display full volume for anything other than tick charts. Just a heads up, please check for yourselves."
To what extent does this issue affect us who build systems with GSB. Peter had described that "tick count" should be selected during "build volume
on". How can we deal with this issue? |
This is important, but only affects users who have inidcators that use volume.
Accumdist series (which is used often on es,my,nq) and indicators with volume in the name are the main ones.
so use tick on ts/mc and gsb. NT doesn't have this option
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Daniel UK1
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If what user pronos is stating is correct, then that would be a serious issue for MC users, have any other users seen this issue also with MC?
Cheers
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Daniel UK1
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If what user pronos is stating is correct, then that would be a serious issue for MC users, have any other users seen this issue also with MC?
Cheers
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admin
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| Quote: Originally posted by Daniel UK1 | If what user pronos is stating is correct, then that would be a serious issue for MC users, have any other users seen this issue also with MC?
Cheers |
this is not how I think MC/ts works
If its on ticks it does up vol and down volume and the easy language word to get Up+down is the function "ticks"
if this didn't work correctly, gsb would be full of mismatches on all volume inidcators. This is not the case.
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avatartrader
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This is not necessarily a support question, but based on the areas where I can post, this seems the most appropriate option:
I was curious how others are tracking per-strategy performance for the purposes of potential increase/decrease of position sizing, strategy health and
degradation, etc.? I am using Multicharts/IB and am becoming increasingly annoyed by the fact that they do not maintain any real-time performance of a
strategy in a given account, so the only way to really track it is to do it manually and often in case it needs to be turned off or restarted for any
reason.
I suppose another way (as a partial solution) is to also track the historical performance separately and use an equity curve or position sizing
indicator based on needs, but I wanted to see if anyone else was handling this in an efficient and scalable manner.
I like what Peter has done with IBLink and that it seems to maintain a DB of strategies and historical live performance, so there is a lot of
potential there. But since that is not commercially available, I would have to write my own middleware should I actually want to abandon MC and use TS
for signals and then execute through a gateway.
Thanks for the input-
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