Does this optimise all parameters for each instrument seperately? I think it would be best to run the optimisation on one pair and then use the optimal settings for all pairs. This would be more robust and less curve fitted.
When you optimize there is a .par file in C:\Program Files\Zorro\Data which contains the optimized parameters.
I optimized the strategy with only EU and AU and the parameter file shows that each asset is optimized on its own:
AUD/USD: 24.6 99.0 4.03 +0.790=> 4.114
EUR/USD: 80.2 97.9 4.02 +0.760=> 2.318
So here for AUD/USD, ccilength=24.6, cciextreme=99.0, profatr=4.03 and stopatr=0.79.
Not sure how Zorro handles CCI(24.6) tho? Does is use CCI(24) or CCI(25)?
If I am wrong I would appreciate if jcl could correct me.
Thanks
Guiom
