New Zorro version 1.83

Posted By: jcl

New Zorro version 1.83 - 05/20/18 08:52

A new Zorro version is available:

http://opserver.de/down/Zorro_1830.exe

This version will be uploaded to the Download page when no bugs are found in the next time. It contains the new Z10 crypto system plus many other new features and improvements. Especially, check out the contractCPD function that allows you to predict tomorrow's price from market sentiment. The full list of new features and bugfixes can be found on http://manual.zorro-project.com/new.htm.

Please test everything and report any problems here!
Posted By: jcl

Re: New Zorro version 1.83 - 05/22/18 12:21

Small update:

http://opserver.de/down/Zorro_1831.exe

Changes and fixes:

-Z10 included
-MT5 plugin returned wrong leverage
-Error 055 was in fact 047
Posted By: claudio

Re: New Zorro version 1.83 - 05/23/18 16:53


I'm tryng the MT5 bridge and this is the result I think is wrong.
Note that if I buy 0.1 lot of EURUSD with my real account I will get 1000€ (about 1170$) with a margin cost of 100€ (Leverage 10).

This what I get from code added to TradeTest.c:

printf("n Price %.5f",InitialPrice);
printf("n Spread %.5f",Spread);
printf("n RollLong %.5f",RollLong);
printf("n RollShort %.5f",RollShort);
printf("n PIP %.5f",PIP);
printf("n PIPCost %.5f",PIPCost);
printf("n MarginCost %.5f",MarginCost);
printf("n Leverage %.5f",Leverage);
printf("n LotAmount %.5f",LotAmount);
printf("n Commission %.5f",Commission);

TradeTest
Login 0 MT4/5 (demo)..
!Trading Point Of Financial Instruments UK LTD connected
!Real account not supported at UTC 05-23 16:25
Bal 0.0 Equ 25.00 Mrg 0.0 Pos 53.00
Error 063: marketVol not available
Vol 0.0 Spr 0.00017
V 1.831 on Wed 18-05-23 18:26:18

Trade: TradeTest EUR/USD 2018-05-23
Log Params EUR/USD
Price 1.13795
Spread 0.00017
RollLong -11.01000
RollShort 4.69000
PIP 0.00010
PIPCost 0.00855
MarginCost 10.00000
Leverage 99.11544
LotAmount 100.00000
Commission 0.60000
Session end at 16:26
Logout.. ok

This what I get from MQL5 added in Zorro.mq5

Print("Asset ",Asset);
Print("LotFactor ",LotFactor);
Print("Factor ",Factor);
Print("MODE_POINT ",MarketInfo(Asset,MODE_POINT));
Print("MODE_TICKVALUE ",MarketInfo(Asset,MODE_TICKVALUE));
Print("MODE_LOTSIZE ",MarketInfo(Asset,MODE_LOTSIZE));
Print("MODE_MARGINREQUIRED ",MarketInfo(Asset,MODE_MARGINREQUIRED));
Print("MODE_SWAPLONG ",MarketInfo(Asset,MODE_SWAPLONG));
Print("MODE_SWAPSHORT ",MarketInfo(Asset,MODE_SWAPSHORT));
Print("MODE_SWAPTYPE ",MarketInfo(Asset,MODE_SWAPTYPE));
Print("PERIOD_M15 ",iVolume(Asset,PERIOD_M15,0));
Print("ACCOUNT_LEVERAGE ",AccountInfoInteger(ACCOUNT_LEVERAGE));

Asset EURUSDmicro
LotFactor 0.1
Factor 10.0
MODE_POINT 1e-05
MODE_TICKVALUE 0.008547227706693335
MODE_LOTSIZE 1000.0
MODE_MARGINREQUIRED 0.0
MODE_SWAPLONG -11.01
MODE_SWAPSHORT 4.69
MODE_SWAPTYPE 1.0
PERIOD_M15 2767
ACCOUNT_LEVERAGE 10
Posted By: jcl

Re: New Zorro version 1.83 - 05/24/18 10:09

This looks ok to me - Required margin was not available, so it returned 0 and got the margin cost from the asset list. Make sure to enter there either the correct margin cost, or the correct leverage.
Posted By: claudio

Re: New Zorro version 1.83 - 05/24/18 15:19

OK, looks alright.
Thanks!
Posted By: claudio

Re: New Zorro version 1.83 - 05/24/18 15:22

OK, looks alright.
Thanks!
Posted By: jcl

Re: New Zorro version 1.83 - 05/30/18 10:00

Small update:

http://opserver.de/down/Zorro_1832.exe

Changes:

-roundto now also supports steps > 1
-distribute() bug fixed
-Bittrex plugin bug fixed
Posted By: jtu

Re: New Zorro version 1.83 - 05/31/18 22:20

Hello,
I installed latest Zorro_1832.exe and tried Test for Z12. There are many Error 055 such as GBP/USD history missing (2018 8192 HistoryGBPUSD_2018.t6).
Could you advise where to download XXXXXX_2018.t6 files?
This zip file http://server.conitec.net/down/history_2016.zip does not have 2018 price data.
Thanks
Posted By: AndrewAMD

Re: New Zorro version 1.83 - 05/31/18 23:13

You would typically get it from your broker. Try that download script.
Posted By: jcl

Re: New Zorro version 1.83 - 06/01/18 12:00

History2016 will soon also be updated, probably today.
Posted By: jrath

Re: New Zorro version 1.83 - 06/03/18 23:48

Been testing 1832 for a few days. Seems ok. Thank you. J
Posted By: jtu

Re: New Zorro version 1.83 - 06/05/18 13:58

Its now working - thank you!
Posted By: tomaslolo

Re: New Zorro version 1.83 - 06/07/18 09:10

When using Deeplearn.c script if you modify BarPeriod and click Train, then you get
Quote:
Error 030: Check lookback, settings, asset order

That doesn´t happen in 1.74.8 version.
Posted By: vince

Re: New Zorro version 1.83 - 06/07/18 18:44

When I backtest Z12 in Zorro 1.83.2 the result is a huge loss (-153.268€ with my test settings). After replacing Z12.fac with the old version from 1.74.4 the backtest is profitable again (+67.426€). So may it be that Z12.fac is not optimized at all but somehow "buggy" in the new version?
The problem in the new Z12.fac version is mainly the XAG/USD:BB:L component I think. When I set this to .000 (as it was in the version from Zorro 1.74.4) I get +98.242€ as backtest result. But the drawdowns are about 3 times as big as with the Z12.fac from the old version, though...
Posted By: Seymour

Re: New Zorro version 1.83 - 06/09/18 12:09

It seems that when using multiple cores for WFO training, Zorro 1832 does not close other instances(cores) automatically as older versions do (i.e. 1748). So when the TESTNOW flag is set, strategy will not be tested after training, since training is not "stopped" (training is in fact stopped where par files seem created properly, but Zorro is stuck). I do not know if anyone else is experiencing the same issue.
Posted By: vince

Re: New Zorro version 1.83 - 06/10/18 21:06

Forget my comment about the Z12.fac in Zorro 1.83.2.
The problem was my AssetsFix.csv. More precisely: The RollLong and RollShort values for XAG/USD were off by a factor of 50! That wonders me because my assets file was created by Zorro after a test with connection to the MT4 bridge. It seems the Assets.csv generator in Zorro doesn't respect that according to http://manual.zorro-project.com/afaq.htm the rollover fee should be per contract! LotAmount is 50 for XAG/USD in my case. If I manually divide RollLong and RollShort by 50 and write that into the AssetsFix.csv then it is fine.
Posted By: 3dgamelight

Re: New Zorro version 1.83 - 06/10/18 22:06

There is a lot of bugs in Zorro.
Posted By: Dalla

Re: New Zorro version 1.83 - 06/11/18 04:12

Originally Posted By: 3dgamelight
There is a lot of bugs in Zorro.

If you have found a lot of bugs, this would be a good place to write them down so that the team can adress them.
Posted By: AndrewAMD

Re: New Zorro version 1.83 - 06/11/18 18:37

Was there a release?

I ask because:
1. This page says, "Zorro version 1.74.8 was released and is available on the download page."
2. This thread is no longer stickied.
Posted By: jcl

Re: New Zorro version 1.83 - 06/12/18 14:50

Yes, it was released recently. As usual, if bugs are reported after release, they will appear in the bug list on the side bar.
Posted By: drack

Re: New Zorro version 1.83 - 06/13/18 04:44

Per http://zorro-project.com/manual/en/bittrex.htm "An asset list AssetsBittrex.csv with about 100 main cryto currencies is included" there is no assetbittrex.csv list in the download. It would be nice to have it since this is my first time using Zorro or an algo trader.

If someone could Give me the format for the AssetsBittrex.csv compared to Bittrex's https://bittrex.com/api/v1.1/public/getcurrencies so I can try and sort this out that would be swell.


[{"Currency":"BTC","CurrencyLong":"Bitcoin","MinConfirmation":2,"TxFee":0.00050000,"IsActive":true,"CoinType":"BITCOIN","BaseAddress":"1N52wHoVR79PMDishab2XmRHsbekCdGquK","Notice":null},
Posted By: MatPed

Re: New Zorro version 1.83 - 06/14/18 08:23

Hi,
Zorro 1832 never finish training, in multicores, standard Workshop6.
No issue with previous or later version.

You can daownload the image from here:
Html:
https://biteu-my.sharepoint.com/:i:/g/personal/matteo_pedroni_bit-eu_com/EU5ihFE08V9GvZPqyFBeqPMBhOaQAiLOXvT6hwI4_govsQ?e=hmJamq



Ciao
Posted By: jcl

Re: New Zorro version 1.83 - 06/14/18 11:38

Thanks, we know the multicore problem, it's on the bug list and currently under investigation. The promised bittrex asset list did not make it into the final release, but you can download it here:

http://opserver.de/down/AssetsBittrex.zip
Posted By: jrath

Re: New Zorro version 1.83 - 06/20/18 09:53

There is a slight bug in the new zorro version where it prints that if covers short trades at Zero. This blows out the P&L to a huge number. Happened a few times now. Not seen before this version. I am running 183.2

Attached picture bug.PNG
Posted By: jcl

Re: New Zorro version 1.83 - 06/21/18 12:16

This happens when the broker API returns a very small nonzero number for the close price. You can contact Support with details, maybe it's a systematic problem with a prticular broker.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/16/18 21:23

Hi jcl.

2 things about 1.83:

1) I see above that it's released, however I didn't receive the normal release announcement email - was it sent?

2) I have downloaded and installed 1.832 (via Zorro_Setup) and the latest 2010 and 2016 History files. All Z Systems Test to the results in the manual, EXCEPT Z3 - it only Tests to 33% AR, not ~90%. It seems something like this happened once before, but I can't find that thread. If the Zorro version and History files are correct per the above, and all the other Systems Test fine, where else should I look to fix Z3 Test?

FYI, here is the Z3.txt file I get:

Code:
WFA Test Z3  (TICKS)

Simulated account   AssetsFix 
Bar period          24 hours (avg 2027 min)
Simulation period   2010-05-24..2018-05-12 (2067 bars)
Test period         2012-07-23..2018-05-12 (1504 bars)
Lookback period     100 bars (20 weeks)
WFO test cycles     8 x 188 bars (38 weeks)
Training cycles     9 x 563 bars (116 weeks)
Montecarlo cycles   200
Simulation mode     Realistic ticks (slippage 5.0 sec)

Gross win/loss      32111$ / -23282$ (+4997p)
Average profit      1522$/year, 127$/month, 5.85$/day
Max drawdown        -5970$ 67.6% (MAE -5970$ 67.6%)
Total down time     86% (TAE 68%)
Max down time       47 weeks from Nov 2014
Max open margin     266$
Max open risk       3036$
Trade volume        3788968$ (653101$/year)
Transaction costs   -1393$ spr, -983$ slp, -2491$ rol
Capital required    4559$

Number of trades    245 (43/year, 1/week, 1/day)
Percent winning     47.3%
Max win/loss        2052$ / -812$
Avg trade profit    36.04$ 20.4p (+156.7p / -102.1p)
Avg trade slippage  -4.01$ -2.3p (+0.5p / -4.8p)
Avg trade bars      6 (+8 / -5)
Max trade bars      37 (7 weeks)
Time in market      108%
Max open trades     4
Max loss streak     11 (uncorrelated 9)

Annual return       33%
Profit factor       1.38 (PRR 1.15)
Sharpe ratio        0.64
Kelly criterion     1.24
R2 coefficient      0.015
Ulcer index         21.2%

Confidence level     AR   DDMax  Capital

 10%                 38%  5244   4037$
 20%                 34%  5905   4513$
 30%                 31%  6523   4957$
 40%                 28%  7102   5373$
 50%                 26%  7681   5789$
 60%                 24%  8524   6395$
 70%                 22%  9260   6925$
 80%                 20%  10472   7796$
 90%                 15%  13502   9975$
 95%                 13%  15586   11474$
100%                  9%  22342   16332$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

NAS100 avg          .001  1.04   27/38     3.0  /\\//
SPX500 avg          .000  0.82   26/32    -7.3  /\..//
US30 avg            .042  2.08   39/34    58.8  ////////
XAG/USD avg         .014  1.52   24/25    45.5  /XX///.

NAS100              .003  1.04   27/38     3.0  /\\//
NAS100:L            .003  1.04   27/38     3.0  /\\//
NAS100:S            .000  ----    0/0      0.0  ........
SPX500              .000  0.82   26/32    -7.3  /\..//
SPX500:L            .000  0.82   26/32    -7.3  /\..//
SPX500:S            .000  ----    0/0      0.0  ........
US30                .084  2.08   39/34    58.8  ////////
US30:L              .084  2.08   39/34    58.8  ////////
US30:S              .000  ----    0/0      0.0  ........
XAG/USD             .014  1.52   24/25    45.5  /XX///.
XAG/USD:L           .007  1.31    8/13    14.6  //./..
XAG/USD:S           .021  1.75   16/12    30.9  //\///.



Thanks.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/18/18 17:41

Hi jcl. Would appreciate your thoughts on the above so I can correctly reconcile Z3 in preparation for implementing 1.83 this weekend.

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 07/19/18 08:53

If you didn't receive the email, check if you opted out of it on the download page. If it doubt, register your email again. I get 96% when I test Z3 with 1.83.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/19/18 11:55

Thanks jcl. No, never opted out. I guess I'll register again, then.

Can you post your Z3.txt? Or post what the differences are so I know where to start looking...

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 07/20/18 13:16

Code:
Gross win/loss      24599$ / -13393$ (+6458p)
Average profit      1932$/year, 161$/month, 7.43$/day
Max drawdown        -2435$ 21.7% (MAE -3559$ 31.8%)
Total down time     72% (TAE 54%)
Max down time       47 weeks from Nov 2014
Max open margin     266$
Max open risk       2954$
Trade volume        2400653$ (413798$/year)
Transaction costs   -943$ spr, -639$ slp, -1803$ rol
Capital required    2017$

Number of trades    157 (28/year, 1/week, 1/day)
Percent winning     53.5%
Max win/loss        2052$ / -812$
Avg trade profit    71.38$ 41.1p (+168.8p / -105.7p)
Avg trade slippage  -4.07$ -2.3p (+0.6p / -5.7p)
Avg trade bars      7 (+8 / -5)
Max trade bars      37 (7 weeks)
Time in market      76%
Max open trades     4
Max loss streak     7 (uncorrelated 7)

Annual return       96%
Profit factor       1.84 (PRR 1.46)
Sharpe ratio        1.00
Kelly criterion     1.05
R2 coefficient      0.744
Ulcer index         6.5%

Posted By: DdlV

Re: New Zorro version 1.83 - 07/20/18 16:40

Thanks jcl. All Assets are giving different results. To account for that, it seems the likely possibilities are different AssetsFix.csv and/or History files. The AssetsFix.csv that was installed by 1.832 is dated Feb 1 and contains:

Code:
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
AUD/USD,0.77311,0.00005,0.24,-0.51,0.0001,0.0871,9,0,1000,0.6,
EUR/CHF,1.07962,0.00004,0.08,-0.26,0.0001,0.09263,75,0,1000,0.8, 
EUR/JPY,123.359,0.006,-0.3,0.09,0.01,0.081066,10,0,1000,0.8, 
EUR/USD,1.13795,0.00005,-0.02,0.01,0.0001,0.0871,10,0,1000,0.6,
GBP/USD,1.51364,0.00003,0.05,-0.12,0.0001,0.0871,14,0,1000,0.6,
GER30,10884,1,-0.1,0,1,0.1,6,0,0.1,0,GER30
NAS100,4185,1,-0.1,0,1,0.0871,2,0,0.1,0,NAS100
NZD/USD,0.67752,0.00007,0.6,-1.32,0.0001,0.088713,7,0,1000,0.8, 
SPX500,2032.4,0.5,-0.5,0,0.1,0.0871,8,0,1,0,
UK100,6869,2,-0.1,0,1,0.13183,6,0,0.1,0,
US30,17520,2,-0.5,0,1,0.0871,6,0,0.1,0,
USD/CAD,1.24466,0.0001,-0.21,0.09,0.0001,0.06998,10,0,1000,0.8,
USD/CHF,0.92203,0.00022,0.15,-0.58,0.0001,0.09446,50,0,1000,0.6,
USD/JPY,117.489,0.004,0.02,-0.04,0.01,0.07413,10,0,1000,0.6,
XAG/USD,17.235,0.046,-0.0009,0,0.01,0.43547,5,0,50,0,
XAU/USD,1260.82,0.47,-0.0124,0,0.01,0.00871,11,0,1,0,



Does it match yours?

Thanks.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/22/18 13:00

Or different Z3 version and/or settings? Mine are Z3.80: H 4 W 2 V 1. Should these also be recorded in the .txt Test results file?

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 07/23/18 14:24

My version is also Z3.80. But if I remember right, you had often the same problem in the past, but I don't know anymore what the reason was or if we ever determined it. Delete your installation and do a fresh download and install, with no additional files - that had helped as far as I recall. Also, get the newest historical data from the download page.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/23/18 18:13

Yes, I believe something perhaps akin to this might have happened once (not often) before. I searched the forum before the first post and couldn't find a record of it...

In any case, I have today in a completely different empty directory done:

1) Install Zorro 1.83.2
2) Test Z3.80 - fails with Error 055 for each year 2010-2018 and "Error 055: no <Asset> 2010..2018 prices" for all 4 Assets (SPX500, NAS100, US30, XAG/USD)
3) Download and extract History_2010.zip
4) Test Z3.80 - reports Error 055: <Asset> history missing ..." for years 2016-2018 for all 4 Assets but Tests to ~55%
5) Download and extract History_2016.zip
6) Test Z3.80 - no Error 055 messages and Tests to ~33%, just as before

What now?

I posted the AssetsFix.csv from my install - does it match yours?

Would posting the log help? It's 253kB...

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 07/26/18 08:50

It matches, but I have been told that the release Z3 indeed had 33% AR. So your result is correct and the manual is wrong. The 33% were not by a different Z3 algorithm, but a random outlier in that particular backtest period.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/26/18 12:16

Thanks jcl. So, should I not install 1.83.2? And install a later 1.83.x instead?

Also, can you post how to remove the outlier from whatever History file it's in?

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 07/27/18 10:06

It's not an outlier in a history file, it's an outlier by a clustering of losing trades.
Posted By: DdlV

Re: New Zorro version 1.83 - 07/27/18 13:03

OK, so what do I have to change to duplicate your results?

Thanks.
Posted By: DdlV

Re: New Zorro version 1.83 - 08/02/18 12:19

Hi jcl. Please advise. Did your result come from a beta after 1.83.2? Which one?

And if the Z3 version was the same (means Z3 was the same?), and History, etc., are the same, which bug fix or other change is it that produces the different result?

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 08/03/18 14:45

I think the Zorro version won't matter, because strategy results are normally not dependent on the version, only on the backtest period. Yes, Z3 is the same, there was no change in the last time.
Posted By: DdlV

Re: New Zorro version 1.83 - 08/03/18 14:59

So, then, why did you get different results in your Test; and what do I have to change / do differently to get the same results?

Thanks.
Posted By: jcl

Re: New Zorro version 1.83 - 08/03/18 22:18

Afraid you must wait for the next release. The backtest of the compiled strategy ends at compile date.
Posted By: DdlV

Re: New Zorro version 1.83 - 08/04/18 04:44

Thanks for clarifying.

In the meantime, while waiting impatiently laugh for the next version, I still don't quite understand about the outlier/cluster, and how just adding more bars eliminates it. When you have a sec, would appreciate a little more detail.

Thanks.
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