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Adding Position to Current Trade
by AndrewAMD. 05/30/23 10:34
Unable to change multiplier of contract
by vicknick. 05/30/23 06:56
Wrong Definition of Sharpe Ratio in Zorro?
by vicknick. 05/29/23 06:32
Backtest strategy on bitcoin/crypto
by JamesHH. 05/26/23 04:36
Return type of floor()
by AndrewAMD. 05/25/23 14:17
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Active Threads | Active Posts | Unanswered Today | Since Yesterday | This Week
Zorro Future
Yesterday at 08:07
Today, again. My Zorro script produced a nice entry for NAS100. My script had a stop and a trail. But, I wanted to secure the win and I put a trailing/ Stop order via the Broker platform.
So I was stopped out with 228 EUR win. Zorro html shows -230 EUR as a loss. Does it come with a mismatch of a Zorro "virtuell" trailing stop and the Broker one, which produces a real limit order?

Zorro works perfectly well. I used to work with Pine Script and it cost me ages to programme something which was not even similiar. This issue is a reporting issue only. I would assume that is an issue with the plugin?

For my markets the fees are included inside the spread and as I said commissions are zero.
12 302 Read More
The Z Systems
05/30/23 17:36
I think the answer is here

Set capital to 0
1 19 Read More
Starting with Zorro
05/30/23 10:34
You must open a new trade.
1 39 Read More
Starting with Zorro
05/30/23 06:56
The default multiplier for forex is 1000, however I would like to change to 100000. I tried changing it in the AssetsFix, and also set it as Multiplier = 100000 in the script, but it is still 1000. Any idea how to fix it?
0 31 Read More
The Z Systems
05/29/23 15:48
I believe it's hardcoded in the script (which is close source). I didn't manage to find the answer here.

It could be done intentionally so we are not able to retrain those starts without downloading a newer version of Zorro.
1 223 Read More
Jobs Wanted
05/29/23 14:17
69 16,071 Read More
Starting with Zorro
05/29/23 06:32
In Zorro performance report, sharpe ratio is defined as "annualized ratio of mean and standard deviation of the bar returns when the system is in the market; Bar returns are bar profits divided by invested or required capital."

However, the actual definition does not depend on the invested capital, meaning if I risk 10% of $1000, or 1% of $10000, my sharpe ratio should be the same. This allows us to able to compare the risk-adjusted return of different strategies. But in Zorro, risking the same amount but with different Capital will result in different Sharpe ratio.
0 26 Read More
The Z Systems
05/27/23 19:36
Hi everyone,

I tried to test the Scholz Brake and noticed that it is not used in Test mode but only in Trade mode.
May I asked why it is only available for Trading?
Actually I would like to compare the performance implications during backtesting a Z strategy if trading is suspended by hitting the brake.

Another question about the Scholz tax: In the manual is stated that the formula is: (gross win - 10000) * 0,26375.
To my knowledge, the tax begins at 20000€ and not 10000€. Am I wrong, or why 10000€?
Btw. with gross win is gross win/loss meant, isn't it?

0 16 Read More
Starting with Zorro
05/26/23 04:36
This is pretty much answered on the Zorro Download page.

But where does the Bitcoin M1 historical data come from: which broker?
1 89 Read More
Starting with Zorro
05/25/23 14:17
1) Double casts to int, so it's not wrong, so long as you don't need floating point values.
1 65 Read More
Starting with Zorro
05/25/23 14:14
Different prop firm business models and constraints exist. The algorithm designer should tailor it to the needs of the organization. Thus it's likely more of a private matter, which would explain why it's rarely discussed here.
1 63 Read More
Zorro and the Brokers
05/25/23 10:37
Here are my changes (latest revision) if anyone wants to fix this in the Zorro distribution:
12 891 Read More
Starting with Zorro
05/24/23 04:23
For the tutorials provided by Zorro, it seems that all the strategy was run with 1 Lots when opening position. However, I don't think this is appropriate to evaluate the true performance of a strategy, since the risk of the instrument will change over time, hence 1 Lots doesn't account for the risk of the instrument.

Hence, I have a function that scale the number of Lots to the risk, whenever the strategy is going to open a position. My question is, should I set the Capital = 0? It seems that in this case then Zorro will just continue with 1 Lots, which is not what I wanted. But setting Capital to some numbers will be reinvesting, and hence not a true performance of the strategy?

For example, if I set Capital = 100000, and then increase to Capital = 1m, I notice the Sharpe ratio increases as well. This is weird, since increasing amount of capital shouldn't improve the risk-adjusted performance of a strategy.
0 45 Read More
A8 Engine
05/23/23 18:31
Only Windows. Technically I think you can run games on Linux as well if you use the Proton compatibility layer.

For consoles you must definitely use modem engines with console support and you must also be an approved developer.

I think Gamestudio might still be useful for some of its tools if you want to create BSP-style maps (like Quake) with the level editor or low poly models with the model editor. You can also export the levels and models to more widespread formats (using another tool like Fragmotion as a converter). These can then be used in other game engines as well. This style was used in a couple of fun games over the last couple of years (Ultrakill, Dusk).

On the other hand, you can find similar tools like J.A.C.K. or Trenchbroom or Milkshape3D, UltimateUnwrap, Fragmotion and don't really need Gamestudio for this.

Since Gamestudio is a 32 bit engine you are limited in memory. You can't load gigabytes of textures and
high polygon assets. It is also limited to Direct X9, so no newer features of Direct X11 can be used.

It can definitely have it's charm if you want to display something up to the graphical level of the Wii, Xbox360, Playstation 3 era.

I would call it a vintage engine by now. grin
1 71 Read More
Jobs Wanted
05/23/23 13:54
Looking for new projects!
83 24,898 Read More
Zorro Future
05/23/23 03:28
For the purpose of displaying long script and asset name.
7 489 Read More
Zorro Future
05/21/23 20:23
Add a more eficient and elegant Money Management and Capital Assignment Factors algorithm the Black–Litterman model
0 32 Read More
Starting with Zorro
05/20/23 07:04
2 70 Read More
The Z Systems
05/19/23 14:36
Small update: I found out that the leverage is applied automatically and one cannot change this manually on IB.
This is what I misunderstood how trading on margin works. I was used to being able to manually set the leverage as it is possible with the CFD broker etoro.
So i didn't know that other brokers are handling this differently.
E.g. I have another broker account (tastytrade) there margin trading gets suspended, if the cash falls under a minimum margin amount (2500 in my case). In that case trading is effectively done 'by cash'.
So little note for myself: Always check the broker laugh

Probably this info is well known for most of you. But maybe it helps others that are new to active trading like my humble self.

1 44 Read More
The Z Systems
05/16/23 13:50
Hi, when I run the Z13 strategy with the selling naked put option, the option was several time every day exercised by the buyer. i have noticed, that the proposed option to sell has negative extrinsic value, so it seems to me the buyer can theoretically win by exercising the put option immediately and selling the underlying (especially some big traders with low fees). The run of Z13 :

[146: Tue 23-05-16 00:00] 412.35/412.35\412.35/412.35 -0.01
NY time 14:35
!Get Option Chain SPY-OPT--0.00--SMART/ISLAND--USD
Chain of 7626 SPY contracts
Find 42 days put -443
{SPY::sP14602} Write 1 Put 20230630 442.0 100@29.09 Leg 1 Unl 412.45 at 00:00:00 Tue
Com 0000 Mrg 0000 Net 0 Prem 2909

The value of 442 Put is just 29,09 with the SPY market price 412,45 , I assume for the buyer it is possible to excersize imediately and have 46 USD brutto profit ?

Should not be there some check in the Z13 strategy to avoid selling options that have zero or negative extrinsic value ?
0 17 Read More
Automated Trading
05/15/23 13:46
You need two overlapping time frames. Use BarPeriod = 60 and don't set Timeframe, but shift your series by script in alternating hours.
1 128 Read More
Ask the Developers
05/15/23 13:38
This attempt is not only once, but twice doomed to fail. First, your script sends no limit order - for limit orders you need to set OrderLimit. But HFT simulation disables anyway all trade parameters and only enters directly at the most recent quote.
1 243 Read More
Zorro Future
05/15/23 13:28
Zorro 2.56 is now available on under "New versions".

List of new features:

This release candidate will become the official release when no bugs are found in the next time. Please test everything and report any issues here! As usual, if you're the first one to find a new and serious bug in the release candidate, you can get a free Zorro S subscription or support extension.
0 92 Read More
Starting with Zorro
05/12/23 19:13
Thanks for the help. I had already solved it, however I will take into account your recommendation on the preference of local variables over global.

I attach an image of the corrected script

2 97 Read More
Automated Trading
05/06/23 10:46
You're welcome.

I made a small typo, I meant:

var LowerThreshold = optimize(90,45,135,9);
5 176 Read More
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