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Active Threads | Active Posts | Unanswered Today | Since Yesterday | This Week
Blame the Manual
13 hours ago
https://zorro-trader.com/manual/en/barperiod.htm

Use BarPeriod = 1440 and TimeFrame = framesync(7)
is
Use BarPeriod = 1440 and TimeFrame = frameSync(7)
0 38 Read More
Starting with Zorro
Yesterday at 23:21
Hello all, happy to be joining the community!

Is it possible, using Zorro, to access historical market internals data and create strategies trading in one market (/ES futures or SPY, for example) based on signals generated by the market internals (such as $TRIN, $TICK, $VOLSPD, etc.)?

I haven't been able to find any information on this. Thanks for any help you can give!
0 47 Read More
Starting with Zorro
Yesterday at 23:00
no thats not it, it claims line 17 has a problem
2 73 Read More
Atari lite-C
Yesterday at 20:01
No, definitely doesn't.
4 145 Read More
The Z Systems
Yesterday at 19:35
I downloaded the asset prices from the broaker, and I see the date on these files changing to the current date (June 25), i.e. AUDUSD_2020.t6 now has June 25 as the last date the file is modified. When I run the backtest, it seems historical data up to 2020-02-28 is used, and the 2020-03-01 to 2020-06-25 new data is not included in the backtest. This is the case for all asset. I thought the backtest would run all the way to the last data point in the historical asset price files.

What you are saying is that WFA runs until the end of its last cycle, which would be 2020-02-28, i.e. hardcoded? Is this correct?

Thanks a lot.
2 52 Read More
Bug Hunt
Yesterday at 17:19
I have backchecked Zorro releases till 2.20 - and, indeed, for BarPeriod=60 15-min historical candles are requested from the broker, both for MT4 and IB.

This means that with BarOffset=8 and BarPeriod=60, the open-close of such hourly candles in Lookback will actually be from 8 minutes earlier (since Zorro will use a xx:00 - xx:15 candle as the last 'tick' in construction of a 60-min candle).

It becomes a nightmare to reconcile/ verify live trading performance with 're-test' for an MT4-trading system that uses historical ASK data from e.g. IB for PRELOAD, backfills BIDs from MT4 for Lookback - shifted by BarOffset,
then continues with Asks from MT4 in live.

IS there really a problem with requesting M1 ticks for Lookback? both IB and MT (at least Darwinex and Alpari) handle such requests - even voluminous - easily..


Can BarOffset ( !=0) be a flag that would switch lookback backfill requests to M1 ticks?



1 24 Read More
Zorro Scripts
Yesterday at 12:12
Hello,
I am testing the new Simulate.c script by importing the testtrades.csv produced by a previous backtest. But I am unable to insert the algo name (which is the first column of testtrades.csv file) into this Simulated backtest run. I wonder if someone could advise if this is possible?

I also noticed that the simulated backtest produced very similar metrics (such as PF, Win, UI etc) but SR is noticeably different. Could this be a bug?

Thanks
0 32 Read More
Educational
07/02/20 18:35
https://tradingted.com/
use here on the page
29 9,970 Read More
The Future
07/02/20 12:43
Well... Dreams are free smile
24 4,162 Read More
Jobs Wanted
07/02/20 11:11
Looking for work!
25 4,732 Read More
Starting with Zorro
07/01/20 17:15
I'd like to create a dynamic grid system and maybe someone can give me a starting point.

The grid should be created out of points that happened in the past, e.g. SMA10 cross SMA50 (really bad example, I got better things with more validity), the cross is the horizontal level to remember.
Later on, the levels if crossed by price with a certain condition, e.g. Momentum > x should trigger a trade.

Any help how to get started on something like that would be really nice.

Question is, how to remember the levels?
Any level crossed should loose validity, oldest to newer.

Would anyone here be interested to develop such a system together?
0 56 Read More
Automated Trading
07/01/20 16:57
Aw, shucks!
5 387 Read More
Zorro Future
07/01/20 01:01
jcl,

Can we get a macro "break_assets" to break out of a for(listed_assets) or for(used_assets) loop?

Its behavior would be identical to that of break_trades.

Thanks,
Andrew
0 39 Read More
The Z Systems
06/30/20 11:28
Hi everyone
I attach the images of the results on EURUSD, leverage 1:30, system Z2 and Broker costs.
I don't know if I did everything right with the AssetsFix file. The results indicate an annual profit of 35.4% that I don't understand: first hypothesis, starting from 2,000 euros and from 2014 to 2019 they are 708 euros x 6 years = + 4,248 euros, instead the total says 1,319 euros.
If I calculate 35% of 2000 euros for the whole period, the calculation is: 2000 + 35% = 2,700 and not 2000 + 1,319 €.
If I make the sum of the profit with the initial capital like € 1,319 + € 2,000 = € 3,319. In this case the calculation of the percentage would be: (3,319 / 2,000) - 1 * 100 = + 65.95% and not 35%.
What am I doing wrong?
Thanks for the attention
0 25 Read More
A8 Engine
06/30/20 11:27
I don't think the monitor has an effect on the event. As seen in the video, when windows dpi is active, the engine is lowering the resolution, in window mode.
2 160 Read More
Zorro Future
06/29/20 19:28
I was thinking, admitting I don't know too much about how Zorro internally handles the training, but was thinking, if an additional train Parameter could make sense (or maybe it is already how training is handled).

Suggestion, find within the standard ascend train option the most stable one, in terms of neighbouring train parameter values.

To illustrate, using optimize(5,3,10,1) e.g. value 3 gives good results and would be picked.
So suggestion, if 6 gives maybe worse results than 3, but 5 & 7 give just sligthly worse than 6 (in all terms that are evaluated to choose the parameter) algorithm should choose 6 instead of three, since the neighbouring values don't deviate too much.

Although, don't know if that isn't already the way or it really makes sense.
If it does, it should of course be explicitly activated.

Could be helping against overfittig, maybe even a warning in the log could be issued if the sourrounding values are delivering too drastic differences from the one picked.
0 30 Read More
The Z Systems
06/29/20 15:39
Hi jcl.

(This question is migrated (and added to) from the other thread as it fits better here, regarding procedure for trading in US account)

Can you please confirm: For trading Z Systems in a US account, one must:

0) FXOnly is deprecated and its value doesn't matter
1) (One way or another,) Set the NFA flag (to be safest, always set even if the broker supposedly handles it)
2) Manually adjust assets - Exclude in z<n>.ini for Z3 & Z7, or the .fac list (setting all invalid Assets to <=0) for Z1, Z2, & Z12
3) Set StopFactor=0 (for Oanda - and other brokers?)
4) Test, Test, Test - and evaluate if you really still want to Trade the System under these restrictions

Is this list of steps correct and complete?

Thanks.
3 37 Read More
Blame the Manual
06/29/20 12:36
2 82 Read More
Zorro Future
06/29/20 12:36
jcl,

I think it would be useful if each T2, T6, and T8's volume and value were accessible via marketVol() and marketVal() from tick() in TICKS mode. Same goes for live trading.

If necessary, set a flag to enable it, set(TICKVOL).

Thanks,
Andrew
0 53 Read More
Starting with Zorro
06/29/20 11:28
There is no function to release the bridge while trading live. But 29 pairs should normally not cause stalling on a normal Internet connection, not even with MT4. Test if that's really the reason, by reducing the pairs to 2 or 3, then running both scripts again.
1 50 Read More
Educational
06/29/20 05:12
One could also compare the rising of the base currency of the specific market with the change of the indices.
Also using ticks, count the upticks vs. downticks and their frequency, on crash the trading frequency is massively increasing.
If market aggrees, more down trades are made than uptrades.

Overall assets tick frequency, all pairs, all indices -> massive increase.
Gap frequency, all pairs, all indices -> increase
Sample pairs / indices, one for all, e.g. USD/NZD rising, oil falling, us30 falling, AUD/USD falling ... -> crash

Overall amount of price quotes massively increasing -> crash???

Since real crash data is very limited, concentrating on the forensics of the known crashs in the newer past would be a feasible option.
3 118 Read More
Zorro Future
06/27/20 16:44
Yes, another user had also suggested to add return volatility. It's on our list.
1 104 Read More
Starting with Zorro
06/27/20 06:40
The idea is generally right, for finding out why it does not work, check the whole code and debug it with the watch function. Also read the troubleshooting page in the manual.
4 104 Read More
Zorro Scripts
06/26/20 20:41
Thank you Petra - I think that is a good solution - will give it a go.
2 117 Read More
Zorro and the Brokers
06/26/20 20:33
When using IB, you must set the NFA flag before you trade. You didn't set the NFA flag.
https://zorro-project.com/manual/en/ib.htm
https://zorro-project.com/manual/en/mode.htm#nfa
Quote
The IB API is NFA compliant and does not control individual trades. All trades can therefore only controlled by Zorro. The account portfolio only reflects the net sum of all open positions by all connected Zorros. The NFA flag must be set for IB accounts.
1 59 Read More
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