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portfolioquanttrader2020
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In crude oil macros favorites are at the beginning of the macro commands and in the nasdaq macro, favorites are at the end.
Is this for some reason?
i need explanation
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portfolioquanttrader2020
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Hello
I'm building on crude and I get this trading chart.
The start is very strange, a straight line
I would like to know why this straight line comes out.
Is it a bug?
I think that line increases metrics, and that affects strategy performance, falsifying it
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admin
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@portfolioquanttrader2020
I agree its unusually linear till recent. Its unlikely but there are rare situations where data is looking into the future. (not valid)
this happens on dax with es for 2 weeks each year due to ts bug when german and usa daylight savings are wrong.
I cant see how this could happen on cl, unless you have csv data on different time zones
I would put the system in ts and check results
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BlackBox
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Quote: Originally posted by portfolioquanttrader2020  | Hello
I'm building on crude and I get this trading chart.
The start is very strange, a straight line
I would like to know why this straight line comes out.
Is it a bug?
I think that line increases metrics, and that affects strategy performance, falsifying it |
Hello portfolioquanttrader2020,
Your x-axis shows dates, when you change it to trades how does the chart look like. It seems the strategy didn't made a trade over a long period
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portfolioquanttrader2020
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I think it's a future leak.
I don't know if it's a builder bug or if it's a data problem.
it's quite strange
I put a photo
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portfolioquanttrader2020
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I only have data in central time. I don't have two datas, only one data.
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portfolioquanttrader2020
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I have seen an error in crude oil macros, and it is that they choose favorites of the period within the sample, this should be warned to users, who
read old methodology, because it is not the appropriate way to select, with a high probability of curve adjustment.
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admin
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Thank you for your comment. I agreee. Fav should only be chosen by OOS periods
can you explain exactly why with screen shot? The current nq macros are better than previous macros, and old cl ones should not be used.
I will put a note on the docs. CL methodology is being revisited, but is paused due to missmatch when price was < 0. Most but not allmissmatch issues
are fixed
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portfolioquanttrader2020
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Hola
You can see D favorites, just above out-of-sample periods, after build 50.000 systems. That's why I consider the choice to be after the sample period.
https://trademaid.info/gsbhelp/RunningStatsonBuiltSystems.ht...
In the raw process, macros are only used to set and choose stats and not to build. The construction is done by pressing play, but after building
50,000 systems we must do a rebacktest to place the out-of-sample period and choose the favorites there. That is not well set up in oil and so the
experiment is null.
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portfolioquanttrader2020
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I am also seeing an error in the nasdaq macro
Favorites A are also chosen within the sample.
I think that is not correct either.
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admin
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@portfolioquanttrader2020
I have reviewed the current nq macro. (not the CL)
fav A are out of sample.
Im not going to look at CL,as these macros should not be used.
 
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portfolioquanttrader2020
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I think they are within the display, being placed just below the dates mode setting. However, the rest of the favorites are placed below the
rebacktest of period F.
Explain to me why they are out of sample. You can try manually without macro, to do what the macro does and it is within sample by being under the
dates mode period (within sample)
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portfolioquanttrader2020
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If you put favorites A, below period F, just above favorites B, they would be outside the sample or period F. Otherwise they would be inside the
sample. Date mode: 2007-2017
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admin
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@portfolioquanttrader2020
I do not understand "If you put favorites A, below period F, just above favorites B, they would be outside the sample or period F. Otherwise they
would be inside the sample. Date mode: 2007-2017"
or
"I think they are within the display, being placed just below the dates mode setting. However, the rest of the favorites are placed below the
rebacktest of period F.
Explain to me why they are out of sample. You can try manually without macro, to do what the macro does and it is within sample by being under the
dates mode period (within sample)"
on the nq macro, i have shown the macro stopped early, and fav a are all in sample results. See screen shot above
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Daniel UK1
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A good tip is to skip using other peoples macro, and just use Peters Macros as a guide, and then manually create something that does what you want,
after all its just a macro to automate your own process.
In regards to what Fav A is based on, in your macro scenario you show, Fav A is picked based right after you built, and is based on how your systems
is delivered, i.e if you use Auto nth All, or Trd or No trd.. set what you want here and decide from what you want fav A to be picked from.... Or you
place fav A after stats B, (which most use for OOS for build period only) Y
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portfolioquanttrader2020
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Daniel I think that the favorite A should go after statistics F, which is what I am going to do, since it is a sufficiently large period and closer to
the current period, so I consider it more representative and with less tendency to over-optimization, Being a complete period and not a match with the
nth. Favorites A, must be above favorites B, but below period F.
The guides detail processes, and in the case of crude they would contain errors, which can confuse the user when choosing favorites, it should be more
documented.
After b stats, which are only one year old would be another mistake because there are not enough trades.
I understand what you are saying, but if it is not explained in detail, a new user could be confused for a lifetime, since it is documentation that is
uploaded to the web to help the user and guide him.
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portfolioquanttrader2020
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What does the value of Entry Level depend on?
Have any of you tried to develop mean reversion systems with Genetic? If the value of the indicator is requested above 70 or below 70, would we have
mean reversion?
Any configuration template?
Assets like soybeans and grains work well with mean reversion
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portfolioquanttrader2020
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What does the value of Entry Level depend on?
Have any of you tried to develop mean reversion systems with Genetic? If the value of the indicator is requested above 70 or below 70, would we have
mean reversion?
Any configuration template?
Assets like soybeans and grains work well with mean reversion
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tialt
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i've not been able to log onto my trading server since Thursday, anyone else having a problem?
Radmin is working, I can log onto a remote computer I have set up.
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Carl
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| Quote: Originally posted by tialt | i've not been able to log onto my trading server since Thursday, anyone else having a problem?
Radmin is working, I can log onto a remote computer I have set up. |
From Europe all is working fine.
So Radmin is okay and am able to login to the trader server.
But a few weeks ago I had issues a couple of time after installing Windows updates.
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tialt
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Thanks Carl. I'm in the US and it's down for sure. I've had to switch to running from my GSB workstation at home.
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Tibouss
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Hello,
I recently read the GSB documentation and think it is a very interesting tool, but i still have few questions.
-I would like to know if GSB can be suitable to develop daily strategies on stocks (using for example daily Yahoo quotes extracted from Multicharts).
If yes, is it needed to have a data 2 or a strategy can be developed with only one stream of datas?
-For daily strategies, is it possible to implement such conditions : trade entered with a condition "next bar at market" (actually each trade will be
entered at the opening the next day) and a stop loss set with a condition "setstoploss" and a profit target with a condition "setprofittarget"?
-For Intraday strategies, do you usually use Tradestation datas? I currently use Interactive Broker datas but i don't like this data provider which is
not suitable for intraday trading.
Many thanks in advance.
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admin
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@Tibouss
use daily bars as data1, turn secondary filter off, market on close off, probably do long only
Currently we are supporting this bar on close only, which im very aware needs to change.
Most people use ts data, or for multicharts i have a mental blank on who the provider is.
IN practise you can use many provides, as GSB supports a great deal.
However its best practice to trade on the same data feed as you build systems. There can be big discrepancies between the two
IB historical data used to be bad, but I was told its improved. TS data is free or cheap & reasonable to use.
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Tibouss
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Thank for the informations.
Is it scheduled to implement more conditions than "this bar on close" only in GSB?
Actually for a strategy based on daily quotes, using "this bar on close" instead of "next bar at market" will make a huge difference on the strategy
performance.
Multicharts doesn't provide any data. I used IB datas (DAX future) for intradays strategies but there was to much difference between backtesting
performance and live trading performance. The quotes are adjusted at the end of each session...
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heyligerb
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How does one update the stats in the window (such as Persons/DD/etc...) without having to click on each strategy?
I'm currently building and setting to NoTrade via macros, but then I have to click on each strategy to update stats. For example - see here - https://www.loom.com/share/58f1a2765556461887e330a5f5404a00
I would like to automate this process with macros, then move those strategies that fit my criteria into favs for further analysis.
How can I accomplish that?
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