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catmore
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Portfolio Analyst
I am using TS 10 and Portfolio Analyst. Using the ELD file to export trades as TS 10 no longer supports exporting trade data into xml format. Is
there any workaround to get intra-day pricing in the export trades file to enable intraday pricing on lower timeframes below daily? (ex. 240 minute
bars) Without the high and low per bar the intraday drawdown calculations are not available in Portfolio Analyst.
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admin
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@catmore
I think in most but no all situations we get the intra day pricing exported.
There were many complaints over ts over the removal of xml export and a ticket was lodged internally in ts to take care of the issue.
You can use ts 9.5 or go back to a older version of ts10
There is also a registry hack to stop ts10 updating to new versions - as it does so without the users permision.
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admin
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@chucknz
The choice of multiple duplicate indicators was a very deliberate one.
Im still interested in the same indicators with different parameters, even in one system.
However I agree that there is an issue here and have logged an issue with one of the programmers.
It doesnt build systems till this is set to 0 or>3
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admin
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@timemeantnothing, lots of low volatility periods are profitable, but the extreme like 2004 to 2006 I could find nothing that works
you could try position sizing, but I have no personal interest in looking into that.
We are in extreme volatility and the best conditions in my 22 years of trading.
Its nice to be prepared for future conditions, as we know one day low volatility will occur. Happily I was very well prepared for the last change in
market regimes to our current conditions.
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ChuckNZ
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Is there a trick to get custom indicators to work?
This is what I have done:
1. Created a custom indicator (tools,custom indicators, generate export script).
2. Pasted the script into an easylanguage strategy called GSB_Custom.
3. Opened the desired chart and applied the strategy.
4. Waited for it to write the txt file.
5. Imported the txt file into GSB.
6. Set the Custom Indicators to know about my new function. enabled it as an indicator as well as a secondary filter. I think it should work fine
in either case.
7. Even tried forcing gsb to use either or both (indicator or sf).
9. Loosened all of the performance filters in case the function was total crap.
10. Ran GSB in a mode where it would count the indicators that were used.
11. ZILCH... nothing.
For what it is worth, this function returns a one if sees a buy condition and minus one for a sell condition. That should work, right?
I spent 22 hours getting to this point and i'm stuck. any words of wisdom would be appreciated.
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admin
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Hi Chuck
assuming you followed the docs here https://trademaid.info/gsbhelp/Customindicators1.html
then time for anydesk.com session. While I appreciate users read the docs, and try to figure things out... spending 22 hours on a task is too long.
Better to ask for help earlier.
Long term we intend to have dll support so you can write CI, rather than go through all those steps.
Note however CI doesnt yet support the pass1 on best indicator support ranking, which makes CI useless to me.
However simple public domain indicators im happy to get added into GSB
The indicator ranking issue is on the todo list, but likely will be some time.
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ChuckNZ
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Random Space Walk Forward?
Can someone tell me what is meant by "Random Space Walk Forward"? How is it different from the "Genetic Algorithm Walk Forward"? Thank you.
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Carl
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Quote: Originally posted by ChuckNZ  | | Can someone tell me what is meant by "Random Space Walk Forward"? How is it different from the "Genetic Algorithm Walk Forward"? Thank you.
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Hi Chuck,
Some info here:
https://trademaid.info/gsbhelp/ofRandom-SpaceTests.html
Random space performs a WF over the entire oscillator range. Genetic performs WF over a smaller range relative to the initial oscillator values.
If you don't use Genetic Algorithm Walk-Forward (WF), this figure (10,000 in the Example) is the amount of tests. 10,000 or more for 3 indicator
system recommended. If repeated identical WF results very a lot with identical parameters, increase this figure.
Default WF method is Genetic Algorithm, not random space.
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TheMetalDog
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What is the recommended approach for adding an End of Week Exit in GSB? (Swing)
Is there already a Filter, ExitMode, or other? Or would setting the Exits.Minutes or Exits.Bars be the way to go?
Thanks.
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admin
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I think we had a exit Friday option, but I cant find it. Ive asked programer for it
Thanks received (1):
+1 TheMetalDog at 2023-02-08 07:32:29
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admin
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@TheMetalDog
We definatly dont have it, but i was confused as it was added into iblink.
Its on the to do list, but very unsure when. Depends what programer takes it on.
I know a number of users want the feature and it should be added.
Thanks received (1):
+1 TheMetalDog at 2023-02-09 15:56:46
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Daniel UK1
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Hi Peter, I am also very sure I have seen this, are you sure its not been there ?
left hand side GUI..
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admin
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I cant find it, and neither can the programmer. Regardless we will get the feature.
Thanks received (1):
+1 TheMetalDog at 2023-02-09 21:43:40
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timemeantnothing
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Hi Peter, GSBsys1ES soon to be approaching its max drawdown with out of sample results. Curious on your thoughts about it and the system. Thanks
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Daniel UK1
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| Quote: Originally posted by timemeantnothing | | Hi Peter, GSBsys1ES soon to be approaching its max drawdown with out of sample results. Curious on your thoughts about it and the system. Thanks
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Often the max combined dd, is just a result of the series of trades in past order.. look at the curve for short and long separate, look and try to
see if you see a change in charachter, I dont... I think the combined result you see now, is just the series of outcome, from a random trade order of
normal trade distribution for the system. also the max dd is very low, which most likely is to low for it to hold going forward.. so it will most
likely break without system bad...
You also have lots of filters on these systems, test 1.1 which is the raw one, the review signal power alone, strip it of stops.
Anyway, pause it and switch it back on, when it reaches new highs, if you are worried,, nothing wrong with that, its a costly endeavour though
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admin
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Good question.
Look at the hypothetical graph. $20 rt commission and $25 round turn slippage used.
Unusual in that the OOS last few years was better than IS- but i put that down to extremely good market conditions
note also how the OOS curve is choppier than the IS curve - again normal that oos is in some ways worse.
The previous oos drawdown from in sample results was about twice the later drawdown. Again this is normal. (as of a month ago)
Another factor is there was also one trade in the last 2 months that ts went long - stopped, but after data refresh made a good profit. Rare but it
does happen for good and bad.
System trading is dangerous, and thats why I diversify. Systems can and do fail, but I think this is far from failed, and we also have a big cash
buffer if you have traded this for a while.
I also use 4 * max drawdown as a capital base per system, NOT per portfolio. After 23 years I consistently see the aggressive traders blow up.
Look at today, numerous other systems had wins - but smaller than gsbsys1es that was stopped out
As im diversified, my account is just hitting new high level mark and then dropping down again numerous times this month - so for me insignificant
drawdown
Its why I recommend not trade one system but many.
GSBsys1es has the longest track record, but personally I think the v2 variants are better, and the nq is nicely diversified. (I trade all variants
though)
Also the flt versions are also totally different in characteristics.
I dont like stopping systems on a whim, I reduce and increase position size rather than drastic kill or double exposure to one system
Personally, the profits in the last 8 months have been amazing, but i didnt increase position size that much. But in all fairness have not done the
maths to re balance my portfolio, mainly due to time pressures.
I also look at what are all the other similar systems doing in comparison. There are many variants of this, including numerous v2 variants on es / nq
this might be useful
https://trademaid.info/gsbhelp/Arealworldexample2.html
U.S. Government Required Disclaimer - Commodity Futures, Trading Commission Futures, Derivatives and Options trading has large potential rewards, but
also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't
trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures, options, or any other assets. The
past performance of any trading system or methodology is not necessarily indicative of future results.
CFTC rule 4.41 - Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not
represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of
certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the
benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
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timemeantnothing
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Thank you for the replies
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admin
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you are welcome but I forgot the graph
you can hit the thank button on posts (anyone can) which also saves an email being sent out to subscribers to the thread when content updated
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timemeantnothing
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Oh wow. Very interesting to see the OOS curve. Puts things into better perspective
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admin
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agreeded, awesome run up but I suspect the v2 variants will out perform the v1 variants, and nq differs a decent amount from es
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sabrol
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I ran GSB for the first time for NQ for 2001-01-01 to 2017-02-28 and have two questions:
1) Do the results from the workers get added to the Manager once they are done?
2) I only got around 20K results and not the 50K is that OK?
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admin
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@sabrol,
I now use 20,000 in all tests. I havnt tested the difference of 20k vs 50 k for a very long time
20k or course is much faster.
Its likely on the left side of GSB, number of systems is set to 20k
Yes results from all your workers get added into the manager.
Thanks received (1):
+1 sabrol at 2023-02-23 08:08:26
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sabrol
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I ran GSB for the first time for NQ for 2001-01-01 to 2017-02-28 and have two questions:
1) Do the results from the workers get added to the Manager once they are done?
2) I only got around 20K results and not the 50K is that OK?
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SwedenTrader
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I belive someone asked about this before but cant find it right now. My WFO tests stall right after they pass 90% of the test. Before this was only a
problem if using the manager, now its on the standalone also...
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JozefSusko
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| Quote: Originally posted by SwedenTrader | | I belive someone asked about this before but cant find it right now. My WFO tests stall right after they pass 90% of the test. Before this was only a
problem if using the manager, now its on the standalone also... |
see the forum
https://trademaid.info/forum/viewthread.php?tid=6&page=18
Thanks received (1):
+1 SwedenTrader at 2023-03-03 13:10:48
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