Hi there

In the manual it is stated that Z1, Z2 and Z12 systems use an equity curve trading mechanism for reducing the expiration risk of single components, and also that OptimalF factors are used for distributing the capital among the components.

Elsewhere it is also stated that if a component is unprofitable, OptimalF is 0.000

Why is it necessary to use both the equity curve trading mechanism and Optimal F allocation?

Shouldn’t OptimalF allocation be enough and just assign 0 value to unprofitable components?

Hi they are different concepts: OptimalF allocates capitals between each algo , based on backtest, Equity line controls the profitbility while you are trading i.e it can block a component of the TS that have a positive OptimalF.

Ciao

OK, I get it, I just thought the equity curve trading was redundant when using OptimalF factors.

Hi edu, if I am not mistaken, if OptimalF<0, it will be paused forever untill retrain(which is not suggested for Z-Systems). On the other hand ECT will keep using "fake" orders to detect the outcome of the component. If the outcome is good enough, the component will be back online and catch up the missing orders.

Thanks Adam. So, I guess ECT serves as an additional safety measure that works during trading, while optimalF<0 components are just turned off before trading and untill retrain

Hi edu, yes, that's how I remember.

I have a question regarding the exclusion of specific algos via the .fac file. I understood, I can put a minus sign in front of the OptimalF column.
I have a specific case where I only want to exclude the Short algo and keep the Long one. I tried:

.fac table

GER30:30 -.695 1.18 120/266
GER30:30:L .816 1.24 61/133
GER30:30:S -.541 1.13 59/133

I also tried without the "-" sign at the top row. But Short trades are still executed. Is the exclusion not possible here? Do I have to exclude via script?