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admin
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Starting, June 28, 2021 CME Trading Halt between 3:15 and 3:30 p.m CST (Removed)
This doesn't affect any of my systems using @es.d, but might affect some users using @es
Put this file in C:\Program Files (x86)\TradeStation 9.5\Templates\Sessions
Attachment: Login to view the details 
This should NOT be used for systems for sale OvernightES and SwingES
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Siem
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Hi Peter,
I’m looking at the swing trading ES long only systems.
With the beta features enabled the included “ES-LongOnly_SwingTrade”-macro turns on 80 main indicators.
Is this an optimised selection of indicators - or would it make sense to enable most of the other indicators too?
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admin
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Quote: Originally posted by Siem  | Hi Peter,
I’m looking at the swing trading ES long only systems.
With the beta features enabled the included “ES-LongOnly_SwingTrade”-macro turns on 80 main indicators.
Is this an optimised selection of indicators - or would it make sense to enable most of the other indicators too? |
I think this is the best of them, and the others wont work as well.
Its been a month or 2 since I have done this.
I dont think its critical and im happy with the 80.
Over time I have migrated the best indicators into being availble to all users.
This of course is a work in progress and will be for a long time as new inidicators are added and tested on various markets.
Thanks received (1):
+1 Siem at 2021-07-14 06:15:47
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REMO755
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Hello,
HOW TO AVOID OVER-OPTIMIZING.
Everything perfect in GSB, W.F ok, so in TS this happened.
It's very easy to over-optimize.
Ideas to avoid over-optimizing?
Am I doing WF out of sample?
I am doing something wrong ?
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admin
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@remo
Your wf looks good.
Check overall, what were your stats in b,c,d,e etc on the entire set your building on?
Cherry picking a system with a nice curve, is deceptively dangerous. Thats why GSB has the foundation
of the top 300 systems need to perform ok.
You can also do a rolling wf. The curves should not fall apart with rolling wf, but normally oos is higher in GSB systems with anchored.
You could look at the chart and see, why the high dd. ie stop too tight.
I assume your big dd happened in future data not seen in the wf?
If your system is bad, likely it will fail out of sample immediately.
If its good, and can fail at any time. This is the biggest risk in trading in my view.
If this is enrty aic, what I also do (in ts) is use only one inidcator at a time
Then check the results.
If one indicator gives bad results, remove it.
This is not so simple if cross or compare2 is used
Thanks received (2):
+1 cotila1 at 2021-07-23 13:00:33 +1 REMO755 at 2021-07-22 18:26:20
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admin
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Just a comment.
Sometime you cannot make money on a market. IE Nat gas now, S&P500 over 2005 - 2006.
Other times markets are the best they have ever been in history.
Well long only swing systems fit that category.
Of course that can change at any stage, and you could be fully loaded going long, and get limit move(s) down...
I had this when Trump was elected, so my entire net worth was moving greatly that day. It ended well but might not have.
In those days I was doing numerous emini contracts, and now you can do micros which have 1/10 the kick.
I may also launch gsb swing4 nq for sale, depending on correlation to the other systems.
Existing systems sold are all very lowly correlated on loosing days. (typically near zero correlation)
Another comment. I feel the biggest risk in trading is system failure. Therefor my opinion is its better to add systems than add contracts on existing
systems.
Have a balance of intraday vs long term systems, session times and markets.
The systems for sale happen to be a great example of this.
Intraday on various markets, different session times, secondary filters, some GSB systems and some human designed systems, some long only, some
balanced
some on 24 hour data, most on day session (even if they trade over multiple days)
https://trademaid.info/gsbhelp/Systemsforsale.html
Stops are typically $400/$4000, profit targets $300/$3000 to occasionally $600/$6000 (micro/emini)
Open TS report with internet explorer.
Disclaimer. TS report is hypothetical. Past returns are not indicative of futures returns
 
Attachment: Login to view the details
Thanks received (4):
+1 saycem at 2021-09-20 04:50:00 +1 cotila1 at 2021-07-24 04:48:20 +1 Siem at 2021-07-24 01:52:57 +1 SwedenTrader at 2021-07-23 19:32:52
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admin
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reports of SWING 4 ES & NQ + correlation of all systems is here
https://trademaid.info/forum/viewthread.php?tid=270#pid7226
give me a couple of days & I will have it listed for sale
There will be a discount with system4 es/nq bundled, and for purchasers who have system4 es already
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Siem
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Here's a little overview I made of the Exit Modes used in 1.0.62.88 (GSB_DecisionExit8).
It helped me get a better understanding of it and I hope it will help others here too.
Exit Modes*
ind = indicators
sf = secondary filter
rev = reverse of position
flat = not a change of position
code = put inside the formula-field in a "Custom 1-Line"-study in TS in order to see when the exit modes get triggered.
*Some modes are only available in the test-mode.
0. None
1. IFltRvAndSFFltRv
(ind = flat or ind = rev) and (sf = flat or sf = rev)
2. IRvAndSFFltRv
ind = rev and (sf = flat or sf = rev)
3. IFltRvAndSFRv
(ind = flat or ind = rev) and sf = rev
4. IRvOrSFRv
ind = rev or sf = rev
5. IFltRvOrSFFltRv
ind = flat or ind = rev or sf = flat or sf = rev
6. IRv
ind = rev
7. IFltRv
ind = flat or ind = rev
8. SFRv
sf = rev
9. CloseD
while long: close < “yesterday’s close”
code: close < GSB_CloseD(1)
while short: close > “yesterday’s close”
code: close > GSB_CloseD(1)
10. OpenD
while long: close < “today’s open”
code: close < GSB_OpenD(0)
while short: close > “today’s open”
code: close > GSB_OpenD(0)
11. LowestCloseDOpenD
while long : close < lowest of “yesterday’s close” and “today’s open”
code: close < minlist(GSB_CloseD(1),GSB_OpenD(0))
while short: close > highest of “yesterday’s close” and “today’s open”
code: close > maxlist(GSB_CloseD(1),GSB_OpenD(0))
12. HighestCloseDOpenD
while long : close < highest of “yesterday’s close” and “today’s open”
code: close < maxlist(GSB_CloseD(1),GSB_OpenD(0))
while short: close > lowest of “yesterday’s close” and “today’s open”
code: close > minlist(GSB_CloseD(1),GSB_OpenD(0))
13. LowDHighDToday
while long: close < “low of today”
code: close < GSB_LowD(0)
while short: close > “high of today”
code: close > GSB_HighD(0)
14. LowDHighDYesterdy
while long: close < “low of yesterday”
code: close < GSB_LowD(1)
while short: close > “high of yesterday”
code: close > GSB_HighD(1)
15. LowDHighDLst2Dys
while long: close < lowest of “low of yesterday” and “low of today”
code: close < minlist(GSB_LowD(1),GSB_LowD(0))
while short: close > highest of “high of yesterday” and “high of today”
code: close > maxlist(GSB_HighD(1),GSB_HighD(0))
16. Flat
ind = flat
17. SFFltRv
sf = flat or sf = rev
x. IRvAndSFRv (not in use)
ind = rev and sf = rev
Thanks received (10):
+1 TradingPrice at 2022-11-23 18:13:46 +1 bartek at 2021-10-20 15:40:55 +1 asobi at 2021-08-08 21:50:29 +1 Daniel UK1 at 2021-08-07 02:59:48 +1 Bruce at 2021-08-06 17:26:20 +1 JozefSusko at 2021-08-06 16:28:23 +1 Carl at 2021-08-06 08:53:23 +1 bizgozcd at 2021-08-06 08:26:11 +1 RandyT at 2021-08-06 07:54:24 +1 REMO755 at 2021-08-06 07:14:34
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admin
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@Seim, Thanks for your work. This is still under development and may change in the next 2 builds
I still think the exits are not likely to help with day trading, but useful for longer term trades.
NT code is improved in the next build (not release yet) but is still not correct.
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Daniel UK1
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Imho, i believe quite strongly that a large part of our edge, is our native use of no customised exits.
It removes a large variable for error in your process and outcome, which, most likely is the biggest reason to your failure OOS.
However, using exits, as those that exist and mentioned above, could very likely give you better results when building your systems.
As a wise man said, curve fitting is the kryptonite of every systematic trader.
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admin
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Good comments. Going though each exit (on say overnight es systems) in automation is going to show clearly what works.
Note however that some exits will do NOTHING, so you could confuse that result as being a littler better (or worse) than your default exit.
The reason is identical tests will vary a bit, and this can lead to wrong conclusions.
Its good to optimize the exit mode (o to 18??(i think)) on a system and note what exit modes make no different, mild improvement and big degradation.
If its a big degradation, likely no point running in in automation,
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cico
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Dears, I would like to ask you, how do you see picking systems for trading out of the new ES/NQ/YM methodology.
- if there are more families with the average fitness above Avg.F, do you look into all those families to pick the system (i.e. one system from each
family with the average fitness above) or do you look just into the family with the highest number of members and the stability of results?
- when choosing the system from the family, what is for you more important? WF OOS performance compared to Opt.(Avg.) or Rolling/Anchored
Stability/Equity Bollinger parameters or something else?
- have you ever tried in live trading to put more systems into one chart with the same symbol (or put more systems on NQ for example into one system
with different entry setups)? I am thinking about that if it would be better than to have like 10 separate charts with the same symbol and time
template (one for each system)?
Many thanks upfront for your shared experience.
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Daniel UK1
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| Quote: Originally posted by cico | Dears, I would like to ask you, how do you see picking systems for trading out of the new ES/NQ/YM methodology.
- if there are more families with the average fitness above Avg.F, do you look into all those families to pick the system (i.e. one system from each
family with the average fitness above) or do you look just into the family with the highest number of members and the stability of results?
- when choosing the system from the family, what is for you more important? WF OOS performance compared to Opt.(Avg.) or Rolling/Anchored
Stability/Equity Bollinger parameters or something else?
- have you ever tried in live trading to put more systems into one chart with the same symbol (or put more systems on NQ for example into one system
with different entry setups)? I am thinking about that if it would be better than to have like 10 separate charts with the same symbol and time
template (one for each system)?
Many thanks upfront for your shared experience. |
Cico, imho, you "simply", after you run your final macro and want to pick systems to trade, you head over to B, change to dates so you only see OOS,
then mark all systems and note down average fitness, then you check each family down to lets say 5, then you look for families that outperform average
fitness for oos, the do wf on the families you like ad evaluate further and make your pick..
Thanks received (2):
+1 Siem at 2021-08-19 05:31:03 +1 admin at 2021-08-16 21:18:15
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cico
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Hi Daniel, many thanks for your reply. I'm following this methodology, I was more asking based on what you make your final pick of the system to
trade? If it is WF OOS performance compared to Opt.(Avg.) or Rolling/Anchored Stability/Equity Bollinger parameters or something else? Many thanks.
Thanks received (1):
+1 Siem at 2021-08-19 05:32:28
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admin
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i like if possible the whole family wf to go well, ideally good anchor and or rolling stability, linear equity curves etc.
if wf stability is low, but equity curves are really parallel then thats ok.
I dont want the oos wf curve to tank.
Sometimes I do a rolling wf. I dont use the final parameters but a rolling wf is more stresstest than anchored.
gsb systems work better with anchored parameters normally
Thanks received (3):
+1 Ketil at 2021-11-03 09:32:57 +1 Siem at 2021-08-19 05:30:38 +1 cico at 2021-08-17 03:54:54
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Daniel UK1
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| Quote: Originally posted by cico | | Hi Daniel, many thanks for your reply. I'm following this methodology, I was more asking based on what you make your final pick of the system to
trade? If it is WF OOS performance compared to Opt.(Avg.) or Rolling/Anchored Stability/Equity Bollinger parameters or something else? Many thanks.
|
After i chosen the family based on stability wf OOS, and fitness and by viewing other metrics, i do not want to pick a single system based on its
individual result , i simply pick the family head. Meaning the whole family needs to be good enough or its not used at all.
Thanks received (3):
+1 Siem at 2021-08-19 05:31:20 +1 cico at 2021-08-19 01:04:40 +1 admin at 2021-08-18 18:42:38
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admin
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Here is a comment I have to make from time to tome. I will make it less often as Im going to lock GSB down a bit more. Its a bit like you cant put
your car into park or reverse when driving 100 kmh (60 mph for the Americans )
Operators should normally be * only. + works almost as well, but all the weights have to change to totally different values
ie result =50*w1+50w2+50w3
result =50w1*50w2*50w3
if result > entrylevel^4 then buy
if you use all negitve operands it will be the same as + (likely) as ga mutiplies it all by 1 or -1
if you use + and - then your basically saying I want some bullish indicators and at the same instant some bearish inidcaotrs.
it works but not as well and is much slower.
center scaling and hl scaling are 99% the same. CS is a little better. if you use both, you double the ram usage of every worker, and it runs slower
as cache doesnt work as well.
the scaling3 mode does not match and results will change if the start date of data ever changes.
(I need to pull the feature.) SO with these 4 modes on, you have tripled the ram usage and the systems with cd3 and hl3 scaling are useless when it
comes to live trading.
Don't remember if its the docs or videos, but I have been damming of the practice of turning on all options.
Stick to the defaults, change one thing at a time and NEVER turn everything on. This used 22gb of ram & I killed them.
again entry modes. Use only one at a time.
Many here were experimental and I need to remove lots of them.
compare2, aic ncc & cross are the main ones.
Cross single and cross double may be a little better, but are a pain when it comes to WF time. Many more combinations and parameter stability will be
less
Thanks received (2):
+1 REMO755 at 2021-08-25 15:53:37 +1 NickW at 2021-08-24 09:29:52
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Siem
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| Quote: Originally posted by admin |
again entry modes. Use only one at a time.
Many here were experimental and I need to remove lots of them.
compare2, aic ncc & cross are the main ones.
Cross single and cross double may be a little better, but are a pain when it comes to WF time. Many more combinations and parameter stability will be
less
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Hi Peter,
Thanks for the insights, it's very helpful.
In the GC optimization settings both the 'Cross' and 'CrossDualLevels' entry modes are enabled by default.
Should I pick one of these then when generating systems or leave them both enabled?
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admin
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@siem, this is not deliberate. There are numerous markets in GSB default settings and its very easy to make mistakes.
use cross only, but this is not a critical situation.
Thanks received (1):
+1 Siem at 2021-08-25 01:38:02
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admin
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just a comment
under systems for sale there is free gsbsys1es1.3 that has $40 more per trade than the earlier version.
Free for GSB purchasers
These filters likely can be made to other ES systems and with parameter changes to ym nq rty etc
What I dont know is how they work on existing systems with different secondary filter. (We rarely use closelessClosedBPV on ES/nq,ym rty etc_
https://trademaid.info/forum/viewthread.php?tid=270
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admin
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At the end of the month, (or maybe a day or two later as the statement takes its time) Im going to share what I think is by far the hottest of all
markets, with my real time results.
While im 100% running on this market, its going to require collective work from a number of GSB users to make this solution available for all.
The issues what Im doing is leverage is extreme, and account size has to be very large, liquidity aweful. The solution I want GSB users to work on
will be ok for any account size.
Last 2 months have been hard trading, but a great week & I im on new highs again.
Also some time next week, in the more philosophical and current event thread
https://trademaid.info/forum/viewthread.php?tid=273 Life down under in AU im going to share what I think is one of the most empowering statements
I have ever heard. Whats powerful is
it applies to every person on the planet, and its applicable + practical to implement
Thanks received (4):
+1 engtraderfx at 2021-08-28 20:05:51 +1 REMO755 at 2021-08-28 18:11:47 +1 Piet at 2021-08-28 03:45:40 +1 Siem at 2021-08-28 02:36:21
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admin
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Im gong to start talking about bitcoin. Over the years some markets go balistic from a system point of view, and this is one of them.
The long only systems have been similar, though how long can the market keep going up??? Long term expect return to the average.
Bruce & I are trading bitcoin futures. While I want to open the door to bitcoin trading, im strongly not going to recommend the big bit coin futures
contract.
Its the most leveraged contract Ive ever traded, above my comfort level of risk.
The margin to go short at Interactive brokers is $300,000. (thats not a typo) TS is about $65000 from memory.
Read between the lines. IB is a risk adverse company and it doesnt want you to trade BTC. Their commissions are also exorbitant. (20 x TS rates from
memory)
IB being risk adverse is good, as it means they a not likely to go broke. (Unlike man financial & pfg)
The liquidity is awful on futures.
Trade 1 &6 I got stopped. $4575 loss. $4000 & $575 slippage both times.
I intended to open an account with binance. As I have complex financial structures, its been a nightmare and I have almost given up.
Whats good on Binance is its liquid, any size leverage can be used. Multihcharts can trade direct to Binance.
An easy option is trade trade EFT gbtc, but the session time is wrong (830 to 1500) and we need 630 to 130 pm central USA time.
GBTC systems I think are harder than BTC.
Many other issues. The micro contract has short data compared to the big futures contract, and systems that are made on big BTC are significantly
different to micro btc and significantly different to binance data. So its a complex mess. Basiclly you need to build the systems on the data you
trade.
If your going down this path, open a binance account. Response time to look at your documents for a company is 1 month! Personal account might be much
faster.
There are notes earlier in this thread how to do so, and tips to get discounts.
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admin
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Micro bitcoin is also bust on TS. Regardless of the Profit/loss, ts will report 0$
So thats the bad news.
The good news my OOS hypothetical's for the last month show August 2021 to be the second the best month ever in BTC history.
My real time results are well down from hypothetical's, but most of that is due to significant code changes from day to day.
So this is my first 30 days BTC trading.
Also note this is 3 BTC systems trading a collective total of 1 contract max.
more to come, and big thank you to Bruce who did much of this work.
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Bruce
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| Quote: Originally posted by admin | Micro bitcoin is also bust on TS. Regardless of the Profit/loss, ts will report 0$
So thats the bad news.
The good news my OOS hypothetical's for the last month show August 2021 to be the second the best month ever in BTC history.
My real time results are well down from hypothetical's, but most of that is due to significant code changes from day to day.
So this is my first 30 days BTC trading.
Also note this is 3 BTC systems trading a collective total of 1 contract max.
more to come, and big thank you to Bruce who did much of this work.
|
Thanks Peter, however without GSB as the 'discovery tool' and providing the robustness with testing I doubt I would've had the confidence to trade a
single contract with @90k of margin going short BTC. It's certainly a wild ride however after a lot of builds, testing and refinements we appear to be
managing it.
I just want to add that the stops necessary are wide $$$ and I've had a series of 3 losses in a row so the drawdown(s) can be (and will be) deep. That
being said, like Peter, its been a rewarding couple of months. Long may it last!
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admin
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todays Margins at ib are 225k for long and 275k for shorts, hence binace looks much better
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