| Pages:
1
..
3
4
5
6
7
..
47 |
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
ES WITH 2 OSC. degradation -27.2% oos fitness 3876k
ES WITH 3 OSC. degradation -20.4% oos fitness 4495k
ES WITH 5 OSC. degradation -20.1% oos fitness 4304k
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
This is all my CL systems out of sample results added together.
2 systems are highly correlated when you look at the in sample period.
Out of sample Jan 12 2018
On a related note,
Best CL market degradation figure was -29%.
For those who have not seen the must see video its. https://youtu.be/2R4t9uYzfD4
build 1500 systems but not look at metrics of every second day.
then record metrics of the UN-seen days
degradation% = (1-(OOSMetrics/ISmetrics))*100
 
Attachment: Login to view the details
|
|
|
edgetrader
Junior Member
Posts: 24
Registered: 16-5-2018
Member Is Offline
Mood: No Mood
|
|
Quote: Originally posted by admin  | ES WITH 2 OSC. degradation -27.2% oos fitness 3876k
ES WITH 3 OSC. degradation -20.4% oos fitness 4495k
ES WITH 5 OSC. degradation -20.1% oos fitness 4304k
|
Seems to me that adding more indicators to GSB could be useful. 5 oscillators can approximate what 3 more suitable oscillators would do. My
suggestions are William Blau and Thomas DeMark. In the latter case you may have to use different names because DeMark trademarked his indicator names
(yet not the formulas that are disclosed in his books).
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by edgetrader | | Quote: Originally posted by admin | ES WITH 2 OSC. degradation -27.2% oos fitness 3876k
ES WITH 3 OSC. degradation -20.4% oos fitness 4495k
ES WITH 5 OSC. degradation -20.1% oos fitness 4304k
|
Seems to me that adding more indicators to GSB could be useful. 5 oscillators can approximate what 3 more suitable oscillators would do. My
suggestions are William Blau and Thomas DeMark. In the latter case you may have to use different names because DeMark trademarked his indicator names
(yet not the formulas that are disclosed in his books). |
If there is anything you want, post under wish list.
http://trademaid.info/forum/viewthread.php?tid=9&page=5#pid2...
All requests from any other uses will be done in one sweep, not at each request.
Can you send code too.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
I am working on both improved methodology and building crude oil (CL) systems
To build CL systems on 30 minutes bars, I was getting 22,000 iterations per one system
Using 28,29,30,31,32 minute bars, am getting 4775,000 iterations per system
Using 25,26,27,38,29,30,31,32,33,34,35 min bars taking 240,500,000 iterations per system!!
So I build 3000 systems on 29,30,31 min bars
market degradation score -19.5%
I then did market verification on,27,38,29,30,31,32,33 min bars
90 systems passed all 7 markets verification score.
market degradation score was -10.7%
I then did market verification on,26,27,38,29,30,31,32,33,34 min bars
46 systems passed all 7 markets.
market degradation score was -10.3%
I then did market verification on 25,26,27,38,29,30,31,32,33,34,35 min bars
25 systems passed.
market degradation score was -10%
What this clearly show is that systems that pass market verification on other time frames also degrade a lot less out of sample.
You might argue that the reason they passed market verification tests is the fitness was higher that the other systems
The top of 3000 systems with highest pearson degraded 13.2%
the top systems with highest fitness degraded 37% and most importantly,
the out of sample fitness in the 25_35 min bars was higher than the out of sample fitness of the systems chosen by peak fitness and top pearsons
|
|
|
cyrus68
Member
Posts: 171
Registered: 5-6-2017
Member Is Offline
Mood: No Mood
|
|
I presume you used fairly loose performance filters.
How many indicators were used?
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
For this test I used 5 indicators, though 3 would have been fine.
I need to research more if 3 or 5 is best on CL.
Training was set to 100%, pf 1.2 and pearsons 0.95, min trades 100.
Its the pearsons on CL that makes it hard to find CL systems, not the pf. nth set to 1.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
I'm still working hard on crude oil systems, at the same time debugging the next build of GSB. Some of the bugs have been hard to find, hence the
delay in the next version.
I built 20,000 CL systems on 29,30,31 minute bars.
Market degradation was a very healthy -12.1 % (Thats the drop out of sample when ever second day is used as out of sample)
all of 2018 was also unseen by GSB.
When I verified the systems by all bars from 25 to 35 minutes, we got 814 systems. PF of 1.8 and pearsons 0.95 was the criteria of market
verification.
The 2018/1/1 to 20190609 (yyymmdd) out of sample profits were an average of net profit $2134, aver trade $145.26 and profit factor of 5.07
A very good outcome. No walk forwards were done at this stage. It implies 2018 was a low profit, but high profit factor year for CL.
To compare with my 7 CL systems that had been Walk forwarded, and built only on 30 minute bars.
the profit for same period was an average of $2220 per system and PF of 1.866, average trade $131.69
3 of the 7 systems were a long only system and a short only system put on the same chart.(for this example treated as one system only) I'm still not
convinced this is a good idea, but you get much higher in sample results - but i would expect more degradation
The OOS results of the 3 long & short system over the same period was $3060 per system, PF of 1.720
|
|
|
Bruce
Member
Posts: 115
Registered: 22-7-2018
Location: Auckland - New Zealand
Member Is Offline
Mood: No Mood
|
|
Any possibility of you pulling together a video of the work you're putting into the CL system?
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Im keen to do this, but there are 2 issues yet to resolve.
Sometimes on my CL, the GSB results <> TS.
In current build there is no way to look at performance metrics of
all systems collectively using the wf parameters.
What I want to do is say take the top 30% or so of the 814 systems that have been walk forwarded, and then see their collective 2018 performance. Ive
been working on CL systems for weeks, so also keen to be live trading them.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
In chatting to the lead GSB programmer yesterday, something came to light that I never thought of.
Secondary filters (SF) are one of the most significant settings in GSB. What is the best SF is unique to every market, but its normally very easy to
find.
How you find it is the ration of market degradation using nth1, and also look at the new ratio of computations/system (low is best)
For many markets, especially indices - closeD(1)-close is the best setting.
GSB was designed, started on the ES500emini (ES), so a value of 16 is typical. This equates to a $800 move.
Why we are moving to (closed(1)-close)*bigpointvalue with a roughly $800 setting is, this works much better
on all of ES, ER, EMD, NQ, DOW.
This is implemented in not released 48.12 builds on-wards.
But if we use Crude oil, at $1000 per point (compared to ES @$50 a point) is that the equivalent of a $800 move would be 0.8. The default settings of
SF entry level however are 0 to 100 step 1.
This is not suitable for CL. 0 to 2 step 0.025 would be more appropriate. However with CL and closedBPV $2000 was the best value (from memory) so we
might use 0 to 3000 step say 100.
Now what Ive missed is that sf closed(1)-close <> ga closed(1)-close
The reason is sf closed(1)-close is NOT NORMALIZED and ga closed(1)-close IS normalized.
Normalization in GSB means all values are made to average in the range of -100 to 100 in the last 100 bars.
It was never my intention for example to normalize closed(1)/Close, but this is what happens when SF closed(1)/close
is used. This is not wrong, and it clearly works. However I am likely to have sf option of GA(normalized), closeD(1)-close,Closed(1)/close and
(closed(1)-close)*bigpointvalue
So we are likely to add SF Closed(1)/Close soon.
Shown is where CF C_bpv is, the settings used for SF range and the computations / system ratio
  
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
SF non normalized Close/Closed(1) has been added in 48.14. On CL results were very poor. Basically on CL, any of the close CLoseD filters equally
worked well, if they are normalized. On CL non normallalized closedBpv worked best, but results overall poor with non normalized SF. This implies that
for each market, we need to figure out what SF filter is to be used, and if its normalized or not. This is a fairly simple and quick task
|
|
|
Carl
Member
Posts: 342
Registered: 10-5-2017
Member Is Offline
Mood: No Mood
|
|
Hi Peter,
It is already possible in GSB to switch off the SF.
Might be a good idea to add the possibility to switch off the primary filter, so we can do a quick scan on what SF works best on a particular symbol.
Thanks
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by Carl | Hi Peter,
It is already possible in GSB to switch off the SF.
Might be a good idea to add the possibility to switch off the primary filter, so we can do a quick scan on what SF works best on a particular symbol.
Thanks |
you mean switch of primary filter.
Never tried but this could be possible,else you could make primary filter the same as secondary filter
Regardless, its a simple and quick process to use nth 1 and see what works best
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
Here is a not complete video showing making Crude oil systems on multi time frames and using verification data of other time frames.
What will be in the complete video is in this slide.
Attachment: Login to view the details
|
|
|
Bruce
Member
Posts: 115
Registered: 22-7-2018
Location: Auckland - New Zealand
Member Is Offline
Mood: No Mood
|
|
This is really good material Peter.
If this sets a foundation for a best practice with developing systems in GSB when it comes to indices, what would the analysis combos look like for
say ES? (I think you may have done an earlier video using ES, would that still apply here?)
Does the final TS workspace have all 3 data streams, I'm trying to work out what the final output (deliverable) looks like in TS.
For the CL example you've used here, will the workspace have HO, NG, RB, etc or just 30min CL?
Thanks!
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by TradingRails |
This is really good material Peter.
If this sets a foundation for a best practice with developing systems in GSB when it comes to indices, what would the analysis combos look like for
say ES? (I think you may have done an earlier video using ES, would that still apply here?)
Does the final TS workspace have all 3 data streams, I'm trying to work out what the final output (deliverable) looks like in TS.
For the CL example you've used here, will the workspace have HO, NG, RB, etc or just 30min CL?
Thanks! |
Thanks for the comments, its appreciated. All these tests should be done again for ES, I think. But ES is easier and more forgiving than CL I think.
The final workspace has all 4 data streams cl,ng,rb,ho but only 30 minute bars.
My last tests showed market degradation was best on ES with no cash indices. Dont think it was a big difference. But diversity should be greater with
other data streams. This is a whole new universe to explore.
Currently I am less into multi market, than I am multi time frame.
But in time we can objectively figure this out using GSB.
So I would be building on 29,30,31 and validate on the other bars of 25 to 35. Validation on er,emd,nq,(dow?) MIGHT be worth doing, but wont work well
using close-CloseD. (close-closedDbpv would be better)
We also need to re investigate what secondary filters are best.
close-closed{bpv) and close/Closed non normalized vs normalized.
I'm intending to have ALL of these options chosen genetically fairly soon.
Out of 20,000 CL systems, only 890 passed on all other bars 25 to 35 minutes. Of these 890 only 4 passed market validation on ng,rb,ho and the 2018
results were below average on the 4 systems. But 4 is not a big enough sample. So I decided to remove systems that validated on zero other markets. (1
was ok)
This is all a new area of research.
|
|
|
cyrus68
Member
Posts: 171
Registered: 5-6-2017
Member Is Offline
Mood: No Mood
|
|
Thanks for an interesting video. Aiming for 20,000 unique systems, and using fairly tight performance filters, clearly showed the intention to
generate tradeable systems. You had already settled the issue of number of indicators, secondary data, secondary filter...etc... in preliminary
testing.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by cyrus68 | | Thanks for an interesting video. Aiming for 20,000 unique systems, and using fairly tight performance filters, clearly showed the intention to
generate tradeable systems. You had already settled the issue of number of indicators, secondary data, secondary filter...etc... in preliminary
testing. |
Ive spend a lot of time on CL, and so have a good idea what works best from previous testing. My goal is both to figure out the best methodology, and
to make all my trading systems on all markets built on multi time frame. GSB still needs some tweaks to fully realize all of this.
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
GSB 48.22 can now do nth tests with walk forward results.
So you can build say 2000 systems, nth1. Apply final WF parameters to all systems.
Then measure market degradation when nth is inverted. This can be compared to the same tests
without the WF parameters.
Same test like I did in the CL video, but leave 2018 out of sample, and see if the WF parameters worked better.
Keen to have more GSB cloud power from users today. (and a big thanks for those who donate me CPU power already)
I have 2 x 900 wf to do today on 29,30,31 min bars. Thats a task that would take one computer a decent amount of time.
So if you can give me your gsb share key, and run some workers, I will get you 48.22 version of GSB
|
|
|
Bruce
Member
Posts: 115
Registered: 22-7-2018
Location: Auckland - New Zealand
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by admin | GSB 48.22 can now do nth tests with walk forward results.
So you can build say 2000 systems, nth1. Apply final WF parameters to all systems.
Then measure market degradation when nth is inverted. This can be compared to the same tests
without the WF parameters.
Same test like I did in the CL video, but leave 2018 out of sample, and see if the WF parameters worked better.
Keen to have more GSB cloud power from users today. (and a big thanks for those who donate me CPU power already)
I have 2 x 900 wf to do today on 29,30,31 min bars. Thats a task that would take one computer a decent amount of time.
So if you can give me your gsb share key, and run some workers, I will get you 48.22 version of GSB |
Happy to give you GSB cloud power, just haven't been able to work out exactly how to address it to you!
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
| Quote: Originally posted by TradingRails | | Quote: Originally posted by admin | GSB 48.22 can now do nth tests with walk forward results.
So you can build say 2000 systems, nth1. Apply final WF parameters to all systems.
Then measure market degradation when nth is inverted. This can be compared to the same tests
without the WF parameters.
Same test like I did in the CL video, but leave 2018 out of sample, and see if the WF parameters worked better.
Keen to have more GSB cloud power from users today. (and a big thanks for those who donate me CPU power already)
I have 2 x 900 wf to do today on 29,30,31 min bars. Thats a task that would take one computer a decent amount of time.
So if you can give me your gsb share key, and run some workers, I will get you 48.22 version of GSB |
Happy to give you GSB cloud power, just haven't been able to work out exactly how to address it to you! |
info@trademaid.info
I will give you url to 48.22 and finer details below of how to do it.
open one 48.22 worker.
In app settings ,workplace,share keys add "topsecretuniquetome" //anything you like
group percentage 100%
save app settings as say workers4peter
then open more workers, till cpu gets high. takes a few min for them to start.
wf doesnt need much ram
The offer is appreciated
|
|
|
admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
|
I have the results of 20,000 29,30,31 minute bars - CL systems. Remove all these that dont verify on all other time frames. 25,26,27,28,32,33,34,35
min bars
Degradation of -12%
then Walk forward the results (nth=1) 29,30,31 minute bars
Compare the original non WF results with the nth out of sample WF results.
Compare the original WF results with the nth out of sample WF results.
Then compare the 2018 non WF results with 2018 WF results
Results are encouraging in cases!
I will publish next week the exact results.
Working on same test, but wf on 30 minute bars only.
and wf on all data pre 2018, then compare with 2018 results. Stuck on this due to GSB bug
And thanks to all the GSB users who contributed thier cpu power to do this. If your one of them and cant wait for the results to date, email me.
|
|
|
saycem
Junior Member
Posts: 48
Registered: 13-7-2018
Member Is Offline
Mood: No Mood
|
|
Great work Peter, can't wait to see the findings.
|
|
|
boothy
Junior Member
Posts: 54
Registered: 21-5-2018
Member Is Offline
Mood: No Mood
|
|
I have done some testing on Gold,
GC.30 no secondary data - OOS degradation -40.5%
GC.30.29.31 no secondary data - OOS degradation -11.5%
GC.30 with SI.30 as secondary data - OOS degradation -53.6%
GC.30.29.31 with SI.30.29.31 as secondary data - OOS degradation -11.5%
fitness function on all was net profit * avg trade
Appears to be no real benefit of having silver as secondary data, but is in line with other testing that building systems on 29.30.31 min bars is very
benificial.
   
|
|
|
| Pages:
1
..
3
4
5
6
7
..
47 |
![[*]](images/davis/default_icon.gif){kind=icon}
