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Daniel UK1
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Imho, 1000 in CL is fine, higher stops i have not seen to provide greater returns in my research.
I think no one can tell you what to use as SF, you need to test all SF and come to this conclusion yourself.
A tip is that there are lots of SF that will work on CL including several variations of trade session times and build sessions
Good luck in your research
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admin
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@portfolioquanttrader2020 for CL, I think sf close/PreviousLowd sf was good, with entry type compare2
Much work is being done on CL now, but It will take a few months for this to be finalized
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portfolioquanttrader2020
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Hi Peter and Daniel UK
These are the results with data 1 in 5 minutes and data 2 in 30 minutes.
I think that increasing the stop improves the results.
I will do another test with a higher stop, for example $2,500.
If you know of any more improvements, please let me know.
What do you think of these results after the wfo?
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portfolioquanttrader2020
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Hello
Earlier I was referring to the input mode in SF.
Why is the same chosen for the indicator?
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portfolioquanttrader2020
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hi peter
Why does period H not appear in statistics?
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Daniel UK1
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Quote: Originally posted by portfolioquanttrader2020  | Hi Peter and Daniel UK
These are the results with data 1 in 5 minutes and data 2 in 30 minutes.
I think that increasing the stop improves the results.
I will do another test with a higher stop, for example $2,500.
If you know of any more improvements, please let me know.
What do you think of these results after the wfo? |
I dont think so much about these results more than perhaps that they dont look that great. But more important, what i think is irrelevant.
The question you need to ask, is, how does this look compared to my other tests i did with all the other data 1 and 2 timeframes ? when you have the
answer to this, you know what to use. (And ask the same question for every parameter and setting, including your stop)
So get excel out, and note down all the stats, and data will provide the answer to you.
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Daniel UK1
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Does your macro utilize H ? does it try to put any stats there ?
Check the macro first, thats what i would do.
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portfolioquanttrader2020
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Hello Daniel
What stats are you referring to? Which ones do you export to excell and how?
I am looking first for the out of sample systems to be positive in all periods, and then do wfo and create families.
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Daniel UK1
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| Quote: Originally posted by portfolioquanttrader2020 | Hello Daniel
What stats are you referring to? Which ones do you export to excell and how?
I am looking first for the out of sample systems to be positive in all periods, and then do wfo and create families. |
Hi, I mean the stats your are seeing for A, B, C, D etc..
These you need to get out to excel, by using export stats function, preferably in the macro.
That gets located in the export stats folders in GSB, as csv.
Without this its impossible for you to compare different tests and see what configuration/settings is better or not.
Until you are happy and satisfied with your finalized configuration of your opt setting its no point in creating any families or doing any WF (unless
you are doing WF for the purpose of stats of some kind).
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OUrocketman
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Exporting to Portfolio Analyst (PA) from GSB
I am probably overlooking something simple when trying to bulk export from GSB to PA, but when I set the export to PA flag to TRUE, I am not getting
the .pa files written to the directory I provide on my desktop. I have searched my entire PC several times, and don't see files being written
anywhere. Is there something simple I am overlooking? I have PA installed in Program Files (x86) and my test output location is on C:\$user\Desktop.
I appreciate the help!
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admin
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| Quote: Originally posted by OUrocketman | I am probably overlooking something simple when trying to bulk export from GSB to PA, but when I set the export to PA flag to TRUE, I am not getting
the .pa files written to the directory I provide on my desktop. I have searched my entire PC several times, and don't see files being written
anywhere. Is there something simple I am overlooking? I have PA installed in Program Files (x86) and my test output location is on C:\$user\Desktop.
I appreciate the help!
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I would try using the default path. You could have permision issues in the Operating system. TS might not also accept $user as a valid path. Im not
sure.
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Carl
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Hi OUrocketman,
I think you have discovered a bug in GSB 64.52. I have the same issue here.
It used to work, but does not work anymore in this version.
Adding an output folder path does not solve the issue either.
My steps:
1. choose strategy
2. right click - save
3. export to portfolio analyst True
4. ok
No .pa files in ...GSB (Managers)/Data/Portfolio Analyst/ or anywhere else
Thanks received (1):
+1 OUrocketman at 2022-01-31 12:33:30
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portfolioquanttrader2020
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Hello
Are you using different output methods when searching for indicators or building systems?
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admin
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@carl, I will look at this tomorrow. I did not read the post properly and thought the issue was export from ts to make a pa file
@portfolioquanttrader2020, Im not clear what and who you are asking.
Thanks received (1):
+1 OUrocketman at 2022-01-31 12:34:23
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portfolioquanttrader2020
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Hi Peter, sorry, I was asking you.
I ask if you can select different exit modes to build systems, or look for indicators.
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admin
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@OUrocketman, @ carl. I agree this is a bug. Will fix asap but programmer concerned is on leave for a while.
@portfolioquanttrader2020, exit modes tend to benfit swing trading systems, not day trading systems.
If you manualiy optimize exit modes, you will sed a number do nothing, some greatly reduce all good metrics but better drawdown, and the odd one is
useful.
You want to see what might help once you have built a system, then apply to your build methodology. I would only do this if your an experienced GSB
user and your trading trades > 1 day long
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portfolioquanttrader2020
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hi peter
I am obtaining the oil statistics with two different macros, but they have the same periods.
I understand that the results of the statistics should be identical, using both macros.
Can you explain to me why? Is there an error or bug in either of the two macros?
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admin
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@portfolioquanttrader2020, Best to put each macro into a seperate gsb, edit the macro and compare
Likely the dates differ, pf and pearsons also differ.
I have not done CL for a long time, and dont want to publish anything on it until we have redone the methadolgy. (being done now)
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Siem
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Last week I modified one of my TS GSB strategies so it could use multiple contracts, the amount is set with an input.
When it traded it bought the correct amount of 2 contracts, but also sold these 2 contracts immediately. I could not find it on the forum, but I
vaguely remember it was brought up on the forum before.
Is it correct that setting the amount of contracts via an input (instead of just hardcoding it in the code) caused this?
If the above did not cause the simultaneous buy / sell problem.
My TS runs multiple strategies for the same futures contract and at the same timeframe, one of which also bought one contract at the same time, could
this then have been the cause of the problem?
EDIT: I think the problem was the stop loss, I needed to multiply the stop loss by the amount of contracts traded.
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BlackBox
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| Quote: Originally posted by Siem | Last week I modified one of my TS GSB strategies so it could use multiple contracts, the amount is set with an input.
When it traded it bought the correct amount of 2 contracts, but also sold these 2 contracts immediately. I could not find it on the forum, but I
vaguely remember it was brought up on the forum before.
Is it correct that setting the amount of contracts via an input (instead of just hardcoding it in the code) caused this?
If the above did not cause the simultaneous buy / sell problem.
My TS runs multiple strategies for the same futures contract and at the same timeframe, one of which also bought one contract at the same time, could
this then have been the cause of the problem? |
Hi Siem,
Have you ticked "Allow multiple automated strategies"
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Siem
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Yes, that is enabled for all strategy windows. "Send strategy generated stop orders directly to the TradeStation Order Execution Network" is also
enabled in that window here.
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portfolioquanttrader2020
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Peter
What does what I point out in the photo mean?
USEWFOCURPARAMS
IF IN THIS MACRO WFO WAS NOT DONE
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Daniel UK1
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It means that gsb will use the WF used parameters..
So this you could use if you wanted to compare WF optimised parameters against initial used build parameters, in further oos dates etc... or
whatever... but that is what it is.. hope it helps
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admin
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@BlackBox, look in the message section of ts trade server for clues. Did it exit straight away in TS chart too?
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portfolioquanttrader2020
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Peter
how can you put daily bars in GSB? It doesn't recognize my daily bars.
Thanks
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