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kiran
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New TS data export doesn't generate systems
I downloaded ES 15 min data from TS (attached file) - it generates no unique systems (see attached screenshot).
- I noticed it has 3 extra columns vs the ES 30 min data that's packaged with the GSB install.
Questions -
1) Pl advise how to get GSB systems to generate on new TS data exports.
2) Where should GSB be installed? I installed it and copied data in a different folder, but the tool gives an error "Please select files in default
directory" and doesn't pick up the "Public Data Directory" I specify in Settings. So, i had to copy all the data to C:\Dropbox\GSB\GSB(Managers)\Data
3) Also, is my naming convention correct? I used ES.15.Minute.630.1300 (PST time-zone) as the data is during market hours, but noticed that the
Trading Times is all day: 00-23:59:59.
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admin
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Youve got 24 hour file. Use @ES.D, NOT @ES. Make sure the last 15 minutes is excluded.
Under tools, contracts, set moc to the correct time.
This MIGHT work but is much less likely that one thats day session equiv of 830 to 1500 central time.
The after hours data is more noise than anything else.
Its also going to be very slow due to to all the extra bars to process.
Naming is symbol.minutes.AnthingyouLike.txt
The extra coulombs are "KeyRevDn","KeyRevUp"
I would remove this from the chart before you export it.
Your data is also from 1997. This is valid to do, and in most cases I use all contract data from the point where there is liquidity.
Personally I start at 2001 for ES.
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kiran
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Thanks, I got a valid ES.15.Minute data set at market hours (attached). I'm using the TightESFilter settings file (also attached). Note i have no
secondary data, as $idx and $spx aren't valid symbols in TradeStation.
The system generation is showing the following issues
1) # of trades are very small (3-15) - see attached screenshot
2) No unique systems are shown until I pause and left-click-refresh. Is this normal behavior?
3) When i click on a system, the Graph shows a very different system. See screenshot where I've selected a system with 0 Drawdown, but the graph
shows a losing system.
Other Questions -
4) If I pause, change the fitness function (or some other setting) and play, will the new settings take effect? Or, do i need to stop completely and
start for the new settings to take effect?
5) After Stopping and Starting with new settings (and potentially new symbols), the Unique Systems table doesn't empty - how do i tell the difference
between old unique systems generated by old settings and new systems based on new settings?
6) What are TS symbols for $idx and $spx? Want to generate 15-min secondary data for the ES build.
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admin
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you fitness I think is the problem.
My guess is youve got np * ave trade * aver trade. This is going to give very few trades that will cause problems with lots of the filters.
2-3) No unique systems are shown until I pause and left-click-refresh. Is this normal behavior? NO. I think the above causes this.
I think you need to stop, not pause.
5) Just delete all systems or much better still close gsb and run a new copy. Its not supposed to empty.
Symbols re $spx.x and $isx
General rull of thumb. If on es not stray far from the defaults, then change one setting at a time.
It reminds me of some 5 year old children i knew.
They went into myboss's van a played with the indicator stick, and the hazard lights. They couldnt figure out how to stop the lights flashing via the
indicator stick, due to the hazard lights being on.
Result was caught out by dad and punishment 
data file looks ok. Make sure moc time under contracts is 1300
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curt999
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btw to get access to $spx.x and $idx you have to subscribe to sp500 indices data
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admin
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I think so. Cost was about $2 from memory. Phone ts if in doubt
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admin
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you can use app settings "tight"
You shouldnt get trades with <44 trades. You didnt included the app settings file in your last post.
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kiran
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Here's the settings file and screenshot..
I noticed I get the <44 tradecount systems when I pause the system and refresh the Unique tab. If i don't pause, I see only a trickle (1 system for
20K runs) in the Unique tab, but it happens to be >44 tradescount.
- is this a bug? Why does the Pause->Refresh cause unfiltered systems to get through?
- How do i get all the relevant systems in the Unique tab, before waiting for the entire run to complete?
thx
Kiran
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admin
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Quote: Originally posted by kiran  | Here's the settings file and screenshot..
- How do i get all the relevant systems in the Unique tab, before waiting for the entire run to complete?
thx
Kiran |
They will appear the instant GSB makes them. Ive never done a refresh on this screen, so that might be a bug or a purposeful thing to make current
systems appear regardless of the metrics.
It might be a good idea to start on the default settings, optionally remove data2 and run with tight.
Any more problems send me optimizer settings.
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kiran
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I tried with default settings (TightESFilter) but same issue with any dataset i upload from TS (I tried ES.15.Minute and C.15.Minute - Corn) - no
unique systems generated. The only data I found this to work with is the ES.30.Minute
- Am i naming the ES.15.Minute incorrectly? It has the same column format as the ES.30.Minute, so not sure why it doesn't work.
Pl try it on your GSB and advise how to get this working with other data-sets, so i can try systems with other symbols and timeframes.
thx
Kiran
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admin
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| Quote: Originally posted by kiran | I tried with default settings (TightESFilter) but same issue with any dataset i upload from TS (I tried ES.15.Minute and C.15.Minute - Corn) - no
unique systems generated. The only data I found this to work with is the ES.30.Minute
- Am i naming the ES.15.Minute incorrectly? It has the same column format as the ES.30.Minute, so not sure why it doesn't work.
Pl try it on your GSB and advise how to get this working with other data-sets, so i can try systems with other symbols and timeframes.
thx
Kiran |
Need your optimizer settings too. No way you should run tightES on corn. You should run alloospass optimizer settings.
You should also run othermarkets optimizing setting.
Its vip to figure out if closeD or GA is best secondary filter for non stock index markets. If in doubt use GA
I can see your fitness is got a very high metric, so it implies the app settings have are too tight for you to see whats going on. You can also right
click the top (diag) to see what systems were generated.
Check your moc settings under contracts match the contract csv file.
Its also unlikely corn will day trade so try it with moc false. (fine to try moc true but its less likely to work on corn)
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kiran
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Attached is the Optimization settings file.
- How do the settings and optimizations change for other symbols e.g. Corn (will use GA as secondary filter but any other changes)? [I'm using US
market hours trading (for sufficient volume), but based on your comments, i should probably use session times for Corn?
- What does MOC stand for and how is it used by GSB? My MOC for ES is 15:00:00-15:00:59, so not sure it's correct.
thx
Kiran
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admin
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Secondary filer is the main thing to consider for optimizer settings.
app settings start by alloospass and then tighten metrics when you see whats realistic
moc is market on close. 15:00:00 to 15:00:59 is fine.
I don't have data feed for corn, but the volume should give you the clue what session times to use...
Your optimizer settings are not the ones that used 15 min es.
You need to resend them
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kiran
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There are 2 default optimization setting files in my Settings->Optimization->StandAlone folder - not sure which one GSB is using, so attached are both
files.
- What goes into the OptimizationSettings? Is it the Optimization tab in the Tools->AppSettings menu? That only has On-Completed sounds, so not
material to system building.
thx
Kiran
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admin
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On the bottom of the left gui under info, it tells you what app settings and opt settings are used.
Its possible you havnt even saved them. So save both then send to me. Use a different name to the GSB defaults.
so "What goes into the OptimizationSettings?
optimizer settings is all the left hand side stuff,
ie the metrics used in test and what displays in the GUI
Is it the Optimization tab in the Tools->AppSettings menu? No, thats app settings. the performance metrics. Both have a lot to do with system
building.
"That only has On-Completed sounds, so not material to system building." is not at all correct
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kiran
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I did use the "standaloneES.gsboptset" opt settings (attached in my earlier post, 2 posts above) in the ES.15.Minute run - it's visible in the lower
left of attached screenshot (6 posts above).
- Pl advise
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admin
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| Quote: Originally posted by kiran | I did use the "standaloneES.gsboptset" opt settings (attached in my earlier post, 2 posts above) in the ES.15.Minute run - it's visible in the lower
left of attached screenshot (6 posts above).
- Pl advise |
yes but the date is set to 13 nov and you have changed things since.
Bare min the data streams. SO save as a unique file name and upload
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kiran
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Here's the opt settings file i re-ran on the ES.15.Minute.PST data-set. I saved it as a unique file-name.
- Pl see and advise today if possible.
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admin
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| Quote: Originally posted by kiran | Here's the opt settings file i re-ran on the ES.15.Minute.PST data-set. I saved it as a unique file-name.
- Pl see and advise today if possible.
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Its running fine, and ive done nothing.
If its still an issue, zip your entire GSB folder up and send to me as a dropbox or similar link. Do not email. It wont get to me
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admin
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The es.15 data is 24 hours. I believe this is the cause of your issue. I had mentioned this in my first post.
You need day session without the last 15 minutes
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kiran
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I got ES.15.Minute to work - the dataset was Day session, but my MOC was still 15:00:00 which i changed to 13:00:00 (given PST).
However, C.15.Minute is showing the same issue - doesn't generate unique systems even though I removed all filters - i ran for >15K systems.
- I did change the MOC to 11:30:00-11:30-59 (since the Corn markets close at 11:30am PST in my data-set)
Any other changes I need to make, for other symbols? Attached are settings files and Corn data-set.
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admin
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Whats the point value for the corn? Did you try it with secondary filter set to GA, not closeD.
The defaults for other markets should have SF set to GA
Your app settings are also wrong.
Please stick to the defaults unless you experiment one thing at a time.
Youve got pf 2, pearsons 0.98 which is not a good place to have metrics so high for trading period.
You should be using alloospass, and then tighten things AFTER you have success.
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kiran
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I got the data to work for ES-15min, C-10min (corn), BO-10min (soybean), FV-15min (T-Notes) [All Day hours] and applied loose "Training-only" filters
(0.9 Pearson, PF>1.75). No overnight positions, they all close on MOC. Secondary filters is through Genetic Evolution. Interestingly ..
- without slippage and commissions, C and BO yield a few (50-100) systems, of which around 5-10 hold up during Test (50%) and Validation (10%)
periods with PF>1.75 and Pearson>0.9
- with 1 tick slippage ($12.5 for ES, FV, C and $6 for BO) and $2 commissions (per-trade-side) in the Fitness and Report, i get no systems that pass
even Training. The best systems i get have poor Pearsons, so confidence for trading these is low.
- with slippage, ES is the only symbol that yields tradable systems, and has remarkably consistent performance across Test and Validation periods.
Questions
- the 1-tick slippage and commission is specified in $ (so, $12.50 slippage, $2 commission for ES), correct?
- Wonder if overnight positions (Market on Day Close=False) would yield better systems for other symbols - any other suggestions to evolve tradable
systems for other symbols?
thanks
Kiran
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admin
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Some good research. Try other time frames too. I like 15 min too. Session time to whatever has the high volume.
For live trading, budge on 1 tick per side is good for ES.
Many other markets are not going to day trade. IE Crude oil. Ive not done much research into other markets. Some EFT's are worth looking at.
ie SQQQ short only. It needed lots of iterations to get good systems, but it certainly worked well.
THere is a whole universe to explore with GSB, as to what markets work well, and what doesnt.
However over time the architecture is expanding to work with other markets. Esp forex.
see http://www.trademaid.info/forum/viewthread.php?tid=14#pid428
http://www.trademaid.info/forum/viewthread.php?tid=19#pid257
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curt999
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for markets that don't have other correlated indices like cash to use for data2/3 you should look into MTF analysis such as for crude you can find
intraday systems using 5min/15min/30min..best to have indicators in the strategies that use only data2/3 since data1 will be inherently more noisy..i
haven't made systems this way with GSB but my own that work quite well on intraday only data..
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