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Zwijnhond
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Hi Peter, thanks fort this! One more question; is there a method to find out which future is GSB friendly?
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admin
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Just an update
Ive spent most of the last 3 weeks on GSBsys1NQv2 and now trying what Ive learnt from that onto GSBsys-v1.3es
https://trademaid.info/gsbhelp/GSBsys1NQV2.html
(and fixing TS memory leaks with lots of updates to alertmon monitoring to watch out for this.)
Memory leaks can be fixed by removing some windows update, but this varies from one machine to another as to what update it is)
Updates to GSBsys1.3es is close to done but I want to try the same code changes on version sys1.5 es
Unusual for me to spend so much time on one system, but its a popular systems thats been trading since 2017 with superb out of sample results.
Also had chats with 2 users who separately have come up with some similar conclusions
The secondary filter closetohighlow3 which works so well on NQ / ES also works on quite a number of other markets.
This is going to take me some time to explore. Will update you all as time permits.
Thanks received (2):
+1 saycem at 2022-10-10 17:44:06 +1 Ketil at 2022-10-08 02:27:34
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timemeantnothing
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awesome. thanks for the continued updates!
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timemeantnothing
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admin
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Had a comment from a user this week (who wished to remain anonymous.
"After a long DD from middle of May until mid-September, my systems woke up and are generating nice profit.
In fact, it’s ES and NQ that go extremely well, gold and crude oil are not doing well.
Profit this year up to today is 72%, 100 kUSD as a baseline.
Peter, THANKS a lot of GSB!"
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admin
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Unrelated
Im still looking to test some high end amd and intel i9 machines purely for use for TS optimzation.
The amd are very bad for GSB but good for TS.
anyone got one I can use for 30 minutes, please let me know
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portfolioquanttrader2020
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Hello
I need to know where the way to interpret this table is explained
Cheers
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admin
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@portfolioquanttrader2020
the oos is f, so we are ranking the tests that have highest f
this is the 800 start of session, 9am start of trading
We are also interested in what test had the most in favorites D, as a high number here means good out of sample metrics
The figures f and d shoudl corelate somewhat, but likely a bit eraticly
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admin
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I now have some objectivity if we should trade fed interest dates etc.
This is my beta concept, and Im open to alternative view points.
I am testing using about 20 or so systems. Quite a number are related systems. IE GSB1ES series.
So I dont want to curve fit on one day trading system, but on the basket of them.
There is > 10,000 trades and I only will consider a news event that has 200 trades. Too small a sample is not useful statistically.
I will stop trading on events that have got really poor NP, np/dd or PF
Note some of these are profitable long term, but higher risk and lower reward.
Now you can rightly argue that what I have done here is said with no out of sample period, but I feel its likely to be valid
  
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admin
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It is possible by date filters as well, to do a in sample test as well on PA.
But I argue the concept of not trading fed interest dates is not a new one. Numerous uses have expressed this to me. Traditionally I would trade all
days
except 1/2 trading days. Bottom line is no one will get this right all the time, but the volatility and choppiness on these days is likely to be high
for some time.
I will likely add this code into GSB systems as a default, with inputs to exclude any 1/2 days
ie dontTradeDate 20221125);
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timemeantnothing
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what a day today in GSBsys1ES! beautiful move <3
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admin
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Biggest day in 22 years for me. The NQ was much better. > 9k per contract. Recommend all users trade both markets.
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autotrader2023
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Amazing day! What a way to end the month!
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admin
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another GSB community project
We all have our minds holding to a set of beliefs that we are sure is true. Applies to trading and life in general.
I think it was Mark twain who said, what you dont know wont kill you. Its what your sure is true and aint that will.
Well my firm beliefs are wrong again. I did a lot of testing and found 30 min bars to be the best.
What I may not have done is tweaked the start time so all bars are of equal time value
ie 830 to 1500 is 13 30 min bars
if we go to 29 min bars we are short 13 min, so the session time should be 843 to 1500 etc
Well I have done the research on ES and found 30 min bar was the 26th best interval, and 15 min was the 58 th best bar interval.
Have completed nq too, but made a mistake so have to redo it.
So send me your share key, and I will add you into the cloud dedicated to this project, and will send you the full results of nq and es testing
If you have not given me your worker share key in the past, make it youremailadress.1234 were 1234 is a unique random number of your choosing
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timemeantnothing
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Hi Peter, in layman's terms does this mean some systems you had created using 29 minute bars and some with 15 minutes and you needed to tweak the time
on them? If so, which systems are they?
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admin
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The implications of this is likely that existing systems we have could be re-optimized on different bar intervals. I might do that as a test when time
permits.
But thats not the point of this test.
The goal is to find what session time / bar interval gives best results as a template to get specific systems to trade
Thanks received (1):
+1 cotila1 at 2023-02-23 13:25:53
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admin
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The bar interval tests for es nq have been sent out to all contributors.
Due to our collective massive computing power, its taking me roughly 1 day per market.
Next same tests on dow and mini russell.
I may then do secondary closedbpv instead of highlow2
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admin
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Bar interval tests have been done on es ym nq rty with secondary fitler highlow3
Closed not normalzied secondary filter had been done on ym. more too come.
thanks all
results in pcloud
Thanks received (2):
+1 cotila1 at 2023-02-28 12:40:25 +1 Piet at 2023-02-28 01:05:36
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cico
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Quote: Originally posted by admin  | Bar interval tests have been done on es ym nq rty with secondary fitler highlow3
Closed not normalzied secondary filter had been done on ym. more too come.
thanks all
results in pcloud
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Peter, how to use those files correctly, please? Should we start indicator testing just with those indicators, which are listed on "Summary" sheet in
each file? Meaning 66 selected indicators in RTY, 71 in ES etc.? Or how to tackle that? Many thanks.
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admin
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@cico, I may have a different list and its not critical. Likely best to just use the full set for gsb purchasers. Beta indicators may technically
work, but not give anything unique or as good as default indicators & a few dont match GSB to TS.
Over time I move indicators that truely give value into GSB purchasers list.
Whats in excel is always less that what you started with. If you then start with only whats in excel.. go through the process again you have a smaller
list.
I repeated this process numerous times to get a small set each time and surprisingly it was a total waste of time.
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cico
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| Quote: Originally posted by admin | @cico, I may have a different list and its not critical. Likely best to just use the full set for gsb purchasers. Beta indicators may technically
work, but not give anything unique or as good as default indicators & a few dont match GSB to TS.
Over time I move indicators that truely give value into GSB purchasers list.
Whats in excel is always less that what you started with. If you then start with only whats in excel.. go through the process again you have a smaller
list.
I repeated this process numerous times to get a small set each time and surprisingly it was a total waste of time. |
Peter, thank you very much. And as with YM and RTY there are only a few of systems coming to Fav.D, so it is almost impossible to create families
there, would you those, coming to Fav.D consider as tradable candidates (if they pass other criterias) or you take the sample size as insufficient
(and both YM and RTY as a hard to trade - as mentioned in the methodology, the bigger the number of systems in Fav.D, the better..)? Thank you.
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admin
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If there are not a lot of systems in fav d, i would go to fav C
I have not yet had time to digest the data
However there are two factors to consider
YM and RTY are likely not as good markets for this setup compare to ES NQ
Ive heard of good live trading results on them vaa gsb systems (but have no more details than that)
so you could stick to es / nq or you could try and improve the setup.
However I would have argued NQ setup was as good as we can get it. Lots of time spent on the market, and i had no ways to improve...
but then someone finds something new, and often this improvement applies to all markets
We also need to evaluate the secondary filter CloseD results. Will be interesting too see what markets are best for closed vs highlow3
Will pubish nq closeD results next in pcloud < 24 hours if all goes well.
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admin
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GSB SQL server died in the last 24 hours, which stopped me (and likely all others users) building systems in the cloud.
(SQL server is how all the managers connect to their workers)
We had to delete all jobs running to fix it. Still diagnosing why it happened.
Apologies to all but nothing we could do to recover sql server. It was not responsive
Im still doing the bar interval research, but this delayed things a bit
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admin
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There are updates to the community project pcloud file. es rty nq ym have been done for both secondary filters.
I have not reviewed results yet.
still doing some more testing though
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TradingPrice
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Peter,
https://trademaid.info/gsbhelp/Maximumparameterduplicates.ht...
1- Could you please explain "Maximum parameter duplicates" more?
in the recent community project we're using 2, but in Builds we're using 0?
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2- Could you please explain SF-Indic. Params & SF-entry level and how they relate regrading entries Long & short? see attachment
3- TF Parameters? so in attachment 48 ticks above prev day close?
Thanks
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