Thank you for your answer. I set the Slippage to 0 and the results are still the same as before. In Zorro 1.50.6 I got AR 2% - SR 0.05 and in Zorro 1.54.5 I got AR 33% - SR 0.46. Which are the good and reliable results? Those made in Zorro 1.50.6 or those made in Zorro 1.54.5?
I attach the script and results.
Thank you very much.
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function run()
{
BarPeriod=60;
Slippage = 0;
vars Price = series(price());
vars Trend = series(LowPass(Price,500));
vars Signals = series(0);
Stop = 4*ATR(100);
vars MMI_Raw = series(MMI(Price,300));
vars MMI_Smooth = series(LowPass(MMI_Raw,500));
if(falling(MMI_Smooth)) {
if(valley(Trend))
enterLong();
else if(peak(Trend))
enterShort();
}
}
***********************************
Test 1-PRU EUR/USD - ZORRO 1.50.6
***********************************
Simulated account AssetsFix
Bar period 1 hour (avg 92 min)
Test period 18.01.2012-27.01.2017 (28550 bars)
Lookback period 300 bars (18 days)
Monte Carlo cycles 200
Simulation mode Realistic (slippage 0.0 sec)
Spread 0.5 pips (roll -0.02/0.01)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 597$ / -576$ (+246p)
Average profit 4.26$/year, 0.36$/month, 0.02$/day
Max drawdown -205$ 958% (MAE -248$ 1159%)
Total down time 73% (TAE 60%)
Max down time 66 weeks from Apr 2013
Max open margin 30$
Max open risk 24$
Trade volume 201115$ (40010$/year)
Transaction costs -8.19$ spr, -50$ slp, -0.45$ rol, -11$ com
Capital required 188$
Number of trades 188 (38/year, 1/week, 1/day)
Percent winning 18.6%
Max win/loss 88$ / -53$
Avg trade profit 0.11$ 1.3p (+196.0p / -43.2p)
Avg trade slippage -0.27$ -3.1p (+0.0p / -3.8p)
Avg trade bars 105 (+399 / -37)
Max trade bars 1372 (11 weeks)
Time in market 69%
Max open trades 3
Max loss streak 16 (uncorrelated 28)
Annual return 2%
Profit factor 1.04 (PRR 0.80)
Sharpe ratio 0.05
Kelly criterion 0.09
R2 coefficient 0.000
Ulcer index 33.9%
Confidence level AR DDMax Capital
10% 5% 78$ 90$
20% 4% 87$ 97$
30% 4% 100$ 107$
40% 4% 109$ 114$
50% 3% 120$ 122$
60% 3% 134$ 133$
70% 3% 147$ 144$
80% 3% 167$ 159$
90% 2% 194$ 180$
95% 2% 229$ 207$
100% 1% 368$ 314$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .007 1.04 35/153 100.0
EUR/USD:L .000 0.48 13/86 -873.3
EUR/USD:S .190 1.98 22/67 973.3
*************************************************************
Test 2-PRU EUR/USD - ZORRO 1.54.5
*************************************************************
Simulated account AssetsFix
Bar period 1 hour (avg 92 min)
Test period 18.01.2012-27.01.2017 (28549 bars)
Lookback period 300 bars (18 days)
Monte Carlo cycles 200
Simulation mode Realistic (slippage 0.0 sec)
Spread 0.5 pips (roll -0.02/0.01)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 749$ / -520$ (+2632p)
Average profit 46$/year, 3.80$/month, 0.18$/day
Max drawdown -129$ 56% (MAE -160$ 70%)
Total down time 72% (TAE 65%)
Max down time 93 weeks from May 2013
Max open margin 40$
Max open risk 26$
Trade volume 210101$ (41798$/year)
Transaction costs -8.54$ spr, 0.00$ slp, -0.49$ rol, -12$ com
Capital required 139$
Number of trades 196 (39/year, 1/week, 1/day)
Percent winning 20.9%
Max win/loss 88$ / -11$
Avg trade profit 1.17$ 13.4p (+209.8p / -38.5p)
Avg trade slippage 0.00$ 0.0p (+0.0p / -0.0p)
Avg trade bars 114 (+414 / -35)
Max trade bars 1366 (11 weeks)
Time in market 79%
Max open trades 4
Max loss streak 16 (uncorrelated 25)
Annual return 33%
Profit factor 1.44 (PRR 1.13)
Sharpe ratio 0.46
Kelly criterion 0.66
R2 coefficient 0.000
Ulcer index 18.0%
Confidence level AR DDMax Capital
10% 45% 78$ 100$
20% 43% 87$ 107$
30% 41% 93$ 112$
40% 38% 102$ 119$
50% 37% 109$ 124$
60% 35% 119$ 132$
70% 33% 129$ 140$
80% 29% 150$ 156$
90% 25% 180$ 179$
95% 24% 198$ 193$
100% 14% 375$ 329$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .091 1.44 41/155 100.0
EUR/USD:L .000 0.98 19/80 -2.1
EUR/USD:S .187 2.01 22/75 102.1
