| Pages:
1
..
42
43
44
45
46
47 |
portfolioquanttrader2020
Member
Posts: 269
Registered: 30-4-2020
Member Is Offline
|
|
you can see
|
|
|
portfolioquanttrader2020
Member
Posts: 269
Registered: 30-4-2020
Member Is Offline
|
|
I think you'll have to talk to TradeStation
|
|
|
clique
Junior Member
Posts: 2
Registered: 17-2-2023
Member Is Offline
|
|
Pre-selected indicators
Is exist any concrete methodology to find the pre-selected indicators of a market?
In step 1) of the new methodology, the best 10 indicators of the market are searched, but on a pre-selection of 75.
How do I find them? How can I find them if I decide to research a new market?
Thanks!
|
|
|
portfolioquanttrader2020
Member
Posts: 269
Registered: 30-4-2020
Member Is Offline
|
|
Solved the problem with the COTs?
|
|
|
portfolioquanttrader2020
Member
Posts: 269
Registered: 30-4-2020
Member Is Offline
|
|
Clique
To search for the top ten indicators you have the macros. Load all indicators and select all ten with the macro. It is very simple
Thanks received (1):
+1 admin at 2023-05-04 18:17:53
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@portfolioquanttrader2020
the data or eld has to be turned off then on. Very strange but I remember that from last time.
cot only works on some markets too.
This will take me some time to think about and look at, my short term focus is improving existing systems, and put on web site some new systems that
are going well
in the current conditions
|
|
|
REMO755
Member
Posts: 181
Registered: 11-4-2021
Member Is Offline
|
|
Quote: Originally posted by admin  | New methodology video
Info and video at the start of this thread is obsolete now
the two pass method here using green/green applies to all markets.
https://trademaid.info/gsbhelp/Crudeoilfastrevisedmethodolog...
Simulated data, 29,30,31 minute bars.
Simulated data, 26,30,34 minute bars.
Simulated data, 29,30,31 minute bars. ES, IDX, SPX
Until more recently I was not aware that GSB could work on more markets than I originally found. There were 3 keys to this. The first one was to get
the correct session times.
The second was the finer details of the settings, and the 3rd was pure CPU grunt. (Except natural gas)
One of my favorite jokes is a joke about knowledge extrapolation.
Smart people assume that knowledge in one field, amounts to knowledge in another.
GSB users including myself have also done some dangerous knowledge extrapolation.
A doctor, a lawyer, a little boy and a priest were out for a Sunday afternoon flight on a small private plane. Suddenly, the plane developed engine
trouble. In spite of the best efforts of the pilot, the plane started to go down. Finally, the pilot grabbed a parachute, yelled to the passengers
that they had better jump, and then he bailed out. Unfortunately, there were only three parachutes remaining. The doctor grabbed one and said "I'm a
doctor, I save lives, so I must live," and jumped out. The lawyer then said, "I'm a lawyer and lawyers are the smartest people in the world. I deserve
to live." He also grabbed a parachute and jumped. The priest looked at the little boy and said, "My son, I've lived a long and full life. You are
young and have your whole life ahead of you. Take the last parachute and live in peace." The little boy handed the parachute back to the priest and
said, "Not to worry, Father. The 'smartest man in the world' just took off with my back pack
source: http://www.jokes4us.com/morekiddiejokes/alawyeronaplanejoke....
|
This deserves a round of applause, it's a very good joke! ja,ja,ja 
Thanks received (1):
+1 admin at 2023-05-09 19:52:54
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
I have learnt a lot this week.
Spent over a week applying simple filters to existing systems with good results
What I am thinking...
some markets revert to the longer term mean. This likely means gsb systems do not change, but have a filter that looks at slightly longer term trend
and expect the short term price to go closer to the long term price.
What ive learnt should be able to be applied to new indicators and filters, but it still requires a bit of thinking & work on my side
Enclosed as an example of a filter. Note zero slippage was used, so this wrongly bias's to higher trade count
Thanks received (4):
+1 cotila1 at 2023-05-18 02:21:00 +1 Ketil at 2023-05-13 07:16:24 +1 Piet at 2023-05-13 02:42:10 +1 Carl at 2023-05-12 22:18:56
|
|
|
TwntySQ
Junior Member
Posts: 26
Registered: 17-2-2023
Member Is Offline
|
|
| Quote: Originally posted by Daniel UK1 | | Quote: Originally posted by REMO755 | Hello,
Select whatever systems gave the highest stats from the top 250, or top astab-c 90, or top vss 91
Where do I find the Macro to do this?
top astab-c 90, o top vss 91, ¿qué significa esto?
Thanks. |
A good tip that will serve you well, is... take all systems after your process (that needs to be sound) from A, create families from all... WF all
systems in family 1-5.. pick from families that have most systems with WF stab over 70 preferably ... you want the families with highest
stabilty... all systems should have similar metrics.. then review WF runs for all sytems, and look for nice and stable WF per year OOS... then
test systems, in similar markets, you want profitability, not much but positive, then take same system run on random ticks generated data, 5,10, 15,
see how they cope... make sure you have saved at least 6-12 months of unseen data.. so when you transfer to platform, you have 6-12 month of unseen
data, that hopefully your system passes... so forget the existing macros, understand what the macros does though and the gsb process from Peter, then
create you own macros, dont use other peoples macro, no bueno
|
When u say WF stab - do you mean the PRS-C and PAS_C both over 70 ? Or is there a metric you use that show WF stab over 70?
Thanks.
@DanielUK1
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@DanielUK1, i use prc-c and pas-c
one othter comment
if you had lower scores, but the equity curves were really close, it would imply the parameters make very little difference
This also would be except able.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@daniel
here is gsbsys2nq
Only a filter is being optimized, no other settings are touched, so perhaps not a perfect example
Basically there is a 18% reduction in the amount of trades and a $500 in total increase in NP
equity curves are very parallel
Note that in run 2 and 4 only, the input value of 0.2 made this filter pass all trades
but when the filter kicked in in most other runs 0.06 was a fairly consistent value
atr value of 0.42 and above pass 100% of all trades
  
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
The filters section is going to grow a lot over time.
Here is a really poor nq system with one of the new filters added
This gives me great confidence in how good the filter is.
Crap system and all metrics get better both long and short.
This is in 65.75 build.
Im not in a hurry to release the build as the entire cloud and all users will need to upgrade due to version incompatbiltiy.
Im waiting for more updates before I release it
Thanks received (1):
+1 SwedenTrader at 2023-05-23 15:19:17
|
|
|
Daniel UK1
Member
Posts: 470
Registered: 4-6-2019
Member Is Offline
|
|
| Quote: Originally posted by admin | @daniel
here is gsbsys2nq
Only a filter is being optimized, no other settings are touched, so perhaps not a perfect example
Basically there is a 18% reduction in the amount of trades and a $500 in total increase in NP
equity curves are very parallel
Note that in run 2 and 4 only, the input value of 0.2 made this filter pass all trades
but when the filter kicked in in most other runs 0.06 was a fairly consistent value
atr value of 0.42 and above pass 100% of all trades
|
Hi Peter, just saw this.. thanks for your comment.
What filter is this you are referring to ?
This is a commercial system from you right ? that you have now released a optimized version of ?
Looks good
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@daniel,
its in gsbsys1.3 to 1.5 (not free) and gsbsys3nq (not free) but one of the filters is in the next build of GSB.
This is not ready for release as there was a missmatch, and I could diagnose as debug was not in the filter section until the build I got late last
week
Hope to test in the next 2 days
|
|
|
TwntySQ
Junior Member
Posts: 26
Registered: 17-2-2023
Member Is Offline
|
|
Seeking Assistance and Recommendations for Improving System Performance Post-May 2022 and increasing trades in systems.
Hello,
I've been using GSB since March and have been predominantly creating systems and algorithms on ES and NQ. My approach has been guided by the
methodology on Trademaid and Pete's recommendations, advancing only with systems showing a stability of 70+.
However, I've noticed a downward trend in the equity line post-May 2022 and a decrease in trade frequency. On average, the number of trades ranges
between 100-300, while I am aiming for a count above 600 for statistical significance and a more frequent intraday trading system.
Does anyone have advice on how to enhance the equity curve following May 2022? How do you devise systems that yield more trades and maintain a good FF
and NP? I'm open to all suggestions and would be extremely grateful for any input.
I have only GSB and none of the other programs (only trial of GSB automation).
Thank you in advance for your assistance!
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Hi TwentySQ
I have not even looked at recent nq results on any systems, but the first thing I would look at is what is the market volatility.
Also your equity likely would be superb in 2022, then poor early 2023
There is likely a strong correlation between this and number of traders.
You have not specified the dates or length of time range of "On average, the number of trades ranges between 100-300"
are you on default nq settings?
good to improve conditions, but there is danger in your thinking that you leads you to curve fitting a certain period
|
|
|
TwntySQ
Junior Member
Posts: 26
Registered: 17-2-2023
Member Is Offline
|
|
Thanks for the answer.
I used default NQ settings. Custom parameters macro and nct3-300_build_p.9 macro.
Curve fitting is one of the things i'm afraid of when trying to optimize.
I have used time range that is in the default settings in nq.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@TwntySQ, well defaults should run well. you did not answer { You have not specified the dates or length of time range of "On average, the number of
trades ranges between 100-300"}
comments from others would be good as im not familiar with and specific market of late. Im busy working on methodology improvements for the last 2
weeks
|
|
|
TwntySQ
Junior Member
Posts: 26
Registered: 17-2-2023
Member Is Offline
|
|
Thanks for the answer, and sorry I missed your Q.
For the average trades around 100-300 trades, time range is:
global dates: 2007-01-01 - 2021-02-28
dates: 2015-03-01 - 2021-02-28
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
@TwntySQ, these are the dates im using.
I think yours are not correct, but im not certain what values are in the trial build
|
|
|
TwntySQ
Junior Member
Posts: 26
Registered: 17-2-2023
Member Is Offline
|
|
You're correct here Peter, I must have configured the dates period. My bad
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Significant refinement to GSB methodology is coming.
high level updates are here. https://trademaid.info/gsbhelp/ImprovedRepeatabilityMethod.h...
Thanks received (2):
+1 cotila1 at 2023-08-12 10:29:34 +1 TwntySQ at 2023-07-28 04:43:58
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
there is a significant update to GSB methodology.
A must read for all users
More to come..
https://trademaid.info/gsbhelp/ImprovedRepeatabilityMethod.h...
High level.
New green macro that gives improved repeatability and improved results and more.
If anyone want to contribute workers to this project, please contact me.
gsb build between 65.92 to 66.11 is needed.
Attachment: Login to view the details
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
more updates here, including the short cut method.
much more to come in the next week.
https://trademaid.info/gsbhelp/ImprovedRepeatabilityMethod.h...
You need todays build of gsb automation (in pcloud)
I will have results of how the short cut method compares to standard method using the new green10_300 macro
All macros in gsb automatio folder under \macros\20230808_newMacros
short cut method docs may not be 100% correct, but anyone who understands the concept and au should be fine
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
the short cut method will be removed.
This is the weakness
when (not if) we get a bad set if indicators in a test, it has a really significant effect on all results.
If we use the normal method, with 100 tests and filtering results to 2 standard deviations, a bad indicator set has no effect
Here are the two lemons in 28 indicator tests, 25 tests on each indicator.
This method will get removed from the documentation shortly
https://trademaid.info/gsbhelp/ShortcutMethodexplained.html
|
|
|
| Pages:
1
..
42
43
44
45
46
47 |
![[*]](images/davis/default_icon.gif){kind=icon}
