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Author: Subject: General support questions.
bizgozcd
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[*] posted on 25-9-2021 at 11:32 AM


Quote: Originally posted by admin  
Quote: Originally posted by bizgozcd  
Peter,

Do you have any thoughts on which indicators and settings are resource intensive and thus take a painfully long time to run?

Thanks again.

this doesnt matter in GSB at all, as all indicators are cached.
Its if you choose to optimize in TS its more an issue.
slowest indicators likely are those that use median


So I am doing a run with 5 indicators...it goes fast. But if I add 5 more it goes very slow. So I added the second 5 one by one and each run is very slow. Remove it and going back to the first 5, very fast. Any idea what could be causing this?


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bizgozcd
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[*] posted on 25-9-2021 at 11:32 AM


Quote: Originally posted by admin  
Quote: Originally posted by bizgozcd  
Peter,

Do you have any thoughts on which indicators and settings are resource intensive and thus take a painfully long time to run?

Thanks again.

this doesnt matter in GSB at all, as all indicators are cached.
Its if you choose to optimize in TS its more an issue.
slowest indicators likely are those that use median


So I am doing a run with 5 indicators...it goes fast. But if I add 5 more it goes very slow. So I added the second 5 one by one and each run is very slow. Remove it and going back to the first 5, very fast. Any idea what could be causing this?


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[*] posted on 27-9-2021 at 01:05 AM


Hi Bizgozcd
You best follow the methodology. If you have beta tester mode you have 86 indicators approx.
Indicator building (the first pass) is normally much slower than system building (the second pass)
possible your last 5 just dont work well on the market your on.
Here is the 86 I use. You can import them automatically

Attachment: Login to view the details

import.png - 338kB


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portfolioquanttrader2020
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[*] posted on 10-10-2021 at 10:06 AM


Hi, I'm trying to get the best ES swing indicators.
Can someone explain the steps to me, and where the macros are.
I need the steps, they are not reflected in the guide.


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portfolioquanttrader2020
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[*] posted on 10-10-2021 at 01:27 PM


Hello, the custom indicators, are they imported from TradeStation to GSB? I can not understand it

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[*] posted on 10-10-2021 at 04:28 PM


@portfolioquanttrader2020
it is in the guide here, search on Click m2, then play.
https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...

I dont recommend you use CI.
While having CI is a nice concept, its a lot more work and more complex.
Also the inidcator selection of choosing the green best indicators via macro will not work with CI.
This will get fixed eventually, but not for some time. This is going to create a lot more work as the build process is then not fully automated.
If anyone has a open source indicator they really want added in GSB, im normally happy to do that unless its too complex.
docs are here
https://trademaid.info/gsbhelp/Customindicators1.html


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portfolioquanttrader2020
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[*] posted on 12-10-2021 at 01:50 AM


Hello there
I need an example of two members of a family.
A visual example of parameters.


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portfolioquanttrader2020
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[*] posted on 12-10-2021 at 02:04 AM


Hello there
I have searched for better indicators and now, building 50,000 systems
I want to know if my weight settings are correct.

build swing es.PNG - 337kB


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[*] posted on 12-10-2021 at 06:35 AM


Hi peter
I am building SWING ES.
Family 3 with 6 members.
Could you tell me if the suitability is higher than 300 OS systems?
And your opinion on metrics?

gsbsiwngES-1.PNG - 639kB

gsbsiwngES-1.PNG - 639kB


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[*] posted on 12-10-2021 at 08:49 AM


Hi Peter, the strategy below presents different results with the symbol MES and ES, and I think that also with GSB

PerformanceMES-gsb.PNG - 597kB PerformanceES.PNG - 47kB PerformanceMES.PNG - 38kB

// Settings
// Platform: TradeStation
// Script Mode: LiveTrading
// ID: 20211011-135321-326483-wvDqo / WF:20211012-031334-278740-7Mdyi
// Info: File Name Prefix: , Comment: , App Settings: amadoreOnly.gsbappset, Opt. Settings: ES30_SWING-Compare2-25k-FitX_GReen_GReen.gsboptset, Workplace Manager's ID: gVofSOoCGo97qYGgA.20211011-130006-394940, Manager's GSB Version: 1.0.62.88 / 2021-08-03, Worker's Instance ID: iFq87u59u30x8eed8, Worker's GSB Version: 1.0.63.09 / 2021-09-28, Worker's Machine Name: DESKTOP-TR06SDA
// Price Data: ES.30.1997 *2021-02-28 *2021-10-11 03:14:38: (Data1: ES\ES.1.Minute.LocalTime_1997_28-02-2020.txt (Mult.: 30, Session: "0830 - 1500"))
// MaxBarsBack: 500
// Profits Mode: Currency
// Quantity: 1
// Quantity Mode: FixedShareContracts
// Trading Dates: 2006-03-01 - 2019-02-28
// Trading Dates Mode: All
// Trading Nth Day: 1
// Trading Nth Day Mode: All
// Exit Stop Loss: 4000
// Exit Profit Target: 2750
// Exit Minutes:
// Exit Bars:
// Fitness Criteria: NetProfit * AvgTrade * PFLateEntry
// Entry Type: Compare2
// Commission: 0
// Slippage: 0
// Reports Commission: 0
// Reports Slippage: 0
// Commission Mode: TradePerSide
// Slippage Mode: TradePerSide
// Positions Allowed: LongOnly
// Max. Entries per Day:
// WF Type: GeneticAlgorithmMultiThreaded
// WF # of Random-Space Tests: 10000
// WF GA Generations: 130
// WF GA Population: 130
// WF Anchored: True
// WF OOS %: 20
// WF Runs: 10
// WF Search Space: Nearest
// WF Nearest %: 100
// WF Fitness Criteria: NetProfit * AvgTrade * PFLateEntry
// WF Result:
// Optimization/Original 65 12 1.75 1.75 1.75 5 5 50 1 700
// 1 15 117 1.5 0.75 2 -7 -7 50 1 400
// 2 15 117 1.5 0.75 2 -7 -7 50 1 400
// 3 200 13 1.5 1.75 1.5 6 6 50 1 600
// 4 56 9 0.75 0.5 0.75 4 4 50 1 650
// 5 68 9 0.75 0.5 1.25 8 8 50 1 650
// 6 56 9 0.75 0.5 1.5 10 10 50 1 650
// 7 56 9 0.75 0.5 1.5 10 10 50 1 650
// 8 56 9 0.75 0.5 1.5 10 10 50 1 650
// 9 56 9 0.75 0.5 1.5 10 10 50 1 650
// 10 56 9 0.75 0.5 1.5 10 10 50 1 650
// Current 53 9 0.75 0.5 1.5 10 10 50 1 650
// Params. Rol. Stability Coarse: 78
// Params. Anc. Stability Coarse: 66
// Equity Bollinger: 90.0%
// Equity Pearson Exact: 10.0%
// Equity Pearson Close: 70.0%
// Equity Spearman Exact: 20.0%
// Equity Spearman Close: 70.0%

// Manager's GSB Version: 1.0.62.88 / 2021-08-03
// Worker's GSB Version: 1.0.63.09 / 2021-09-28

// Performance (full period)
// Fitness: 139,593,867.38
// Net Profit: 140,812.5
// Commission (in $): 0
// Drawdown: -15,687.5
// Avg Trade: 531.37
// Percent Profitable: 55.47
// Pearson: 0.991
// Profit Factor: 1.88
// Trades Count: 265
// Net Profit / -Drawdown: 8.98

// Performance (walk-forward)
// Params. Rol. Stability Coarse: 78
// Params. Anc. Stability Coarse: 66
// Equity Bollinger: 90
// Equity Pearson Exact: 10
// Equity Pearson Close: 70
// Equity Spearman Exact: 20
// Equity Spearman Close: 70

// Inputs: // see warning at https://trademaid.info/gsbhelp/Script.html
Vars:
i1Data(1),
i2Data(1),
i2length(65),
i3Data(1),
i3length(12),
i1Weight(1.75),
i2Weight(1.75),
i3Weight(1.75),
entryParams(5),
iSFData(1),
iSFbpv(50),
iSFWeight(1),
sfEntryLevel(700),
stopLossCurrency(4000),
profitTargetCurrency(2750);

// If the statement below does not compile, please import the latest script file from C:\GSB\GSB (Managers)\TradeStation Code\GSB_Scripts_2021_07_31.eld
Once
Begin
Value1 = GSB_Scripts_2021_05_19;
End;

// MaxBarsBack check
Once (MaxBarsBack <> 500)
Begin
RaiseRunTimeError("MaxBarsBack (Maximum number of bars strategy will reference) must be set to {0} (from Properties for All button, General tab)");
End;

// Vars
Vars:
id("20211011-135321-326483-wvDqo-WF-20211012-031334-278740-7Mdyi"),
debugScriptPath("C:\GSB\Data\Debugs\20211011-135321-326483-wvDqo-WF-20211012-031334-278740-7Mdyi.ts.mgr.bktst.txt"),
dateYmd(0),
timeHms(0),
isSessionOpen(False),
nthDay(1),
lastDate(0000101),
daysCount(-1),
weekDay(0),
currentBarDTOHLCV(""),
lastBarDTOHLCV(""),
v1(0, Data1),
v2(0, Data1),
v3(0, Data1),
vn1(0, Data1),
vn2(0, Data1),
vn3(0, Data1),
vSf(0, Data1),
vnSF(0, Data1),
result(0),
sfResult(0),
decision(0),
sfDecision(0),
flag(0),
BSE(1),
zs(0.0000000001);

// Date YMD, Time HMS, and Day of week
dateYmd = Date + 19000000;
timeHms = StrToNum(BarDateTime.Format("%H%M%S"));
weekDay = DayofWeek(Date);

// Is-Session-Open
isSessionOpen = (weekDay = 1 And Time > 0830 And Time < 1500) Or (weekDay = 2 And Time > 0830 And Time < 1500) Or (weekDay = 3 And Time > 0830 And Time < 1500) Or (weekDay = 4 And Time > 0830 And Time < 1500) Or (weekDay = 5 And Time > 0830 And Time < 1500);

// Exit Stop Loss
SetStopLoss(stopLossCurrency);

// Exit Profit Target
SetProfitTarget (profitTargetCurrency);

// Indicators
v1 = TrueRange of Data(i1Data);
v2 = AvgTrueRange(i2length) of Data(i2Data);
v3 = AvgTrueRange(i3length) of Data(i3Data);
vn1 = GSB_Norm4(v1, 13, 100) of Data(i1Data);
vn2 = GSB_Norm4(v2, 13, 100) of Data(i2Data);
vn3 = GSB_Norm4(v3, 13, 100) of Data(i3Data);
vSF = GSB_CloseLessPrevCloseDBpv2(iSFbpv) of Data(iSFData);
vnSF = GSB_Norm4(vSF, 0, 100) of Data(iSFData);

// Result and decision
result = ((Sign(vn1) * Power(Absvalue(vn1), i1Weight)) * ((Sign(vn2) * Power(Absvalue(vn2), i2Weight)) * (Sign(vn3) * Power(Absvalue(vn3), i3Weight))));
result = Sign(Sign(vn1) + Sign(vn2) + Sign(vn3)) * Absvalue(result);
result = IFF(AbsValue(result) > zs, result, 0);

// entry type = Compare2
decision = GSB_Decision7(result, 2000, Sign(entryParams) * Power(AbsValue(entryParams), 4), 0);

// SF result and decision
sfResult = vnSF * iSFWeight;
sfResult = IFF(AbsValue(sfResult) > zs, sfResult, 0);
sfDecision = GSB_Decision7(sfResult, 1000, sfEntryLevel, 0);

// Entry-filter check
flag = 0;

If True
And ((timeHms >= 083000 And timeHms <= 143000)) Then
Begin
// Buy/Sell
If (decision = 1 Or decision = 2) And sfDecision = 1 Then
Begin
Buy("Long Entry") 1 contracts this bar on close;
flag = 1;
End
Else If (decision = -1 Or decision = 2) And sfDecision = -1 Then
Begin
Sell("LX-Long Exit") this bar on close;
End;
End;

// Hash (DO NOT CHANGE)
// In order to restore the system that generated this script, save the full script as a .gsbscript file and load it from GSB (just like .gsbsystem and .gsbsystemz files).
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[*] posted on 12-10-2021 at 02:46 PM


PQT2020, i would bet that is due to profit target and stoploss, adjust those to match MES, then i think it will match nicely.

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[*] posted on 12-10-2021 at 02:52 PM


Hi Daniel
What do you think of the system?
Have you tried any other settings that improve robustness?
Thanks


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[*] posted on 13-10-2021 at 02:57 AM


Quote: Originally posted by portfolioquanttrader2020  
Hi Daniel
What do you think of the system?
Have you tried any other settings that improve robustness?
Thanks


Hey, imho, system looks reasonable and fine, but i think whats important is how you get the system, and not so much the system itself.
(pick the family and not the system)

Anyway, for my swings, i see a combination of systems as one system.
I tend to like, using different targets and stops, so i trade the average of for example 3-4 systems, as one system.
My reasoning is that the large stops together with randomness in me being able to chose the "correct" stop and target is large, hence i rather trade the average of several different variations as one system.

Also, i found out the hard way, that MC calculates stops and targets when using local emulation by using BROKER (NOT your data provider )prices regardless of session time used, so DONT use local emulation if anyone is executing with MC.


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[*] posted on 13-10-2021 at 09:54 AM


Daniel, could you give me an example of that system that you mention with variations?

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[*] posted on 13-10-2021 at 03:31 PM


Quote: Originally posted by portfolioquanttrader2020  
Daniel, could you give me an example of that system that you mention with variations?


Hi, i believe you can take any swing system, and create a few variations of stops and targets, and then trade those as one system so you get the average outcome.

Is less about the system and more about the logic.

Take an existing system you have and test from there if you want.


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[*] posted on 13-10-2021 at 06:27 PM


For overnight systems, agreed you can make variations, but the ideal is different systems with variations of indicators etc, and then perhaps exits.
Shown here on BTC, the entries are somewhat similar, but exits vary the results greatly



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[*] posted on 17-10-2021 at 02:28 PM


Hi peter
Doing the EFWO several times, always red numbers.
How could I broaden the range and prevent zero from appearing as an edge?

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[*] posted on 17-10-2021 at 02:49 PM


Hi peter
In this case of this parameter it would be convenient to choose the peak, and then not optimize the parameter in the EFWO?

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[*] posted on 17-10-2021 at 02:54 PM


What parameter value would you choose if it doesn't affect performance

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[*] posted on 17-10-2021 at 06:31 PM


Quote: Originally posted by portfolioquanttrader2020  
Hi peter
Doing the EFWO several times, always red numbers.
How could I broaden the range and prevent zero from appearing as an edge?

thats a very good question.
I would manually optimize the 4h parameter -10 to 20 step1 in ts and look at the curve.
Also want to know that it does in the code, as 0 might be very significant.
ie if your code was
results=indic1^w1 then result = 1 regardless of what inidc1 is.
the next variable that end with 30, try 15 to 55 step1 and look at the curve.

same for the 3rd one that has a 1 in it.
You can also try a different fitness,
ie np*at or np/dd

or better still fitness selection to see whats best



fit-selection.png - 13kB


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[*] posted on 17-10-2021 at 06:36 PM


Quote: Originally posted by portfolioquanttrader2020  
Hi peter
In this case of this parameter it would be convenient to choose the peak, and then not optimize the parameter in the EFWO?

I like this parameter in that it is the ideal bell curve.
clear peak in np and pf at the same time.
Keep in mind sometimes parameters are multi dimensional
ie result = macd(x,y)

or if a system is bad, the final parameter is not chosen till the last line
so 18 to 33 say step 1 would be good.


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[*] posted on 17-10-2021 at 06:39 PM


Quote: Originally posted by portfolioquanttrader2020  
What parameter value would you choose if it doesn't affect performance


This is excellent example.
The parameter does nothing at all, so likely the code should be removed.


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[*] posted on 18-10-2021 at 11:03 AM


Hello! I need some help here.

Can i use GSB in Brazilian assets? I am trying to input some local assets data but the system do not accept it...

message: " a value of win$n cannot be found in the contracts list"

Tks!









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[*] posted on 18-10-2021 at 03:37 PM


Quote: Originally posted by rdelimasilva  
Hello! I need some help here.

Can i use GSB in Brazilian assets? I am trying to input some local assets data but the system do not accept it...

message: " a value of win$n cannot be found in the contracts list"

Tks!
you need to add it in the contract list.
go to tools contract list.









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[*] posted on 24-10-2021 at 03:42 AM
WF parameters


Hello,

Below are the parameter settings after WF:
// WF Result:
// Optimization/Original 19 0 0 0 0 0 157 -1 2.5
// 1 190 0 0 0 0 0 17 -1 55
// 2 190 0 0 0 0 0 17 -1 55
// 3 19 0 0 0 0 0 157 -1 2.5
// 4 19 0 0 0 0 0 150 -1 5
// 5 19 0 0 0 0 0 150 -1 5
// 6 19 0 0 0 0 0 150 -1 5
// 7 19 0 0 0 0 0 150 -1 5
// 8 19 0 0 0 0 0 150 -1 5
// 9 19 0 0 0 0 0 150 -1 5
// 10 19 0 0 0 0 0 150 -1 5
// Current 18 0 0 0 0 0 69 -1 27.5

And down here are the Inputs:
// Inputs: // see warning at https://trademaid.info/gsbhelp/Script.html
Vars:
i1Data(1),
i2Data(1),
i2length(19),
i3Data(1),
i1Weight(0),
i2Weight(0),
i3Weight(0),
entryParams(0),
iSFData(1),
iSFLength(157),
iSFWeight(-1),
sfEntryLevel(2.5),
iTF1Data(1),
iTF1offset(64),
stopLossCurrency(2000),
stopLossCurrencyEntryCheckRatio(1);

// Optimization/Original 19 0 0 0 0 0 157 -1 2.5
What I see is: i2length(19), i1Weight(0), i2Weight(0), i3Weight(0), entryParams(0), iSFLength(157), iSFWeight(-1), sfEntryLevel(2.5).
The question is: to which parameter is the FIFTH ZERO assign?

Thomas


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