Hi everyone,
I am a Zorro newbie and currently going through the all the scripts in the Black Book.
In chapter 4 - "Against the trend", the author uses a band pass filter with a period of 30 bars and delta of 2 bars.
The book does not explain what's the reasoning behind the choice of these two values; for this reason, I tried to experiment how the strategy would perform by optimizing the TimePeriod parameter.

In Alice2d.c, I replaced:


For:


To my suprise, all the metrics in the performance report after the train + test phases on the modified version of the script are way worse than the ones I get when testing with the hardcoded value '30'.
I probably fail to understand correctly how Zorro works, but since 30 is included in the optimization interval above, I would expect a performance report at least as good as the one I get when using the hardcoded value 30 for the bandpass filter period.

Could anyone please shed some light on this?

Thanks in advance

This is because ASCENT type of optimization does not necessarily select the "best"/ "peak" parameter value, but the "robust' one, in the middle of a plateau;
and so it must have have selected a parameter different from 30.