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Siem
Junior Member
Posts: 35
Registered: 14-11-2020
Location: NL
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Hi Peter,
I'm also working on Gold systems. I have a similar issue.
At first I thought it were my session settings or timezone settings - which still might not be correct (see below).
However I noticed something else, when I compared the 1-minute data from "GC\gc.1.minute.0000_1500_localTime-centralTimeUSA.txt" to what is in my TS
there were differences.
For instance in the file "10/08/2020,00:01,1888.9,1889.2,1888.7,1889.1,28,19" - in my TS with @GC [COMEX] opened at 1907.5 and none of the candles on
10/07/2020 and 10/08/2020 got to 1889.9
Am I using the correct symbol @GC in TS?
My computer is on Central Time (UTC-6)
TS Time Zone is: Exchange
Session settings: see screenshot
If the above settings were correct - would it help if I generated new price data with TS and used that in GSB for GC systems?
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admin
Super Administrator
Posts: 5060
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thats looks good, but i suspect it was just derived by getting the best system of 50,000 with no out of sample.
Thats deceptive
As i dont see any stats in favourite a,b etc.
You want to know how well does the entire setup work.
what is the session used with the data?
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admin
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@siem, TS data is back adjusted so price will not match after contracts roll. Volume should as long as the data volume field in TS matches what was
used
@portfolioquanttrader2020, your session times were wrong in TS, and data used in GSB was local (Central usa) time - which <> your session
It would be best for you to re-export your data using these settings.
Thanks received (1):
+1 Siem at 2021-07-30 14:40:42
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portfolioquanttrader2020
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Posts: 269
Registered: 30-4-2020
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Peter, do we have some kind of entry that is based on a schedule? For example, enter long from 18 pm to 20 pm
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admin
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Posts: 5060
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yes, time field in gsb
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portfolioquanttrader2020
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Posts: 269
Registered: 30-4-2020
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Hi peter
To leave at any time between two hours, for example between 6 and 10 am, how is it configured? I don't want to leave just after 6, I want to leave
anytime between 6 and 10
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portfolioquanttrader2020
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Posts: 269
Registered: 30-4-2020
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Peter I would like to know if you have a guide to gold similar to that of building systems in intraday Nq. Where are the macros and the steps to
follow to build systems and families?
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Daniel UK1
Member
Posts: 470
Registered: 4-6-2019
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A good idea is to watch trough all videos that Peter has made, and read trough the methodology in documentation, and then use for example Peters
methodology as a start to create something that make sense for yourself, GSB is developing very fast, and the basic in the methodology is really the
same for all markets. macros etc, each market has its unique character that requires its own settings, sf, sessions, etc... but methodology is the
same... for gold you can use same macros as ES just change the dates to your liking, and just follow the stats.
I do believe there is macros for gold that Peter shared some time ago, perhaps in Automation folder or some other shared macro folder, not sure.
I do think there is some link in the forum to it.
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portfolioquanttrader2020
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Yes, that's what I'm doing, watch everything slowly and translate everything.
I have translated videos of the gold into Spanish.
I thought the same as you, that the methodology is the same, but with nuances for each market.
Thanks a lot
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portfolioquanttrader2020
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Is there some kind of time entry?
For example enter a time interval. I understand that energies are affected by seasonality, I think Perry Kauffman talks about it in his book. There is
intraday seasonality, and that could lead to a type of hourly entry. It's right?
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Daniel UK1
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2020, A tip, would be to focus on the basics first, get it right on the major things, then when you nailed that, you can fiddle around with the tiny
nuances etc. You control allowe trade time in the left side GUI, "times setting" you control session times to use (that you must first create from
the window dropdown) under session in data popup.
Some markets have multiple session times one can use, such as for example metal markets.
Imho, get your settings for main session correct first, understand it, such as for gold 8-1430 ish eastern, this will take you months.
Then when you have squeezed out every inch of knowledge from that, look into your question about intraday seasonality etc etc, second or third session
times etc.
Starting from the other way around, will most likely end up with a multivariable mess.
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bud67
Junior Member
Posts: 12
Registered: 22-4-2019
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How is the fitness criteria NPAtMfeNPLateEntry calculated ? There is no documentation about it.
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REMO755
Member
Posts: 181
Registered: 11-4-2021
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Hello,
What does EntryParams -7 mean?
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SwedenTrader
Junior Member
Posts: 63
Registered: 3-8-2020
Location: Stockholm, Sweden
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Anyone know why gold contract GCV was jumped to GCZ contract ? I dont remeber this happening last year.
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admin
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sorry missed these posts.
@bud67
its net profit * average trade * MaxFavoruableExcursion) net profit if you end 1 bar later than normal entry
It seems to work really well building systems, but not doing walk forward.
likely its due to mae or npLateEntry
@remo
It means typically result >-7 to go long for entry cross or cross over at -7 for entry compare2
(I found compare1 constantly works poorly out of sample and Ive never used it for a live system)
@sweedentrader
ts has this sequence
GJMQVZ
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SwedenTrader
Junior Member
Posts: 63
Registered: 3-8-2020
Location: Stockholm, Sweden
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@sweedentrader
ts has this sequence
GJMQVZ[/rquote]
i know this but at the moment the V is the next roll for today, but it has only 3,300 in volume and Z has 66,000. Thought it was a bit strange that
already everybody is at the december contract but it happens i guess.
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admin
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@sweedentrader, ive noticed that @gc=103nc is not correct, but I dont know why
It should have matched @gc this many days after rollover. I think something is wrong. Im not clear exactly what.
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coccigelus
Junior Member
Posts: 73
Registered: 11-7-2018
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For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this
rather than use the continuos contract.
Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July
- example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)
There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)
Hope it helps.
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REMO755
Member
Posts: 181
Registered: 11-4-2021
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Quote: Originally posted by coccigelus  | For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this
rather than use the continuos contract.
Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July
- example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)
There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)
Hope it helps. |
Hello,
The GC volume does not always change in the second month, sometimes the result is the fourth month.
How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?
Why does the rollover change the open interest?
http://help.tradestation.com/09_01/tradestationhelp/fu/conti...
I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.
dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009
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admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
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Im not sure on gold. I thought some months can have physical delivery and others dont. Any comments from other users.
Im not concerned about this, I just trade on @gc and substitute to the correct month... but I know ts users cant do this.
The custom symbol I think works regardless.
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coccigelus
Junior Member
Posts: 73
Registered: 11-7-2018
Member Is Offline
Mood: No Mood
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| Quote: Originally posted by REMO755 | | Quote: Originally posted by coccigelus | For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this
rather than use the continuos contract.
Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July
- example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)
There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)
Hope it helps. |
Hello,
The GC volume does not always change in the second month, sometimes the result is the fourth month.
How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?
Why does the rollover change the open interest?
http://help.tradestation.com/09_01/tradestationhelp/fu/conti...
I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.
dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009
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Some months in gold are thinly traded. For this reason I use the custom contract I mentioned above that avoid those months.
Unfortunately not all the continuos contracts offered by TS are built correctly. By correctly I mean switch when volumes swap to the next contract
(timing) AND to the next following month with max volumes. (chosen of the right month) . For instance @LH roll over in their continuos contract is
performed with a couple of week delays and in summer They jump the super liquid July month. Clearly this is plain wrong.
I am using custom contracts in gold and crude oil while I am forced to make by myself the roll over for @LH. (switching manually contract when needed)
Why don't I use custom contract in @LH? Because the data offered is full of spurious.
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admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
Member Is Offline
Mood: No Mood
|
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thats a good explanation. Thank you
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Siem
Junior Member
Posts: 35
Registered: 14-11-2020
Location: NL
Member Is Offline
|
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| Quote: Originally posted by admin | @siem, TS data is back adjusted so price will not match after contracts roll. Volume should as long as the data volume field in TS matches what was
used
It would be best for you to re-export your data using these settings.
|
Thanks, it works correct now and everything matches. I just noticed I forgot to match the end-date it with the original data file (it was 10/08/2020).
The start-date is the same, but the end-date is today.
Would this be negative for building systems? For instance I see that during the "Green"-phase GSB takes all of the data it has given to generate
systems. The Goldv1.1 build-macro uses the end of 2020 as the latest date.
What kind of end-date for the data would you recommend using for GC?
Would you recommend tweaking the dates of the macro's GC uses, by looking at the newer build-macro's (e.g. ES, NQ) - so GSB can generate more
up-to-date systems?
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admin
Super Administrator
Posts: 5060
Registered: 7-4-2017
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@siem
good your working
its fine to have some extra oos data in ts. This gives just another thing to show if oos is good.
IM rusty on gc as havnt made systems for some time. Sometime changing dates screws a good setup, so im happy to keep as is.
Fine to experiment though as long as you do 4 identical tests on each test.
why 4 is results vary so much, one test is not a good indicator
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REMO755
Member
Posts: 181
Registered: 11-4-2021
Member Is Offline
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| Quote: Originally posted by coccigelus | | Quote: Originally posted by REMO755 | | Quote: Originally posted by coccigelus | For gold I use @GC=102NC+GJMQZ. However keep in mind that custom symbol contract in TS have (sometimes) data with bugs. There is no way to handle this
rather than use the continuos contract.
Moreover some continuos contract such as those on the meat sector are wrong. Meaning that some months will be traded jumping the front contract. (July
- example) Talk many times with TS data department but It requires Product Manager to address it. (which never did)
There have been report in the past of mismatch in the volume again with regard to custom contract. (OIL)
Hope it helps. |
Hello,
The GC volume does not always change in the second month, sometimes the result is the fourth month.
How does TS manage an asset whose volume is sometimes the second month and sometimes the fourth month?
Why does the rollover change the open interest?
http://help.tradestation.com/09_01/tradestationhelp/fu/conti...
I think this does not happen by volume, here I send you the last change by volume of the last years in GC, NinjaTrader Continuum.
dic-20 29/7/2021
ago-21 26/5/2021
jun-21 29/3/2021
abr-21 28/1/2021
feb-21 27/11/2020
dic-20 28/7/2020
ago-20 27/5/2020
jun-20 27/3/2020
abr-20 30/1/2020
feb-20 28/11/2019
dic-19 30/7/2019
ago-19 29/5/2019
jun-19 28/3/2019
abr-19 30/1/2019
feb-19 29/11/2018
dic-18 30/7/2018
ago-18 30/5/2018
jun-18 27/3/2018
abr-18 30/1/2018
feb-18 29/11/2017
dic-17 28/7/2017
ago-17 29/5/2017
jun-17 30/3/2017
abr-17 30/1/2017
feb-17 29/11/2016
dic-16 28/7/2016
ago-16 27/5/2016
jun-16 29/3/2016
abr-16 28/1/2016
feb-16 26/11/2015
dic-15 30/7/2015
ago-15 28/5/2015
jun-15 30/3/2015
abr-15 29/1/2015
feb-15 26/11/2014
dic-14 30/7/2014
ago-14 29/5/2014
jun-14 28/3/2014
abr-14 30/1/2014
feb-14 27/11/2013
dic-13 30/7/2013
ago-13 30/5/2013
jun-13 27/3/2013
abr-13 30/1/2013
feb-13 29/11/2012
dic-12 30/7/2012
ago-12 30/5/2012
jun-12 29/3/2012
abr-12 30/1/2012
feb-12 29/11/2011
dic-11 28/7/2011
ago-11 27/5/2011
jun-11 30/3/2011
abr-11 28/1/2011
feb-11 29/11/2010
dic-10 29/7/2010
ago-10 27/5/2010
jun-10 30/3/2010
abr-10 28/1/2010
feb-10 26/11/2009
|
Some months in gold are thinly traded. For this reason I use the custom contract I mentioned above that avoid those months.
Unfortunately not all the continuos contracts offered by TS are built correctly. By correctly I mean switch when volumes swap to the next contract
(timing) AND to the next following month with max volumes. (chosen of the right month) . For instance @LH roll over in their continuos contract is
performed with a couple of week delays and in summer They jump the super liquid July month. Clearly this is plain wrong.
I am using custom contracts in gold and crude oil while I am forced to make by myself the roll over for @LH. (switching manually contract when needed)
Why don't I use custom contract in @LH? Because the data offered is full of spurious.
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How do you build a custom contract in TS? I do not see information.
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