Topic: General Discussion about FSB Pro, Ideas, Opinions

I'm thinking about implementing custom limitation conditions for Generator. Such conditions are generally same for Optimizer.

In that way of thinking, what if we make a general strategy acceptance criterion comprising different stats values and acceptance levels. Something very similar like the current Limitations in Generator, but it to be globally available for FSB.

We have three tools for building up a strategy: Manual editing, Generator, and Optimizer. My idea is to use this global performance criterion for all this three tools. It will reject or accept strategies build up by Generator and Optimizer. It will also check the manually edited strategies, but instead of rejecting, it will show a visual semaphore. For example a red or green icons depending on the result.

Re: General Discussion about FSB Pro, Ideas, Opinions

That's a very good idea!

Re: General Discussion about FSB Pro, Ideas, Opinions

This might to be out of topic but it would be very useful to let generator/optizer to select strategies based on for example minimum drawdown.
Now i set some limits or filter and generator generates strategy (top ten) with the highest profit.
I would like to see checkbox - optimize drawdown or similar and it will actually generate strategies with lower drawdown or higher number of trades or whatever i need.

Re: General Discussion about FSB Pro, Ideas, Opinions

I second to Togr! There should be a way to select a base parameter which prevails. Now there's only the equity or highest profit and it overrides all the other limitations.

Thanks Togr for bringing and reminding me of this.

Re: General Discussion about FSB Pro, Ideas, Opinions

I experimented many times with this and it did not work well. For example, if you put min drawdown as a target, generator will show you a strategy with zero trades. It will be the perfect strategy with drawdown of zero.

Re: General Discussion about FSB Pro, Ideas, Opinions

Hi Mr Popov,
how do you think about this.

You can use a fitness function, it will be a combination of some parameters.

for example.

A strategy is good if
a) drawdown is low
b) the equitycurve is good
c) the symetry is good
d) the percentence of trades in ISS and OSS is nerarly the same

Strategy fitness= (attribute a * faktor1) + (attribute b * faktor2) + (attribute c * faktor3) + (attribute d * faktor4)

In the generationprocess you generate a list of found strategies.
For example you produce 100 strategies in the list and sort this list for this fitniss criterium.

If you found more than 100 strategies you throw out the strategies with bad fitniss.

You can say the optimizer reject strategies with fitnesslevel < X


You can use some configurable limitations for the process.
for example.

mintrades =300, maxtrades=600
minsymetry=30%
equtiycurve (you can take criterium from FSB)

thomas

http://www.tradessystem.com/

Re: General Discussion about FSB Pro, Ideas, Opinions

You can use a fitness function, it will be a combination of some parameters.

That's exactly what I want. This function will be made to allow user customization.

Also we can make Top 10 - Top 100 and to put there all generated (optimized) strategies that satisfy this fitness (or what ever name we chose) function. After that we can additionally sort strategies by different parameters - drawdown, Sharpe, Win/Loss....

Re: General Discussion about FSB Pro, Ideas, Opinions

Any ideas how can easily provide nightly build of FSB Pro.

I'll have several months vacation from my main work and will concentrate on FSB Pro development.
I'll be probably able to publish new features every several days, but standard update process is too cumbersome. I also do not to embarrass regular users with very frequent updates with small added value.

Uploading somewhere update file and a post in forum will be enough I think. Any ideas?

Re: General Discussion about FSB Pro, Ideas, Opinions

As long as people know where t get the update file, they can have the option of updating or not.... they can check if they know which page to look at.

Some people will update often and some people will update only once in a while.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: General Discussion about FSB Pro, Ideas, Opinions

Popov wrote:

You can use a fitness function, it will be a combination of some parameters.

That's exactly what I want. This function will be made to allow user customization.

Also we can make Top 10 - Top 100 and to put there all generated (optimized) strategies that satisfy this fitness (or what ever name we chose) function. After that we can additionally sort strategies by different parameters - drawdown, Sharpe, Win/Loss....

I think it will be one of the most important modifications '' fitness thing'' , But and tell me if iam wrong it will depends on when the fitness function will be applied is it applied before finding the top strategies or it will be done after finding the top strategies and at that time it will be some sort of indexing and sorting of top strategies

Re: General Discussion about FSB Pro, Ideas, Opinions

All strategies that satisfy Fitness Criteria will be added to Top 100

Re: General Discussion about FSB Pro, Ideas, Opinions

fantastic , so adding a new  strategy to top will not limited to one criteria which is to exceeds the previous higher strategy returns in the top list but instead it will be a portfolio of fitness criteria s including profits

nice addition

Re: General Discussion about FSB Pro, Ideas, Opinions

There will be several criteria. User will be able to select one of them. Top 100 will arrange strategies as per selected criterion.

Re: General Discussion about FSB Pro, Ideas, Opinions

I want to make better update system for FSB Pro. Something like Chrome and Firefox.

Program to check for updates at startup.
If there is a new update, to download the new files.

There are two variants here:
1. To download installer and to run it at next startup.
2. To download files. To extract and replace them silently.

This will be next my task.

Re: General Discussion about FSB Pro, Ideas, Opinions

A few suggestions again: Is it possible in FST to have a pause (or stop button) that lets the software finish what is already started, but not making new orders?  Another thing I have been looking for is if there is a way in Logic Condition to put a matrix of pips as a condition? Lets say I want it go long from 1,34 (EurUsd) and then next adding long order will be 25 points up from 1,34 and so on. And then of course I want to combine this with all other indicators.  Good luck again with your fine work!

16

Re: General Discussion about FSB Pro, Ideas, Opinions

My guess is  that the optimizer is the weak point of the FSB.

My proposal is to use a genetic optimizer with settable parameters.(population size, max generations, fitness functions, etc) , and most important , a WFA (walk forward analyser) module.
FSB generates too many "good strategies" that are very difficult to verify without having a method of measuring their robustness (WFE). I mean the old principles of Robert Pardo.
There are many examples of WFO / WFA / CWFA applications, but I think the best is the one implemented by Wouter Oosthuizen in GWFO and then in TradeStation.He is the one who made many years ago CASB (Computer Assisted Strategy Builder) for Easy Language.
In my opinion, FSB + good WFA module = best product on the market.

Re: General Discussion about FSB Pro, Ideas, Opinions

It would be great if indicator and balance charts would open if clicked on them, currently searching the right line on the left is a bit clumsy in my opinion. And additional statistics should open up in full screen also.

Thinking about the future - overall design is a challenge. Standard FSB is great, but Pro needs to better it, at the moment FSB is the parent and Pro the sophisticated offspring. This needs to be turned around. Pro needs to set the benchmark in ease of use, simplicity (higher functional capability is self-evident).

Re: General Discussion about FSB Pro, Ideas, Opinions

Where's LTF function in position opening and closing slots?

Indicator window/tab/sheet should close not only with the arrow and ok/cancel buttons, but when click is made outside of its boundaries.

Re: General Discussion about FSB Pro, Ideas, Opinions

Where's LTF function in position opening and closing slots?

LTF indicator functionality is not included for Opening and closing slot. The reason is that such function will produce multiple entry and exit points - one for each bar from the original time frame.

If you think such behavior is acceptable, I can try adding LTF for Opening and Exit slots also.

Indicator window/tab/sheet should close not only with the arrow and ok/cancel buttons, but when click is made outside of its boundaries.

It was default behavior in the alfa version when there were no dialog panels. I remove it because the current dialog panels provide different functionality - Accept, Cancel, Close with temp accept  (for current Generator page...). What should do a click out side ? It is not intuitive.

Re: General Discussion about FSB Pro, Ideas, Opinions

Pro needs to set the benchmark in ease of use, simplicity (higher functional capability is self-evident).

100% agree with that.
The biggest issue I see now is that we have to go to Editor Page in order to edit a trading strategy.
I'm considering redesign of the Trader Page:

Connection panel will go to the left and Strategy panel will go to the middle.
I'll introduce a Quick Edit button in the center of the menu.
The Quick Edit function will stop trading and disconnect current connections. It will allow also clicking on the slots and showing options Dialog Panel on the left side (like in Editor).
When we finish with the editing, a Reconnect button will allow recovering of the previous trader state.

Re: General Discussion about FSB Pro, Ideas, Opinions

Popov wrote:

LTF indicator functionality is not included for Opening and closing slot. The reason is that such function will produce multiple entry and exit points - one for each bar from the original time frame.

If you think such behavior is acceptable, I can try adding LTF for Opening and Exit slots also.

What do you mean by having multiple entry/exit points? Krog's WTF MA below, M15 on M5, works like a charm.


http://s23.postimg.org/7bp294mfb/image.jpg

Re: General Discussion about FSB Pro, Ideas, Opinions

What do you mean by having multiple entry/exit points?

Lets say the original time frame is 1 hour and we set "Bar Opening" with time frame - 4 hours.

1H Period        4H Period 
Bar Opening      Entry Level
10:00 - 1.34        1.34
11:00 - 1.38        1.34
12:00 - 1.40        1.34
13:00 - 1.37        1.34
14:00 - 1.35        1.35
15:00 - 1.34        1.35
16:00 - 1.32        1.35
17:00 - 1.28        1.35

We see that the entry level will remain the same for 4 bars.

The problem: "Bar Opening" entry may differ for the opening price of the original time frame. How we'll enter on such a price?

Every indicator has a property ExecutionTime.

namespace ForexStrategyBuilder.Infrastructure.Enums
{
    /// <summary>
    /// The type of the time execution indicator.
    /// It is used with the indicators, which set opening / closing position price.
    /// </summary>
    public enum ExecutionTime
    {
        DuringTheBar,   // The opening / closing price can be everywhere in the bar.
        AtBarOpening,   // The opening / closing price is at the beginning of the bar.
        AtBarClosing,   // The opening / closing price is at the end of the bar.
        CloseAndReverse // For the close and reverse logic.
    }
}

This property is set to "ExecutionTime.AtBarOpening" for "Bar Opening" indicator. It says to the backtester that it has to open a position exactly at the opening price. This will fool the backtester for a  LTF "Bar Opening".

If we remove that parameter from the indicator, most of the bars will become "Ambiguous" because the backters will have to interpolate the bar in searching of the entry price.

This problem is even bigger for the Closing Slot.

We know that Closing Logic Conditions have OR logic. So even one satisfied condition has to close the position. If we use LTF Bar Closing, such exit may appear on a price that is out of the bar range... How to deal with such a case?


...

I think the simplest solution is Krog or other developer to convert WTF indicators to the new format. He may call them LTF to differ from the old ones.

Re: General Discussion about FSB Pro, Ideas, Opinions

So this is not a problem for technical indicators, only Bar Opening and Bar Closing are at fault.

Re: General Discussion about FSB Pro, Ideas, Opinions

Bar Opening and Bar Closing are indicators as the others.

For example MA also has  ExecutionTime set in the following way:

            if (period == 1 && shift == 0)
            {
                if (price == BasePrice.Open)
                    IndParam.ExecutionTime = ExecutionTime.AtBarOpening;
                else if (price == BasePrice.Close)
                    IndParam.ExecutionTime = ExecutionTime.AtBarClosing;
            }

Also Day Closing, Day Closing 2, Week Closing, Trailing Stop, Stop Loss, Take Profit, Stop Limit, Entry Hour, Exit Hour...

The LTF and Symbol functions for Logical Conditions slots are implemented in the core of Backtester and Trader. Indicators are not changed in any way and this make the feature rigid and bug proof.

...

I can allow LTF, Signal Shift and Signal Repeat for Opening and Closing slots by deleting a single line of code. (Line No 199)

http://s7.postimg.org/ws80dpcvr/screenshot_339.jpg

There is no problem with implementation. The functionality is available for all slots. I simply hide it for Opening and Closing Slots because it may not work as expected.

Re: General Discussion about FSB Pro, Ideas, Opinions

We may add a property in indicators AllowLTF;
It may be set to true for all indicators and explicitly set to false for the indicators that do not accept LTF like Day Opening, Trailing Stop...

I'll test it today...