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jptann
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Peter:
I am using the GSB a lot for the ES markets and trading them with good results. One recommendation that I have to fix a limitation of the program is
to add more sophistication in Stops and Profit targets. Just having a fixed number is no longer good enough. Maybe a suggestion would be to handle
custom stop and profit target code like you handle custom indicator codes. This would allow me to add some sophisticated stops and profit targets
(actually, never use profit targets) but would love to iterate Break even ratchet type stops, or others. There are a number of standard ones and you
could look on the TS Forums for examples. Look for LeBeau_Stops and also scale in and scale out logics. If you allow for more flexibility here for
stops, scaling in and out, profit targets, etc. it would take the package to the next level. A methodology similar to the "custom indicator" section
would be excellent here. Look at _StopsFlexible function in TS by MarkSanDiego. It may give you some ideas. Thanks in advance
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admin
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Quote: Originally posted by jptann  | Peter:
I am using the GSB a lot for the ES markets and trading them with good results. One recommendation that I have to fix a limitation of the program is
to add more sophistication in Stops and Profit targets. Just having a fixed number is no longer good enough. Maybe a suggestion would be to handle
custom stop and profit target code like you handle custom indicator codes. This would allow me to add some sophisticated stops and profit targets
(actually, never use profit targets) but would love to iterate Break even ratchet type stops, or others. There are a number of standard ones and you
could look on the TS Forums for examples. Look for LeBeau_Stops and also scale in and scale out logics. If you allow for more flexibility here for
stops, scaling in and out, profit targets, etc. it would take the package to the next level. A methodology similar to the "custom indicator" section
would be excellent here. Look at _StopsFlexible function in TS by MarkSanDiego. It may give you some ideas. Thanks in advance
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This has been on the short term to do list for some time, but gets deferred due to some more pressing issues like Nth and multi time frame support.
Exits will be done at the same time as additional secondary filters. The two of these is a big job so will be a decent bit of time to do. Other users
are asking for this too.
Scaling is going to be extremely complex and less likely to happen.
However any existing GSB code can generally scale as is if you change the properties in the workspace.
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rws
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Here a nice description of Lebeau
http://stockcharts.com/school/doku.php?id=chart_school:techn...
I have tested it on pricepatterns and sofar it is the best exit I found.
Still I am trying to find better exits like other pricepatterns.
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admin
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I will add the to the to exit list
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Petzy
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DStat exit
DStat is a stop that is mainly used for daily swing trade strategies. It tends to give smooth equity curves together with high hit-rate strategies.
(For example RSI2)
I am not sure if it will be good for GSB and intraday strategies but I think it might be a good idea to try it.
The strategy comes from E2 Trading in Sweden. (e2trading.com)
The exit works like this.
1. Exit on first close that is profitable. (Current Close > Entry price)
2. Always Exit on close at bar 5. Even if the trade is not profitable
/Peter
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rws
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I use A x ATR(days) ^x
I found that while optimizing x is often 0.5 which means square root.
| Quote: Originally posted by Petzy | DStat is a stop that is mainly used for daily swing trade strategies. It tends to give smooth equity curves together with high hit-rate strategies.
(For example RSI2)
I am not sure if it will be good for GSB and intraday strategies but I think it might be a good idea to try it.
The strategy comes from E2 Trading in Sweden. (e2trading.com)
The exit works like this.
1. Exit on first close that is profitable. (Current Close > Entry price)
2. Always Exit on close at bar 5. Even if the trade is not profitable
/Peter
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Petzy
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| Quote: Originally posted by Petzy | DStat is a stop that is mainly used for daily swing trade strategies. It tends to give smooth equity curves together with high hit-rate strategies.
(For example RSI2)
I am not sure if it will be good for GSB and intraday strategies but I think it might be a good idea to try it.
The strategy comes from E2 Trading in Sweden. (e2trading.com)
The exit works like this.
1. Exit on first close that is profitable. (Current Close > Entry price)
2. Always Exit on close at bar 5. Even if the trade is not profitable
/Peter
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I realized that I can get a somewhat simular effect with a profit target and a time exit. I think the original DStat exit will be better though.
I tested on @FDAX 30 minutes. Exchange time 1400 - 1700. After a very quick test it looks like it is a good kind of exit.
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admin
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| Quote: Originally posted by Petzy | | Quote: Originally posted by Petzy | DStat is a stop that is mainly used for daily swing trade strategies. It tends to give smooth equity curves together with high hit-rate strategies.
(For example RSI2)
I am not sure if it will be good for GSB and intraday strategies but I think it might be a good idea to try it.
The strategy comes from E2 Trading in Sweden. (e2trading.com)
The exit works like this.
1. Exit on first close that is profitable. (Current Close > Entry price)
2. Always Exit on close at bar 5. Even if the trade is not profitable
/Peter
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I realized that I can get a somewhat simular effect with a profit target and a time exit. I think the original DStat exit will be better though.
I tested on @FDAX 30 minutes. Exchange time 1400 - 1700. After a very quick test it looks like it is a good kind of exit.
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I see merit to this idea and have used some of it before.
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cyrus68
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It would be extremely useful to enable the exporting of the WF trade report as a csv file.
Of course, it is possible to get the report via TS. But it's quicker and more convenient to do it directly from GSB, when you want to test many
systems.
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admin
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| Quote: Originally posted by cyrus68 | It would be extremely useful to enable the exporting of the WF trade report as a csv file.
Of course, it is possible to get the report via TS. But it's quicker and more convenient to do it directly from GSB, when you want to test many
systems.
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From memory, you can export the trade list as .pa file (Portfolio analyst)
This gives report similar to TS, and has csv export option too
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cyrus68
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Yes, I realise you can export to PA and then Excel. However, this is a 2-step procedure. And you are left with a lot of redundant files in PA that
need to be cleaned up.
The files you would want in PA are the few that have passed all tests and have the best potential for portfolio inclusion. I need to do many tests on
multiple WF results before I get to that point.
If there isn't a lot of programming involved, exporting directly from GSB to csv would be helpful.
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admin
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| Quote: Originally posted by cyrus68 | Yes, I realise you can export to PA and then Excel. However, this is a 2-step procedure. And you are left with a lot of redundant files in PA that
need to be cleaned up.
The files you would want in PA are the few that have passed all tests and have the best potential for portfolio inclusion. I need to do many tests on
multiple WF results before I get to that point.
If there isn't a lot of programming involved, exporting directly from GSB to csv would be helpful. |
This can be done, and its a reasonable idea.Not sure on the eta. I will put it on the to do list.
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emsjoflo
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I would like to have Nth profitable exits added to GSB -- similar to the Dstat exit Petzy mentioned. In Mechanical Trading Systems, Beann has
several systems that exit after 2 or 3 profitable bars (or days) or after 5 unprofitable. That has the advantage of scaling the stops to the
volatility of the market.
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admin
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| Quote: Originally posted by emsjoflo | | I would like to have Nth profitable exits added to GSB -- similar to the Dstat exit Petzy mentioned. In Mechanical Trading Systems, Beann has
several systems that exit after 2 or 3 profitable bars (or days) or after 5 unprofitable. That has the advantage of scaling the stops to the
volatility of the market. |
I can see merit to this on exiting after nth daily bars.
For intra-day trading, i'm unclear what merit this will give.
Do you have intra-day or daily in mind. If intra day can you test the concept in TS on a few systems and explain what happened?
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emsjoflo
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I really want it for nth profitable days but if bars are easier, I could make that work too. I haven't tried it in TS yet
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admin
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| Quote: Originally posted by emsjoflo | I really want it for nth profitable days but if bars are easier,
I could make that work too. I haven't tried it in TS yet |
Do some testing to see if it is useful. I dont see use for this on MOC systems, but could be wrong
Anyone else got comments on it?
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boosted
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I've been using Standalone up til now. With Petzy's help I got Manager and Workers up and running.
I currently max Workers (95ish %) at 4 with i7 7700 4.2Ghz 65GB RAM
Take my wish with a grain of salt since I just started using Workers, but it would be nice if there was either a background color (ie green) that
highlights Unique Systems row
so at a glance you know when all Workers are done tranferring their systems to Manager OR do something like this:
Unique Systems: 4,500 of 6423 (so you can get an idea how many were created and how many left to be finished)
or
maybe 4500/6423
or
Percentage done (ie 67%)
Something simple but from my first use of Workers it would of been nice to know how much longer I had til I could do further work in Manager.
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bill897
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I would think drawdown percentage instead of profit targets and stops would be more beneficial. You have to protect your bottom line. If I've made a
certain profit and hits a drawdown, I would think that it would lock in your profit. Profit targets are hypothetical. Let your profits run, cut your
losses. How do you do that? The EA is suppose to handle that based on your indicators. But, if I'm sitting at my Tradestation, I can see if I'm green
10 and all I have to do is hit red 10. Is there drawdown percentage in GSB?
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Petzy
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| Quote: Originally posted by boosted | I've been using Standalone up til now. With Petzy's help I got Manager and Workers up and running.
I currently max Workers (95ish %) at 4 with i7 7700 4.2Ghz 65GB RAM
Take my wish with a grain of salt since I just started using Workers, but it would be nice if there was either a background color (ie green) that
highlights Unique Systems row
so at a glance you know when all Workers are done tranferring their systems to Manager OR do something like this:
Unique Systems: 4,500 of 6423 (so you can get an idea how many were created and how many left to be finished)
or
maybe 4500/6423
or
Percentage done (ie 67%)
Something simple but from my first use of Workers it would of been nice to know how much longer I had til I could do further work in Manager.
|
Nice that you are up and running.
The way I usually setup GSB Manager is that I have restarts=1000. That will make GSB run "forever". After a day or two I Pause the manager and go
through the systems that GSB found. If I find enough systems that are good I transfer them to TradeStation to double check that they work out of
sample. If I think I need more systems then I resume GSB Manager again for a day or two.
So in this scenario I don't expect the worker to ever "be done". I just run until I have enough good systems.
Just a side note. The way I verify if my systems are good is this:
1. I export data from Tradestation for as long time back as I can get. The end date is 2018-01-01. (Sometimes 2018-03-31).
2. I run GSB Manager with Dates 2015-12-31 - 2100-01-01. And then I chose Dates Mode to Not Tradable. (See picture)
3. When I verify I Pause manager and then I change all systems to "Tradable". Alla systems that are ok Out Of Sample I put in Favorite.
4. I change all systems that I put in Favorite to Dates Mode=All and then I run Walk Forward Optimazation on them
5. All systems that are stabgle in WFO I transfer to Tradestation so I can get the final OOS from Tradestation.
6. All systems that I might want to trade I do WFO in tradestation to find out good values and Stop Loss.
7. Then I hit Resume on GSB Manager and let GSB find more systems. Or if I am happy with the systems I change to another market to find other systems
in other markets
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admin
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| Quote: Originally posted by bill897 | | I would think drawdown percentage instead of profit targets and stops would be more beneficial. You have to protect your bottom line. If I've made a
certain profit and hits a drawdown, I would think that it would lock in your profit. Profit targets are hypothetical. Let your profits run, cut your
losses. How do you do that? The EA is suppose to handle that based on your indicators. But, if I'm sitting at my Tradestation, I can see if I'm green
10 and all I have to do is hit red 10. Is there drawdown percentage in GSB? |
When to stop a system is something all traders I have spoken too find hard.
Ive had systems doing poorly out of sample all 2017, but I kept trading.
Made a killing in 2018. You have to factor in market conditions.
If you want to stop a system after draw-down of x, I would code this in TS.
My feeling is its got to be a bit over 2 x previous historical draw-down. Features like this are in portfolio analyst - but the features are very
immature, and I don't have much faith in the concept. There might be improvements in the features over time, but the programmer concerned is focused
on PA cloud.
see http://trademaid.info/pa.htm
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boosted
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| Quote: Originally posted by Petzy | | Quote: Originally posted by boosted | I've been using Standalone up til now. With Petzy's help I got Manager and Workers up and running.
I currently max Workers (95ish %) at 4 with i7 7700 4.2Ghz 65GB RAM
Take my wish with a grain of salt since I just started using Workers, but it would be nice if there was either a background color (ie green) that
highlights Unique Systems row
so at a glance you know when all Workers are done tranferring their systems to Manager OR do something like this:
Unique Systems: 4,500 of 6423 (so you can get an idea how many were created and how many left to be finished)
or
maybe 4500/6423
or
Percentage done (ie 67%)
Something simple but from my first use of Workers it would of been nice to know how much longer I had til I could do further work in Manager.
|
Nice that you are up and running.
The way I usually setup GSB Manager is that I have restarts=1000. That will make GSB run "forever". After a day or two I Pause the manager and go
through the systems that GSB found. If I find enough systems that are good I transfer them to TradeStation to double check that they work out of
sample. If I think I need more systems then I resume GSB Manager again for a day or two.
So in this scenario I don't expect the worker to ever "be done". I just run until I have enough good systems.
Just a side note. The way I verify if my systems are good is this:
1. I export data from Tradestation for as long time back as I can get. The end date is 2018-01-01. (Sometimes 2018-03-31).
2. I run GSB Manager with Dates 2015-12-31 - 2100-01-01. And then I chose Dates Mode to Not Tradable. (See picture)
3. When I verify I Pause manager and then I change all systems to "Tradable". Alla systems that are ok Out Of Sample I put in Favorite.
4. I change all systems that I put in Favorite to Dates Mode=All and then I run Walk Forward Optimazation on them
5. All systems that are stabgle in WFO I transfer to Tradestation so I can get the final OOS from Tradestation.
6. All systems that I might want to trade I do WFO in tradestation to find out good values and Stop Loss.
7. Then I hit Resume on GSB Manager and let GSB find more systems. Or if I am happy with the systems I change to another market to find other systems
in other markets
|
Thanks for sharing your process.
I did have a few questions though.
You mention
"After a day or two I Pause the manager and go through the systems that GSB found. If I find enough systems that are good I transfer them to
TradeStation to double check that they work out of sample."
Are you doing this after your steps 1-4 or prior?
I would of figured you would of had GSB do the OOS which would mean no need to put into TS for OOS check, unless you wanted to confirm the GSB OOS
results are truly what they should be and in fact work in TS too, as they should without error.
Regarding your step #2 it seems you would have GSB take care of that automatically by setting your validation period to closely match your dates noted
therefore not needing to take the extra step(s) of placing your Favorites list of strategies into TS, since the results can be seen immediately in the
GSB OOS portion. Maybe I am not understanding the reasoning behind that step. Please elaborate.
What is the purpose of doing a final WFO in TS if GSB has already completed a WFA on your list of stable strategies that passed GSB WF process? That
would seem to be a very long time consuming process unless you instead use EWFO.
I like your thorough process but trying to understand the reasoning behind your steps since some of them seem to be something GSB takes care of
internally and quicker with EWFO vs TS WFO.
Again, thanks for sharing your process like to understand some of the thought process behind it.
Thanks.
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Petzy
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| Quote: Originally posted by boosted | | Quote: Originally posted by Petzy | | Quote: Originally posted by boosted | I've been using Standalone up til now. With Petzy's help I got Manager and Workers up and running.
I currently max Workers (95ish %) at 4 with i7 7700 4.2Ghz 65GB RAM
Take my wish with a grain of salt since I just started using Workers, but it would be nice if there was either a background color (ie green) that
highlights Unique Systems row
so at a glance you know when all Workers are done tranferring their systems to Manager OR do something like this:
Unique Systems: 4,500 of 6423 (so you can get an idea how many were created and how many left to be finished)
or
maybe 4500/6423
or
Percentage done (ie 67%)
Something simple but from my first use of Workers it would of been nice to know how much longer I had til I could do further work in Manager.
|
Nice that you are up and running.
The way I usually setup GSB Manager is that I have restarts=1000. That will make GSB run "forever". After a day or two I Pause the manager and go
through the systems that GSB found. If I find enough systems that are good I transfer them to TradeStation to double check that they work out of
sample. If I think I need more systems then I resume GSB Manager again for a day or two.
So in this scenario I don't expect the worker to ever "be done". I just run until I have enough good systems.
Just a side note. The way I verify if my systems are good is this:
1. I export data from Tradestation for as long time back as I can get. The end date is 2018-01-01. (Sometimes 2018-03-31).
2. I run GSB Manager with Dates 2015-12-31 - 2100-01-01. And then I chose Dates Mode to Not Tradable. (See picture)
3. When I verify I Pause manager and then I change all systems to "Tradable". Alla systems that are ok Out Of Sample I put in Favorite.
4. I change all systems that I put in Favorite to Dates Mode=All and then I run Walk Forward Optimazation on them
5. All systems that are stabgle in WFO I transfer to Tradestation so I can get the final OOS from Tradestation.
6. All systems that I might want to trade I do WFO in tradestation to find out good values and Stop Loss.
7. Then I hit Resume on GSB Manager and let GSB find more systems. Or if I am happy with the systems I change to another market to find other systems
in other markets
|
Thanks for sharing your process.
I did have a few questions though.
You mention
"After a day or two I Pause the manager and go through the systems that GSB found. If I find enough systems that are good I transfer them to
TradeStation to double check that they work out of sample."
Are you doing this after your steps 1-4 or prior?
I would of figured you would of had GSB do the OOS which would mean no need to put into TS for OOS check, unless you wanted to confirm the GSB OOS
results are truly what they should be and in fact work in TS too, as they should without error.
Regarding your step #2 it seems you would have GSB take care of that automatically by setting your validation period to closely match your dates noted
therefore not needing to take the extra step(s) of placing your Favorites list of strategies into TS, since the results can be seen immediately in the
GSB OOS portion. Maybe I am not understanding the reasoning behind that step. Please elaborate.
What is the purpose of doing a final WFO in TS if GSB has already completed a WFA on your list of stable strategies that passed GSB WF process? That
would seem to be a very long time consuming process unless you instead use EWFO.
I like your thorough process but trying to understand the reasoning behind your steps since some of them seem to be something GSB takes care of
internally and quicker with EWFO vs TS WFO.
Again, thanks for sharing your process like to understand some of the thought process behind it.
Thanks. |
I do step 1 and 2 first. That is the starting point you might say.
after step 2 I let gsb run for a couple of days and then I go to step 3.
The reason I do yet another OOS in step 5 in TS is because it makes me feel even more comfortable with the strategies. If you noticed I didn't export
data all the way up until todays date in step 1. That way I have a true OOS test in TS with completly new data.
I have never had a problem that GSB don't show the same result in GSB as in TS. That have never been an issue for me.
Regarding the question about using Validation to check OOS automatically instead of using the Tradable/Not tradable function. -There was an issue some
time ago that GSB might overfit strategies if using the Validation function. (That is probably true about all programs that automatically finds
strategies). I think it was most obvious in Crude Oil strategies(?). Using the method in step 3 is better.
(If you haven't yet. Read this thread: http://trademaid.info/forum/viewthread.php?tid=117
The reason I do a final WFO in TS is because I use EWFO. The WFO in TS produce the data you later import into EWFO. I don't do many WFO in TS. Just
the systems I am considering trading so it is a limited amount.
WFO in both GSB and TS have a fitness goal of NetProfit. In EWFO I can experiment with different settings to get a more straight equity curve and less
drawdown which I like. GSB WFO is very good so you don't really need to do this step. But since I can, I do. And it's fun 
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admin
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"BOOSTED. Something simple but from my first use of Workers it would of been nice to know how much longer I had til I could do further work in
Manager. "
You can do work any time you like in the manager, and if more systems come in later, this doesnt matter. CPU usage will also tell you when they have
stopped.
The exception to this rule is if you are testing market validation nth feature. Systems coming in later will screw the stats.
This is described in market validation video. http://www.trademaid.info/video.htm
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Petzy
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One thing to add to the wish list
Some markets works better with Short trades only and some with Long only. And some with both long and short.
When validating a market I would like to have the Performance tab show long, short and both in three different columns. It would be a fast way to see
if the market is very bias to one sort of trade or not.
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admin
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| Quote: Originally posted by Petzy | One thing to add to the wish list
Some markets works better with Short trades only and some with Long only. And some with both long and short.
When validating a market I would like to have the Performance tab show long, short and both in three different columns. It would be a fast way to see
if the market is very bias to one sort of trade or not. |
Its a good idea, we will try to do it.
Showing the Long only metrics on Long short system is not the same as building long only systems, but it likely show the market bias.
The test could then be repeated with say long only of the bias appeared long
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