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Imgui Lite-c Development
by Emre. 04/05/20 04:47
Cannot write a fac file
by jbhunter. 04/05/20 04:33
how to plot a price curve and an indicator
by AndrewAMD. 04/04/20 22:06
deepsignal r run time error
by hola123. 04/04/20 18:17
Slowness after update
by Spirit. 04/04/20 11:46
Best Broker for US Resident?
by tradingest. 04/04/20 11:05
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Active Threads | Active Posts | Unanswered Today | Since Yesterday | This Week
Projects
1 hour ago
Hi everybody. i made a simple theme editor. You can easily create your theme and export it. It's not that great, but still it's useful i guess. You can download from here.

[Linked Image]
37 2,791 Read More
Starting with Zorro
1 hour ago
I am having problems with a script writing a fac file. Any thoughts? What info is needed to debug this?

I set "FACTORS" along with some other parameters. I am running Zorro 2.25 as Zorro S.

Error 062: Can't open Fisher_v2.fac (wt:13)
Run Fisher_v2..
Read Fisher_v2.par
Test: Fisher_v2 2010..2019
Assets History\AssetsFix.csv
Error 044: Data\Fisher_v2.fac no content
0 5 Read More
Starting with Zorro
Yesterday at 22:06
In fact, you would need run() because run() iterates through your time series and your indicators.

Included with Zorro is the IndicatorTest script, which plots various indicators.

Further reading:
https://zorro-project.com/manual/en/scripts.htm
https://zorro-project.com/manual/en/ta.htm
https://zorro-project.com/manual/en/plot.htm
1 25 Read More
Zorro Future
Yesterday at 20:13
Hi, I've been using Zorro and love its back test and live trading features.

Zorro currently integrates with R and Python, which is great when you could utilize existing libraries for more advanced numerical/statistical calculations. However, R and Python are slow, so including calls to them would slow down back test.

Julia is a relatively new high-level language that is as easy as Python and Matlab, but much faster, and can be as fast as C/C++ if some basic care is taken.
For details see: Julialang.org and Julia Computing

A lot of great packages already exist in the Julia ecosystem.

I wonder if there is a possibility to integrate with Julia? Julia itself can easily call C libraries with almost no overhead. Would that help? Or is there some documentation on how R and/or Python is integrated, so we could borrow the approach for Julia as well?
0 20 Read More
Zorro Scripts
Yesterday at 18:17
Thanks for the tip, will give this ago and see what happens
2 80 Read More
Starting with Zorro
Yesterday at 16:26
Hi all

I'm new to Zorro - it looks like a fabulous system.

I'm trying to put up an algo where I sell 0.05 delta puts on the SPY.

I have Workflow 8 as a base and tweaked it to the following.
However, I want to exit my put options when the profit hits 50% of initial premium, rather than wait till expiration.
How do I do it in the code below?

Thanks a lot.



// Workshop 8: Simple Option system //////////////////////////////////////////
#include <contract.c>

#define PREMIUM 2.00
#define DAYS 6*7

void run()
{
StartDate = 20120101;
EndDate = 20200401;
BarPeriod = 1440;
set(PLOTNOW,LOGFILE);

History = ".t8"; // real options data
//History = "a.t8"; // artificial options data
assetList("AssetsIB");
asset("SPY");
Multiplier = 100;

// load today's contract chain
if(!contractUpdate(Asset,0,CALL|PUT)) return;

// Enter new positions
if(!NumOpenShort) {
if(combo(
0,0,
contractFind(PUT,DAYS,PREMIUM,2),1,
0,0,0,0))
{
MarginCost = comboMargin(-1,3);
enterShort(comboLeg(2));
}
}
}
0 10 Read More
Zorro Scripts
Yesterday at 11:46
Check your script?
1 34 Read More
Zorro and the Brokers
Yesterday at 11:05
Originally Posted by AndrewAMD
USA residents can use the Oanda, Ally, and IB plug-ins. TD Ameritrade has a REST API, so if you know C++, you can write a plugin for it as well.


There is a guide to build a plugin integrated with Zorro?
3 159 Read More
Zorro and the Brokers
Yesterday at 02:00
That was it! Adding SPY as the ASSET seemed to do the trick. Thanks!
2 34 Read More
Starting with Zorro
Yesterday at 00:58
Haha, okay. I understand
2 46 Read More
Zorro and the Brokers
04/03/20 21:21
Originally Posted by AndrewAMD
Yes


pity not being able to use the plugin
4 32 Read More
Zorro and the Brokers
04/03/20 21:19
Hi there,

with MT4 LMAX live account I have this problem and I can not connect Zorro through MT4 bridge

Check account number
Can't connect

Why? Someone can you help me?

Thanks in advance
0 14 Read More
Starting with Zorro
04/03/20 13:07
Thank you!
2 34 Read More
Zorro Scripts
04/03/20 13:03
Thanks!
2 21 Read More
Zorro Scripts
04/03/20 10:29
I thought using python for deep learning isn't possible yet, because all python machine learning packages are 64bit only and there is no python64bit bridge yet..???
3 142 Read More
Zorro Scripts
04/03/20 10:26
https://strategyquant.com/quantdatamanager/

You can export custom *.csv files with this.
1 45 Read More
Editors & Templates
04/03/20 10:26
It works! Thank you! :>
7 210 Read More
Automated Trading
04/02/20 18:58
Hi, I agree with MatPed, I think shortening the optimization OOS period may likely lead to overfitting and undermining the basic idea of the edge. For some reason though, the Z strategies are re-parametrized periodically, in terms of months, so I am still probably missing some parametrization fundaments in Zorro :-(.

Just my approach is to stay with the simplest original result, as you posted on 29.9.2019. Especially when you say it is consistent over many assets.
I trade it small with microlots and focus to adopt other strategies into the ensemble, to balance/compensate the flat periods and draw downs.
5 745 Read More
Automated Trading
04/02/20 18:20
Stefan,

not sure if this is a coding question or a general question about money management and portfolio setup.

For the latter case, I have used the booklet "Embrace the Mayhem" from the Robotwealth team. The link is on the Zorro support page.

The abstract of their approach:
- besides the profit, one should always consider the annualized volatility of the portfolio, and keep it well below 15%.
- trade small, trade broad - details explained there.

There certainly is a possibility to code in Zorro and compare the performance reports. I leave the space here to more experienced members though.
1 170 Read More
Starting with Zorro
04/02/20 15:46
Thanks for the help and suggestions
12 136 Read More
Starting with Zorro
04/02/20 13:07
assetHistory knows CHRIS/ICE but not CHRIS/ICE_DX1. It does not look like valid quandl code. If Quandl has DX1 in the ICE then the correct code would be probably CHRIS/ICE/DX1.
1 36 Read More
Zorro Future
04/02/20 12:42
27 820 Read More
Zorro Scripts
04/02/20 11:56
Thank you, again!

Have a nice day
2 35 Read More
Zorro Future
04/02/20 11:35
You misunderstood my approach: I wouldn't cache the signals (which is of course impossible because of the virtually unlimited number of combinations), but the predictions. The predicted value only depends on time, because the signals themselves only depend on time, unless you try to optimize parameters on which they depend. Is that even possible? At least for me, this isn't desirable. If it is possible, you could implement a flag DEEPCACHE or something, to switch caching on.


So if I was to implement that cache, I would pass a timestamp - a bar number or wdate() - along with the signals into the R session. So one of the columns of my signals.csv would be that timestamp. I would put that aside before my neural net gets trained. When the training is finished, I would first add a new column with my predictions to the signals table, then add the timestamp column. Then I would export only the timestamp and the predictions column to a file. So I would get a timeseries with all the predictions which I would read out from zorro.

Maybe the term "cache" doesn't describe the approach. It's more some pre-calculated time series.
216 298,749 Read More
Starting with Gamestudio
04/02/20 09:01
Originally Posted by Emre
You should declare the variable "_i" as a global variable.

Code

var _i=0; //global var

function on_space_event()
{
	for(; _i < 15; _i += 1) {
		if(random(1) < 0.5)
		A();
		else
		B();
	}
}


and if you want just one function to work each time you press the key, you don't need to use "for" loop. Something like this works:

Code
var _i=0;

function on_space_event()
{
	_i+=1;
	if( _i>15)
	{
		return;
	}

	if(random(1) < 0.5)
	A();
	else
	B();
}
}


Thank you @Emre, I think that's exactly what I want!
5 136 Read More
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