Max Lots

Hello,

While backtesting a strategy I am getting the error message 010 apparently cause I exceeded the lot size, I don't think it changes much for my results. However, I still would like to know if anyone has encountered a workaround for this.

What are you trying to trade, a VIX CFD? Your lot sizing is absurdly high. Double-check your asset list configuration.

VIX futures, however, this is backtesting using the VIX values, the lot size is correct from the beginning but compounds to that amount.

go trade your golden goose then

Wish it was all that

I guess my next step would be to compare trading the futures contract to this very nice and "mean reverting" calculation, do you know how to handle futures on Zorro? I somehow feel like it is different from options.

It's actually simpler to trade futures than options. Either:
1) trade the futures contract's symbol directly or
2) use the contracts interface.

These two approaches will result in two different asset list configurations.

So for example, you would trade just /VX and create an assetlist based on it?

Basically:

1) If the continuous contract is acceptable for backtesting, just use t6 files with a single asset list line. (No contract interface needed).
2) If I must backtest on a contract-by-contract basis, either use t8 (CONTRACT) files or one t6 of the underlying VIX index and live-load t8 datasets, all using a single asset list line. (Use the contract interface.)
3) If I want to trade live, I would need the contract interface regardless to load contract info. This would require a single asset list line.

I do not recommend having an asset list entry for every futures contract, it's not as good as using the contract interface. But if you did want to do this, just use t6 for each contract.