Hi,
I'm reproducing Alice1 from the Black Book (EUR/USD, H1, 2016-2026, price history from the Zorro site, Zorro 3.11.2). With the original script I get roughly the book's result (PF around 1.4).
On the chart, there is a gap of exactly 3 hourly bars after the weekend open: these 3 bars are missing and seem to be merged into the next bar, although every broker I checked shows them.
I added BR_WEEKEND with StartWeek/EndWeek (and BarZone) to make those 3 bars reappear, so the bars match my broker (Darwinex/MT5). With otherwise the same logic, the result changes a lot: PF drops to about 1.1 with a much less regular equity curve. Removing only the weekend lines brings back the book's result.
The effect seems even stronger on higher timeframes, for example H4, where the first bar after the weekend is clearly distorted without these settings.
So my question: is this expected? Are those weekend bars skipped on purpose by default (to keep the example simple, or because those hours are illiquid), or am I doing something wrong in my setup? This is the script I used:
function run()
{
set(LOGFILE,PLOTNOW,PRELOAD);
Fill = 3;
Outlier = 0;
LookBack = 1000;
BarZone = 2; // match broker bars (Darwinex/MT5)
BarMode = BR_WEEKEND;
StartWeek = 10000; // Monday 00:00
EndWeek = 60000; // Saturday 00:00
StartDate = 20160101;
EndDate = 20260201;
MaxLong = MaxShort = 1;
vars Prices = series(price());
vars Trends = series(Laguerre(Prices,0.05));
vars MMI_Raws = series(MMI(Prices,500));
vars MMI_Avgs = series(Laguerre(MMI_Raws,0.05));
Stop = 10*ATR(500);
Lots = 1;
if(falling(MMI_Avgs)) {
if(valley(Trends))
enterLong();
else if(peak(Trends))
enterShort();
}
}
Asset EUR/USD and bar period 60 are selected in the Zorro window. Screenshot of the gap attached.
Thanks!
