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admin
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Quote: Originally posted by Carl  | Hi Peter,
Thanks for adding my suggestion.
But what I mean is not only the key metrics, but the average of key metrics.
So for example the average trade of the 30 last trades. Please see my screenshot in my post: "ma 30 AT"
The average profit factor of the last 30 trades and so on.
Thanks.
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give me the exact list of what you want
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Carl
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My personal preference:
Drawdown
Rolling average trade of the most recent 30 trades
Rolling average pearson R of the most recent 30 trades
Rolling average profit factor of the most recent 30 trades
Rolling average win percentage of the most recent 30 trades
Thanks!
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Daniel UK1
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| Quote: Originally posted by Carl |
My personal preference:
Drawdown
Rolling average trade of the most recent 30 trades
Rolling average pearson R of the most recent 30 trades
Rolling average profit factor of the most recent 30 trades
Rolling average win percentage of the most recent 30 trades
Thanks! |
Yes, good metrics, perhaps the "30" can be an N for the user.
Cheers
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Daniel UK1
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Peter, would this new feature not be great to have in PA ? would be an effective solution to be able to keep track of and stop systems when they drop
below the historic thresholds for the metrics above (then it would be great to have average DD Levels and Max DD also)..
this is kind of tricky to keep track of otherwise.
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Carl
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Hi Daniel,
I really really would like to have a TS compiler that would be able to track a series of trading strategies to be able to select the best system based
on recent performance.
To update historical performances is horrible to do it by hand. The way I do it now is every three months (or so) backtest a series of strategies
"manually" in TS, take notes and select the best performing system.
It would be great if this part of the process could be automated as well.
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Daniel UK1
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Hi Carl, what i do, is with the kind help from RandyT eld creation to PA and another software, running a portfolio of all my ES strategies for
example, and then that exports a tradelists per strategy by auto to a folder, then i use PA similar software, that picks up results per strategy in a
ES portfolio of same strategies, i then export the results in one go as one excel file, where i get results per strategy for the priod... this i then
use for picking my live systems, based on some metrics from a excel table... sounds perhaps complicated... but iit just takes
one backtest of my portfolio in MC, and then one excel file export, thats it.
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Carl
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Sounds good. Do you think would be possible in TS as well?
And what kind of other software are you using for this process?
Thanks.
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Daniel UK1
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Hi Carl, yes sure, if the eld works in MC i see no reason why it would not work also for TS. PM Randy, he created the ELD, kindly shared it, and
should be credited for this, and i think he runs both TS and MC so perhaps he has it already working for TS. It outputs workable fileformat for PA and
MSA Portfolio same time.
Although, what MC has, i assume TS dont, is the portfolio function, meaning that i have one portfolio per parket, pre saved containing all my
strategies for that market, and when i want to run my test, i just run the portfolio once.... perhaps TS has something similar you can use to avoid
having to run 150 charts 
The software i use, to output the final report of all strategies combined in one excel sheet, is the above mentioned MSA portfolio software.
This was the only solution i could find, would have loved to use PA that i also have, for this, but it does not have that functionality.
However i would like at some point to have PA to determine by auto, what strategies to run, but i have not had time yet to play around with this.
As a sidenote,
One thing i have been wanting to do for a very very long time, is to be able to determine from backtests, what metrics to use and how often is best to
re evaluate what systems to run. The only software i found that was able to backtest historic symbol pics based on relative performance, was
amibroker.
I got this project developed initially for some portfolio equity strategies i run, in order to backtest and pick symbol picks based on past relative
performance. I figured i would be able to run this also for backtesting strategy evaluation, , so instead of equity "symbols" i will use my GSB
strategies, and in the end i should be able to backtest different optimisation metrics for strategies and re optimisation periods.
it should work in theory.
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admin
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a comment on this for now. The pa export can be made to export real time data. PA fails if you get a shadow trade that disappears and the trade number
is out of sync
pa would then see a trade list like
trade#1
trade#2 // this trade disappears later on
trade#2
or you might get
trade#1
trade#2 // trade3 disappears later on
trade#4
so if you have a report with 1000 trades, the next trade has to be trade 1001. This implies you have the entire historical chart open on ts (bad idea)
and it has to assume no shadow trades come or go.
I need to to ignore the trade number and make the trade number internally.
The whole topic of turning of systems is complex and I've not meet anyone who gets it right... the reason is its complex
in my opinion one factor is market conditions. NG for example has range so small (I'm told, didn't look myself) that all (day trading) systems will
fail at the moment
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Daniel UK1
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NG, I shut off all my NG systems start of year, oddly enough all started to fail same time... very weird..
But it does as you say, not feel like a system fail, more a bad market condition... we see iif they pick up at some point.
Last summer to winter, NG was amazing though... then it just died out.
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admin
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| Quote: Originally posted by Daniel UK1 | NG, I shut off all my NG systems start of year, oddly enough all started to fail same time... very weird..
But it does as you say, not feel like a system fail, more a bad market condition... we see iif they pick up at some point.
Last summer to winter, NG was amazing though... then it just died out. |
s&p500 2005 was similar. range so small day trading or swing trading didn't make $.
NG is also seasonal. Cold snaps bring increased demand
Would almost make sense to also factor in a group metric too.
ie all indice day trading systems or just say nq etc.
That make things more complex again
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SwedenTrader
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| Quote: Originally posted by Daniel UK1 | NG, I shut off all my NG systems start of year, oddly enough all started to fail same time... very weird..
But it does as you say, not feel like a system fail, more a bad market condition... we see iif they pick up at some point.
Last summer to winter, NG was amazing though... then it just died out. |
Interesting, same thing happen to my intraday NG, had never tried out swing on NG but did a couple of hours testing yesterday and came up with an OK
result. It is 30% OOS and after different validations i might put this in simulation for a couple of months. 2010 was a 10K DD but beside that it
felt ok. For the record im not a GSB user but i trade some of Peters systems and follow most threads here as a member of the forum. I saw same thing
in CL when GSB-sys1cl went flat that swing systems still did good. I have a bias to intradays but some times it is good to diversify with both
timeframes,logics,markets and so on. Also it is easier to find the more lasting edges in swings than intradays in other markets also. And i understand
that intraday systems in GSB like for example Bonds and currency futures are hard or just not found the methodology yet. But if anyone has good
intraday systems in those markets long/short, GSB or not i would be interested to have a chat.
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Daniel UK1
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Hey SverigeTrader , Sure that NG swing system seems interesting enough to look
into some swing systems on that market from my side, good work there.
I only normally trade intraday, except equities though, but recent good work done by Peter has lured me away into some longer term system dev..
Tried intraday bonds but have not managed to get that market to work, i assume its because the little voll. Currency futures never tried.
Cheers
Thanks received (1):
+1 SwedenTrader at 2021-06-19 16:06:50
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Carl
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| Quote: Originally posted by Daniel UK1 | NG, I shut off all my NG systems start of year, oddly enough all started to fail same time... very weird..
But it does as you say, not feel like a system fail, more a bad market condition... we see iif they pick up at some point.
Last summer to winter, NG was amazing though... then it just died out. |
Hi Daniel,
My NG strats were in trouble as well.
Then I switched the entry signals. So "enter long" became "enter short" and the other way around.
Starting in August 2020, it seems NG session 0900-1430 has become more countertrend then trend following.
It looks like the trend following part is completed before the 0900 session starts, then the countertrend reaction starts in the 0900-1430 session.
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REMO755
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Hello,
It would be very good after having the strategy to take it to an improvement bench to be able to polish it through filters, optimization of hours,
etc.
It should be a module and could be called Bank of Improvements, from here those strategies that need a tweak to improve it could arise, for example
trying different SF or TF, optimizing hours, eliminating days of the weeks, closing after a time interval, etc. .
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Daniel UK1
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| Quote: Originally posted by Carl | | Quote: Originally posted by Daniel UK1 | NG, I shut off all my NG systems start of year, oddly enough all started to fail same time... very weird..
But it does as you say, not feel like a system fail, more a bad market condition... we see iif they pick up at some point.
Last summer to winter, NG was amazing though... then it just died out. |
Hi Daniel,
My NG strats were in trouble as well.
Then I switched the entry signals. So "enter long" became "enter short" and the other way around.
Starting in August 2020, it seems NG session 0900-1430 has become more countertrend then trend following.
It looks like the trend following part is completed before the 0900 session starts, then the countertrend reaction starts in the 0900-1430 session.
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Hi Carl, Thanks for sharing.. I would be a bit scared to flip the buy/sell like that ...
perhaps it works, but for how long ?
I am more into, discarding things when it does not work and start from scratch.. but your strategy looks great if you flip it around, so you are
right on that one.
I see that you are using only 15, test 15,30 thats what worked best for me on NG.
My NG systems are still ok, but more on fading / pause mode ... until/if they start to perform again.
S though have crashed, and that market is hands off untiL new systems have been created, if possible that is.
Cheers
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Daniel UK1
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| Quote: Originally posted by REMO755 | Hello,
It would be very good after having the strategy to take it to an improvement bench to be able to polish it through filters, optimization of hours,
etc.
It should be a module and could be called Bank of Improvements, from here those strategies that need a tweak to improve it could arise, for example
trying different SF or TF, optimizing hours, eliminating days of the weeks, closing after a time interval, etc. . |
Hey Remo,
By doing that, Would you not be afraid of "over" polishing/fitting the strategy to an absolute perfection, just to just fit the historic price series
better, than what is already done with GSB if not extremely careful?
All the decisons before a system is picked, is, should/would/could (take your pick) be done based on results from a larger universe of systems, once
a single system is picked, i would be very careful of changes to that system to improve the performance on same data that is already used.
That i though, just a very personal opinion..
I do get your point of having an area to "work" on your system, after its built.. i would perhaps lean more towards validation/stress test/stats area
reject or pass area ish..
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REMO755
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| Quote: Originally posted by Daniel UK1 | | Quote: Originally posted by REMO755 | Hello,
It would be very good after having the strategy to take it to an improvement bench to be able to polish it through filters, optimization of hours,
etc.
It should be a module and could be called Bank of Improvements, from here those strategies that need a tweak to improve it could arise, for example
trying different SF or TF, optimizing hours, eliminating days of the weeks, closing after a time interval, etc. . |
Hey Remo,
By doing that, Would you not be afraid of "over" polishing/fitting the strategy to an absolute perfection, just to just fit the historic price series
better, than what is already done with GSB if not extremely careful?
All the decisons before a system is picked, is, should/would/could (take your pick) be done based on results from a larger universe of systems, once
a single system is picked, i would be very careful of changes to that system to improve the performance on same data that is already used.
That i though, just a very personal opinion..
I do get your point of having an area to "work" on your system, after its built.. i would perhaps lean more towards validation/stress test/stats area
reject or pass area ish..
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Logically, before going to the market it will be necessary to do W.F, etc., one thing is not at odds with the other.
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Siem
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I think it would be handy to have a "save state" option in GSB Manager.
It would save the complete state of the program as a file. Part of the filename would be the version used so it could be
"mycoolname.gsbstate10.0.26.69".
Then if you later want to view some settings / details / graphs back of a system you made (or maybe its siblings) you can use GSBManager.62.690.exe*
to open that state and GSB Manager is restored to the state it was when you used the "save state" option and do you what you want.
* or whatever GSB Manager version is needed to open the file, since older versions are in the GSB folder anyway.
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Daniel UK1
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| Quote: Originally posted by Siem | I think it would be handy to have a "save state" option in GSB Manager.
It would save the complete state of the program as a file. Part of the filename would be the version used so it could be
"mycoolname.gsbstate10.0.26.69".
Then if you later want to view some settings / details / graphs back of a system you made (or maybe its siblings) you can use GSBManager.62.690.exe*
to open that state and GSB Manager is restored to the state it was when you used the "save state" option and do you what you want.
* or whatever GSB Manager version is needed to open the file, since older versions are in the GSB folder anyway. |
Hi Siem, if you chose to save an opt setting, and in the future open that opt setting, not having set the "feature" as active in regards to auto
enable new settings, your saved opt setting "should" open exactly as it was when it was saved. Before this feature was not there, so all new features
was always turned on for new managers, creating major headache for saved older opt settings, since they could not be open as they was saved.. but now
it should not be like that.
Thanks received (2):
+1 Siem at 2021-07-16 00:31:06 +1 admin at 2021-07-15 18:02:04
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REMO755
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Hello,
Would it be possible to include several ranges of hours, that is, to present several options and that the algorithm can choose the best range?
Example:
Range 1 ---- 0900-1500
Range 2 -----1000-1500
Range 3 -----1100-1500
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admin
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| Quote: Originally posted by REMO755 | Hello,
Would it be possible to include several ranges of hours, that is, to present several options and that the algorithm can choose the best range?
Example:
Range 1 ---- 0900-1500
Range 2 -----1000-1500
Range 3 -----1100-1500
|
we have that in gsb automation recently.
a new build in in pcloud folder, but a new build coming in a few hours
This build had not been publicly released.
New spread sheet too.
has exit mode sort in it
 
Im hoping to have genetically chosen variation of this in GSB in next month or so
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REMO755
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| Quote: Originally posted by admin | | Quote: Originally posted by REMO755 | Hello,
Would it be possible to include several ranges of hours, that is, to present several options and that the algorithm can choose the best range?
Example:
Range 1 ---- 0900-1500
Range 2 -----1000-1500
Range 3 -----1100-1500
|
we have that in gsb automation recently.
a new build in in pcloud folder, but a new build coming in a few hours
This build had not been publicly released.
New spread sheet too.
has exit mode sort in it
Im hoping to have genetically chosen variation of this in GSB in next month or so |
What can be done in the spreadsheet?
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admin
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@remo755
You are talking about time in the left of gsb = allowed entry times?
I assume not session time.
If so this can be done, but has not yet been done.
GSB needs modification, and the spread sheet
Its rare that the best time is not the full session time, though the last 30 min and sometimes 60 min can be skipped
I like to leave the last 60 min is, as it still gives more trades for in and out of sample testing
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zdenekt
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Edit Collection
| Quote: Originally posted by REMO755 | Hello,
The macros are fine, the methodology is fine.
The freedom to choose options is necessary and valued on my part.
Right now the freedom of choice in the Software can be improved, I do not take any credit for it, I am very grateful for this machine since it makes
my work much easier and I will recommend it where the option is presented, do not hesitate.
Simple example of freedom of choice:
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Hi,
I am also voting for something like this.
This would save a lot of time when setting indicators.
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