Petzy
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My portfolio going live very soon....
I been working with GSB for a while now and testing different markets and time frames.
I think I am ready to go live with this portfolio. I thought maybe it would be fun for others to see 
I am using TradeStation and I am going to use the auto trading functionality in TradeStation. However, I made sure the trading will take place when I
am awake. (I am at GMT+1, or CET).
Enjoy
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admin
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Wishing you all the best !
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uhrbi
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Looks, good! Wishing you all the best, too!
May I ask how many systems your portfolio consists of and what markets it is based on?
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tradingest
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Quote: Originally posted by Petzy  | I been working with GSB for a while now and testing different markets and time frames.
I think I am ready to go live with this portfolio. I thought maybe it would be fun for others to see
I am using TradeStation and I am going to use the auto trading functionality in TradeStation. However, I made sure the trading will take place when I
am awake. (I am at GMT+1, or CET).
Enjoy
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you have tried to import the code EL within tradestation to see whether you obtain the same results?
thanks
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Petzy
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I included the markets here.
(Crude Oil, Gold, Natural Gas, 10 and 30 year US treasury notes)
The metrics on Negative correlation between markets is very good I think. You can see in the picture that some are high but those are the same markets
The values I use in Portfolio Analyst is from TradeStation. So I develop the strategies in GSB. Run and save the results from Tradestation and then
import them into Portfolio analyst to see what to trade.
So I feel comfortable about the values. (As far as backtesting go. We will see how it goes in real trading )
The pictures are one year back information. I have tested it on 10 years back as well.
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tradingest
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I'd like to see if isn't a problem the equity product into GSB and the same code imported within TS to see the equity in performance report produced
by tradestation. Is it possible to see this request?
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Petzy
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Hi Tradinggest
I think Carl gave you a good answer in this thread: http://www.trademaid.info/forum/viewthread.php?tid=107
I agree with him.
I attached a screen shoot from GSB performance report and TS. Notice that the number of trades is not the same so the reports are not exactly the same
either. That is because I exported the data for GSB earlier and there is more data in TS now. But as you can see it is almost identical.
I don't know exactly how the TS backtest engine works. I might have some setting in my TS that makes the difference between TS and GSB greater than it
should be. But in my experience live trading will not be identical to backtest anyway.
The important thing is that the strategy is good enough to give you some buffer against bad luck in live trading. And as long as the PF and average
trade is big enough I am happy.
I saw in your other thread that you tried StrategyQuant. What I saw when I was trying SQ was that it gave good strategies with many trades but the
average trade was low. GSB often gives strategies with lesser trades but much better average trade. In my opinion that feels a lot more robust.
And you can always run GSB for a few more days and compensate for less trades with more strategies.
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uhrbi
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Hi Petzy,
thank you for the additional information!!
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tradingest
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thanks
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rws
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I tested the old 3.8 Strategyquant but their new version 4 seems to be delayed and lacking for more than a year. There is another program from the
same area in eastern Europe that is better.
| Quote: Originally posted by Petzy | Hi Tradinggest
I think Carl gave you a good answer in this thread: http://www.trademaid.info/forum/viewthread.php?tid=107
I agree with him.
I attached a screen shoot from GSB performance report and TS. Notice that the number of trades is not the same so the reports are not exactly the same
either. That is because I exported the data for GSB earlier and there is more data in TS now. But as you can see it is almost identical.
I don't know exactly how the TS backtest engine works. I might have some setting in my TS that makes the difference between TS and GSB greater than it
should be. But in my experience live trading will not be identical to backtest anyway.
The important thing is that the strategy is good enough to give you some buffer against bad luck in live trading. And as long as the PF and average
trade is big enough I am happy.
I saw in your other thread that you tried StrategyQuant. What I saw when I was trying SQ was that it gave good strategies with many trades but the
average trade was low. GSB often gives strategies with lesser trades but much better average trade. In my opinion that feels a lot more robust.
And you can always run GSB for a few more days and compensate for less trades with more strategies.
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cipher
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nice thread, great to hear you are going live with GSB strategies in a portfolio. please keep us updated how things go
i have gone live with strategies built through other software similar to GSB, but have yet to go live with GSB strategies (only because i haven't had
the time). your metrics look really good, and it is promising to see GSB able to produce these results.
quick question -- are you also planning on keeping the strategies optimized according to the WF schedule? or did you only use WF for robustness
testing, and plan to keep the strategy parameters as is?
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Petzy
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Thank you for the encouragement!
I used WFO mainly for robustness and I try to save only those strategies that have a high metric for parameter stability. It should mean that the need
for re-optimization in the near future is minimal. However, when the time comes I imagine that I will keep an eye open for the need of optimization.
Another aspect is that if I am lucky and the strategies perform well my capital will grow and that means that I will optimize the portfolio rather
than the individual strategies. That might mean that some strategies will be switched out for others and the need for re-optimization will disappear.
But to be honest. I don’t know yet 😊.
Yet another aspect is that I might optimize the strategy itself. For example change the “buy at market” to “limit orders”. Maybe add a stop
loss. That usually mean that the strategy gets better, but the number of trades goes down. The net profit also goes down but that can be compensated
with even more strategies. Maybe on other markets.
This example I attached is a 15 minute strategy of @US. The original strategy from GSB is very good with NP of 72000USD. The PF is 2.44 and there are
462 trades. (10 years of backtest)
I added a SL at 2700 and changed “buy at market to” a “Limit order”:
Buy("Long entry limit") 1 contracts Next Bar at (Close-(AvgTrueRange(14)*0.4)) Limit;
That resulted in a drop in NP to 49000USD and a drop of trades to 241. BUT it also reduced the drawdown and increased the PF to 3,17 so if I have
another strategy with similar performance I can afford to trade both with a much better total than the original. My risk and capital being the same.
(At least that’s what I believe).
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Carl
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All the best!
Were you able to test your systems in sim to collect the real out of sample trade data?
Are you going to switch on all your systems at the same time or are you going to start small with only one system and step by step add more systems?
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Petzy
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I am running them on demo account at the moment. I will change to real account shortly and run them all at once. Keeping a close eye on them at first.
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cipher
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hi Petzy -- any update on how your portfolio performed in 2018?
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