Z3 Full Circle over 1.5 years - No Proof of Concept so far... :(

I have been running Z's for a while. As someone new to automated trading, I figured the Z's would serve as Proof of Concept. If those definitely more experienced and probably smarter than me couldn't put together winning systems, what chance had I?

The SNB action messed up both Z12 and obviously Z5. Z3 seems to be the only one not (directly) affected, and therefore the only one surviving to fulfill the original PoC objective.

My Z3 has been running since 2014-04. It's been updated with the new versions as they came out. Z3's high point was 2014-11 - over 100% return - things were looking really good! I've not removed any winnings, instead reinvesting by raising Margin weekly per the square root rule when there were winnings (and leaving Margin unchanged when not). Since 2014-11 Z3 has been losing and is now in the red (relative to original CR). In short, over ~1.5 years Z3 is essentially flat. Disappointing to say the least, and putting PoC seriously in doubt...

Is this experience consistent with everyone else's? Or is something wrong with my Z3?

Thanks.

I've said it before, I believe broker is key. Reliable execution, good spreads. During the SNB carnage my broker got me out of both Z12 and Z3 relatively unscathed compared to the experience of others, and soon after refunded me the difference between their inital executed prices and actual executed prices, which were in my favour. You can still see the hit in myfxbook account around Jan 15, but my account survived and has kept making money. As a note, I believe I am very conservative with my capital. Consistently have buffer in excess of Z strategies recommendations.


http://www.myfxbook.com/members/Thirstywolf/zorro/1202412


Thirsty

Hi Thirsty,

is this a Z12 or Z3 account of yours? Mine Z12 looks very different from your chart...

Thanks Thirstywolf. You may have said before but I can't find it - which broker(s) are you using?

Thanks.

This account is all my z strategies. initially Z12 and Z3. Then started trading Z5 right before it blew up, then recently Z7. I am currently margined at $200 for Z12, $150 for Z3 and $100 for Z7. This is a fairly typical representation of my weighting if you substitute Z5 for Z7 previously as well.

I use IC Markets who are an Australian broker, with their True ECN account. I spent about 2 weeks reading through reviews and comparing spreads/fees/conditions etc before choosing this broker. In the next Zorro update I will move to a broker where I can use an API (likely IB), as I have had continually issues with orphaned trades using the MT4 bridge.

Cheers

Thirsty

Thanks Thirstywolf! I will investigate IC Markets. For the return you're getting (presumably based on lower costs & better execution) I could put up with an orphaned trade now & then... Especially since I occasionally get them anyway with the FXCM API, & would expect that problem will still exist with another API & brokers...

Thanks.

+1 for IC Markets from me too. Execution consistently good in my experience, but I can't comment on how the Z's have performed since I'm not trading them. I've also had a positive experience with Global Prime, another Aussie broker.

Hi jcl. My Z3 just closed another trade for a loss. Would appreciate your comments. Specifically has your Z3 on FXCM been on a losing streak since 2014-11?

Thanks.

Was the trade a short position on the silver asset? Non Farm Payrolls killed that trade.

Thanks RTG. Actually, the most recent losing trade was a gold short.

But I'm more interested in the long-term. Over ~1.5 years of running Z3, the account is now ~-30% of original CR. I'm looking for confirmation that this is consistent with others' (esp. jcl's) experience, and Z3 is "OK" to keep running as is.

If not, I have a problem to resolve (somehow)...

Thanks.

Hi jcl. With last night's booked loss and the current losing trade, my Equity is now 35-40% of original CR.

I don't see anything close to a -65% drawdown much less a +100% to -60% swing in any Z3 Equity curve, which is what my Z3 has done since 2014-11.

Is your Z3 behaving similarly? Or is mine broken somehow?

Thanks.

No, our Z3s got a similar loss - this happened before and I'm afraid will also happen in the future. As you know, max drawdown is about 100% of the needed capital, otherwise you'd obviously not need it. We're observing all Z systems regularly if they are still inside their parameters.

No one likes drawdowns - I can certainly understand that. Do not trade anything you have a bad feeling with.

Thanks jcl. Yes, I understand all the general qualifications. But that's not the same as specific confirmation that performance is in line with others' experiences and not "gone off the rails" due to some other problem. Thanks for that confirmation.

I just hope Z3 will quickly stop feeding my ulcers - they're bad enough already...

FYI, I actually consider this as one of the benefits of the Z's in contrast to my own strategies which exist in a vacuum. With the Z's, it's possible to compare and (hopefully) reduce the possibility of failure due to other issues...

Thanks.

by the way, would it be a good idea to reinvest profits (increase the margin of the Z's) when in a Drawdown instead of reinvesting after an streak of good results?

I think that would be similar to a Martingale system, and increase the risk due to the slight serial correlation of trade returns. Maybe it could make sense to reinvest when the system just came out of a drawdown.