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admin
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Try Dow and try the same code in ts. Make sure no date filters active. If it doesn't go in ts it's possible the range is too low to trigger the
systems. In excel you could convert daily code to 390 then export again as csv
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boosted
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I am a bit confused as to how exactly I do this...."In excel you could convert daily code to 390 then export again as csv."
I have SPY390m data that can only go back to July 98' in TS. But if I load up a TS SPY Daily chart I can get data back to Feb 93'.
I tried taking daily SPY data and copy and paste the data into SPY 390m .txt file but GSB won't accept even though looking at the daily data compared
to 390m data
it looks the same.
Detailed steps as to how I can take SPY daily data from Feb 93' to June 98' and add to 390m SPY .txt file that works with GSB would be greatly
appreciated since the data looks same to me but GSB for some reason not liking it.
Thanks.
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admin
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Quote: Originally posted by boosted  | I am a bit confused as to how exactly I do this...."In excel you could convert daily code to 390 then export again as csv."
I have SPY390m data that can only go back to July 98' in TS. But if I load up a TS SPY Daily chart I can get data back to Feb 93'.
I tried taking daily SPY data and copy and paste the data into SPY 390m .txt file but GSB won't accept even though looking at the daily data compared
to 390m data
it looks the same.
Detailed steps as to how I can take SPY daily data from Feb 93' to June 98' and add to 390m SPY .txt file that works with GSB would be greatly
appreciated since the data looks same to me but GSB for some reason not liking it.
Thanks. |
look at this data
//daily bars
"Date","Time","Open","High","Low","Close","Vol","OI"
05/07/2018,16:00,266.89,268.02,266.11,266.92,55304907,0
//390 min
"Date","Time","Open","High","Low","Close","Up","Down"
05/07/2018,16:00,266.90,268.02,266.11,266.91,20882710,20715663
they are the same except how volume works. So you could rename a daily bar csv to be es.390.minute.txt
You will have to disable indicators that use volume, or risk mild issue where TS<>GSB. There is only a few and I have had a mental blank as to what
ones. I can ask programmer.
My logic for this is 20882710+20715663 <>55304907
If this is rejected by GSB, let me know The issue will be the volume format.
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moveo
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This week I tried to find swing systems on ES.
I had good luck with the first 10 min run GSB.
Very stable oos with only 3 Indicators
 
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admin
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| Quote: Originally posted by moveo |
This week I tried to find swing systems on ES.
I had good luck with the first 10 min run GSB.
Very stable oos with only 3 Indicators
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Thats impressive and I'm keen to build some.
Can you publish some settings used. What were results like from 2000 to 2004. I normally use 2000 on-wards.
Did you do market verification tests at all?
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moveo
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I used all data jan 2004 - feb 2017 for training, 2000 stop,
2000 target, all other pretty much GSB standard settings.
Tried nth day feature but had no luck with swing systems.
Sadly I could not repeat it to get a comparable system with this
quality.This is the nature of genetic algorithm.
So the potential in GSB is great, but the art is to
fish it out.
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Yishke
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It is interesting to know whether there has been progress in research with the swing trade
| Quote: Originally posted by moveo |
This week I tried to find swing systems on ES.
I had good luck with the first 10 min run GSB.
Very stable oos with only 3 Indicators
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admin
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@moveo SO much has happened in GSB, and its like you have got the star ship enterprise with a entire galaxy to explore.
You should try secondary filter closedlessClosedbpv and also try (separately) the closetohighlow3{v4} secondary filter.
also try closetohighlow3{v4} secondary filter. with these settings. Not sure if they are in your build, but will be when I release the next build < 1
week
I assume you tried long only
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engtraderfx
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Hi Peter, I am running a swing system in multicharts with TP & SL of 2000 using inbuilt functions SetStopLoss / SetProfitTarget, don't know if see
this in TS but i notices MC seems to track the open profit/loss even outside session time (830 to 1500) I assume as the continuous symbol is pretty
much 24 hour, & therefor has exited at stop or profit. Backtests fine but in real time seems to be exiting incorrectly. Wondering if anyone else has
issue, thinking I may need to hard code the exits based on price so only calculated during session time? Any thought, dave
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Daniel UK1
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engtraderfx, fwiw, i execute on MC, and for index swings, i use rth custom session time in mc, and only allow execution within rth setting in IB...
i also manage stops and target emulation locally... (to avoid cross order issue with i with intraday systems)
In this setup you will not face the issue you are having..
Question is though, what data you have used to build your systems on, 24h ? then you cant use my above setup of course, i only use rth as build
data... and not 24h but regulate entry and exit by gsb time setting in left side gui.
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Daniel UK1
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| Quote: Originally posted by moveo | I used all data jan 2004 - feb 2017 for training, 2000 stop,
2000 target, all other pretty much GSB standard settings.
Tried nth day feature but had no luck with swing systems.
Sadly I could not repeat it to get a comparable system with this
quality.This is the nature of genetic algorithm.
So the potential in GSB is great, but the art is to
fish it out.
|
It might sounds "unlogical" but often using all data, is less good that nth...
Included macros by peter for swings, will provide you with systems far better than what you show, use that as benchmark, that you can try to beat.
(that is hard for swings) since included settings is very good.
Stops i think you will find that 2k for swings will not be good for index.
bidirectional systems for swing index is much more difficult than directional.
Just a few cents of thoughts, good luck.
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admin
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From memory im using nth 80 for build that converts to nth all when its in the manager.
Systems should appear much better if nth all was used, but thats because nothing is out of sample while my method gives 50% out of sample.
The test would be what the out of sample stats are like between the two methods
Agreed bydirectional is harder. Ive made one but I dont think its as good as the long only.
Thanks for your comments.
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engtraderfx
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| Quote: Originally posted by Daniel UK1 | engtraderfx, fwiw, i execute on MC, and for index swings, i use rth custom session time in mc, and only allow execution within rth setting in IB...
i also manage stops and target emulation locally... (to avoid cross order issue with i with intraday systems)
In this setup you will not face the issue you are having..
Question is though, what data you have used to build your systems on, 24h ? then you cant use my above setup of course, i only use rth as build
data... and not 24h but regulate entry and exit by gsb time setting in left side gui.
|
Thanks Daniel, i checked setting & using local emulation, hmm. In MC Quote Manager I just set to full session time & just use MC session time to use
data i need for 830-1500. (I do that in case I need data for different session times). Maybe that's how MC works, it seems to keep calculating open
profit outside session time? Might look at calculating TP / SL as per Peters code for stops.
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Daniel UK1
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| Quote: Originally posted by engtraderfx | | Quote: Originally posted by Daniel UK1 | engtraderfx, fwiw, i execute on MC, and for index swings, i use rth custom session time in mc, and only allow execution within rth setting in IB...
i also manage stops and target emulation locally... (to avoid cross order issue with i with intraday systems)
In this setup you will not face the issue you are having..
Question is though, what data you have used to build your systems on, 24h ? then you cant use my above setup of course, i only use rth as build
data... and not 24h but regulate entry and exit by gsb time setting in left side gui.
|
Thanks Daniel, i checked setting & using local emulation, hmm. In MC Quote Manager I just set to full session time & just use MC session time to use
data i need for 830-1500. (I do that in case I need data for different session times). Maybe that's how MC works, it seems to keep calculating open
profit outside session time? Might look at calculating TP / SL as per Peters code for stops. |
First thing you should try to figure out, is what data session did you build on to get the traded system from GSB? if you used 24h data or rth
session?
You need to make sure you are using the ame for your real trading of the system in MC.
You control sessioin time in MC from custom session templates used..
If you create a session template that only uses rth, liike 830 - 15 .. then you will only get targets and stops based on that active sessioin.
But check data file you used in GSB, 24 data or rth ? or you used peters data .. i believe then its 830 - 15..
But you really "should" only use your own data, so you can control and make sure you use what it is you actually wants to use..
Thanks received (1):
+1 admin at 2021-09-29 17:43:58
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engtraderfx
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Hi, yes its all built on IQ data with session time 830 to 1500 & use same for custom session time. I use the continuous IQ contract @ES#C as feed &
map to current contract in IB (MESZ1 for example). Works fine for day trade systems but noted MC keep calculating real time Profit / Loss outside of
session time.
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engtraderfx
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Hi, yes its all built on IQ data with session time 830 to 1500 & use same for custom session time. I use the continuous IQ contract @ES#C as feed &
map to current contract in IB (MESZ1 for example). Works fine for day trade systems but noted MC keep calculating real time Profit / Loss outside of
session time.
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admin
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it might be ok if mc calculates that out of hours, as long as trades dont execute out of hours. Performance reports should not show any a/hours data.
Otherwise if there is a day session es contract, you could try that
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engtraderfx
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fyi just saw comment by Daniel UK1 on general support post which reflects my experience....stop/profit targets continue to be calculated by MC outside
of session time on local emulation which I thought needed as stops/limits we want only executed during session. Just had another one last week hit TP
outside session time but should have executed (for higher profit) on open of next bar, interested to see how resolve that issue? Otherwise i may try
internal coding for Stop/PT.
"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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admin
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@engtraderfx. This is news to me as ts hypothetical reports normally match ts reports extremely close. Could the issue be in forward testing they use
the a/h data?
It could be fine to calculate real time profits after hours, as long as you dont take fills out of hours. Are the stop and pt held in the exchange
after hours?
Should I document how to use local emulation? No idea what it looks like but a screen shot could be good.
Im not sure if internal coding will fix this issue, but im interest to know if it does.
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engtraderfx
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Peter, yes the issue is backtests are fine in MC, the issue is as noted MC calculates stops & executes in realtime even outside session time. I
haven't found a workaround yet, wanted to work in local mode to prevent overlap of other systems & thought it would work but does't so far. I could
try limiting the mapped data for current contract to session time as well but not sure that works or even want to as may need data for other systems.
Will try setting up internal coding for profit / stop (similar to existing gsb code i would think), albeit will rely on real time market orders as per
local emulation. Will pass on code when I get around to it.
cheers, dave
Thanks received (1):
+1 admin at 2021-10-17 23:01:16
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Daniel UK1
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Entrader, Yeah its a tricky one, local emulation setting in MC can not be used, since MC will use broker feed for sending stops and targets, i.e you
used session time is redundant. The stops and targets will hit 24h if using local emulatioin.
So backtests will look fine but live trading not the same.
If this shall work, Only possibility is to emulate stops and targets in the GSB code and not MC, then the session time will be respected.
Peter, i propose that for swing systems this is done by GSB perhaps as an option ? send stops and targets when hit or as now at position entered.
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admin
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| Quote: Originally posted by Daniel UK1 | Entrader, Yeah its a tricky one, local emulation setting in MC can not be used, since MC will use broker feed for sending stops and targets, i.e you
used session time is redundant. The stops and targets will hit 24h if using local emulatioin.
So backtests will look fine but live trading not the same.
If this shall work, Only possibility is to emulate stops and targets in the GSB code and not MC, then the session time will be respected.
Peter, i propose that for swing systems this is done by GSB perhaps as an option ? send stops and targets when hit or as now at position entered.
|
stops after they hit is too dangerous if its if openequity<-stoploss then ... exit
this is upto 30 minute delay on the exit if your on 30 min bars
seems silly you need to code around such a basic issue in MC. after all these years no one has ever brought it to my attention. Does mc support have a
fix for this?
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Daniel UK1
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| Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Entrader, Yeah its a tricky one, local emulation setting in MC can not be used, since MC will use broker feed for sending stops and targets, i.e you
used session time is redundant. The stops and targets will hit 24h if using local emulatioin.
So backtests will look fine but live trading not the same.
If this shall work, Only possibility is to emulate stops and targets in the GSB code and not MC, then the session time will be respected.
Peter, i propose that for swing systems this is done by GSB perhaps as an option ? send stops and targets when hit or as now at position entered.
|
stops after they hit is too dangerous if its if openequity<-stoploss then ... exit
this is upto 30 minute delay on the exit if your on 30 min bars
seems silly you need to code around such a basic issue in MC. after all these years no one has ever brought it to my attention. Does mc support have a
fix for this? |
Sorry Peter, obviously one should not wait to send stop order until bar close.
I think the issue with local emulation have arrised only lately when swing systems was introduced in GSB, and the issue of needing to use "ocal
emulation" therefore only came up now, and with this also brought the issue that MC forcing the use of broker price..
I have spoken to MC in length about this, and there is no way around it.
MC uses broker price, either trade or bid,ask, if using local emulation.
Making your session template useless for limiting stops and targets to a certain session.
Only way around this is to adapt code.
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admin
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what about not having market held orders, and only send order when mc detects a fill. This is the method I used on IBlink.
"If this shall work, Only possibility is to emulate stops and targets in the GSB code and not MC"
I dont know how to adapt the code regardless. you can have a stop keyed to entry price, but I dont see how thats going to fix things.
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Daniel UK1
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Yes we are trying to get away from having market held orders since this is the issue in the first place.
So yes, not having market held orders is the solution, but question is how to solve this in the code itself by GSB.
Local emulation is ruled out as we now know.
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