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!
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?
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?
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?
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?
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
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.
(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
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.
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.
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.