Hello
dt-e8 looks great! Thank you dusktrader.
I'd like to share a test result, and find out where I've gone wrong.
Pass1
Pass1 of the test stopped with the screen result (attached) "Screenshot-Zorro_pass1.png", and the following message:
Time 00:05:35
dt-e8 compiling.................. Assets..
Error 047: EURAUD 7 days gap at Fri 13.06.2008....
Walk-Forward Test: dt-e8 portfolio 2008..2014
Read dt-e8.fac dt-e8_1.par
>>>>> Loss streak breached: USDJPY 10
Profit 1352$ MI 29$ DD 256$ Capital 396$
Trades 141 Win 42% Avg +25.6p Bars 329
CAGR 25% PF 1.90 SR 1.11 UI 10% R2 0.89
Time 00:02:05
I then edited the dt-ea line:
#define ASSETLOOP while(asset(loop("NZDJPY","USDJPY","EURAUD","EURCAD","AUDUSD","AUDCHF","AUDJPY"))) //trade group
I removed the asset entry, "USDJPY", and re-ran the test.
Pass2
Again, the screenshot file "Screenshot-Zorro_pass2.png" is attached, and Zorro said:
dt-e8 compiling..................
Error 047: EURAUD 7 days gap at Fri 13.06.2008 Assets.....
Walk-Forward Test: dt-e8 portfolio 2008..2014
Read dt-e8.fac dt-e8_1.par dt-e8_2.par dt-e8_3.par dt-e8_4.par
>>>>> Loss streak breached: AUDUSD 22
Profit 4668$ MI 101$ DD 681$ Capital 472$
Trades 811 Win 38% Avg +14.4p Bars 357
CAGR 57% PF 1.64 SR 1.52 UI 6% R2 0.37
Time 00:04:56
So again I edited dt-e8, removing "AUDUSD" from the same line mentioned above, and re-ran the test.
Pass3
As before, the screenshot file "Screenshot-Zorro_pass3.png" is attached, and this time Zorro said:
dt-e8 compiling...................
Error 047: EURAUD 7 days gap at Fri 13.06.2008 Assets....
Walk-Forward Test: dt-e8 portfolio 2008..2014
Read dt-e8.fac dt-e8_1.par dt-e8_2.par dt-e8_3.par dt-e8_4.par
>>>>> Loss streak breached: NZDJPY 16
Profit 1444$ MI 31$ DD 444$ Capital 277$
Trades 289 Win 44% Avg +12.9p Bars 449
CAGR 26% PF 1.62 SR 0.91 UI 11% R2 0.81
Time 00:01:53
I re-edited dt-e8, removing "NZDJPY" from the same line, and re-ran the test.
Pass4
Pass4 ran to completion, and Zorro reported:
dt-e8 compiling..................
Error 047: EURAUD 7 days gap at Fri 13.06.2008 Assets...
Walk-Forward Test: dt-e8 portfolio 2008..2014
Read dt-e8.fac dt-e8_1.par dt-e8_2.par dt-e8_3.par dt-e8_4.par
Monte Carlo Analysis... Median AR 128%
Profit 1486$ MI 32$ DD 297$ Capital 171$
Trades 503 Win 39% Avg +8.6p Bars 233
CAGR 27% PF 1.52 SR 1.17 UI 13% R2 0.42
Time 00:05:42
I emailed the Zorro support team, and they said the messages related to "...a series() call at a wrong place."
Unfortunately, I'm quite unable to work out what this may mean! However, I did also wonder if it was something I'd done wrong rather than a series() call fault, since (i) nobody else seems to have this issue, and (ii) it goes away if I don't use USDJPY, AUDUSD, and NZDJPY. Additionally, I'm assuming the EURAUD data hole is irrelevant to this result.
Here is the full result of pass4
Walk-Forward Test dt-e8 portfolio - performance report
Bar period 15 min
Simulation period 10.01.2008-12.02.2014
Test period 15.04.2010-12.02.2014
Lookback time 600 bars (6 days)
WFO test cycles 4 x 22679 bars (48 weeks)
Training cycles 5 x 52917 bars (114 weeks)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Capital invested 1000$
Gross win/loss 4337$ / -2850$ (+4329p)
Average profit 388$/year, 32$/month, 1.49$/day
Max drawdown -297$ 20% (MAE -398$ 27%)
Total down time 83% (TAE 96%)
Max down time 46 weeks from Jan 2013
Largest margin 127$
Trade volume 913064$ (238345$/year)
Transaction costs -240$ spr, 2.92$ slp, 0.00$ rol
Capital required 171$
Number of trades 503 (132/year, 3/week, 1/day)
Percent winning 39%
Max win/loss 639$ / -105$
Avg trade profit 2.96$ 8.6p (+64.1p / -27.1p)
Avg trade slippage 0.01$ 0.0p (+0.3p / -0.2p)
Avg trade bars 233 (+345 / -161)
Max trade bars 1999 (4 weeks)
Time in market 129%
Max open trades 4
Max loss streak 12 (uncorrelated 13)
Annual growth rate 27%
Profit factor 1.52 (PRR 1.34)
Sharpe ratio 1.17
Kelly criterion 3.51
R2 coefficient 0.421
Ulcer index 12.9%
Prediction error 32%
Cycle performance 1.39 1.35 1.37 1.30 1.46 1.51 1.62 1.40
Confidence level AR DDMax Capital
10% 146% 157$ 265$
20% 140% 171$ 278$
30% 136% 179$ 285$
40% 131% 192$ 296$
50% 128% 200$ 304$
60% 123% 212$ 314$
70% 118% 230$ 330$
80% 110% 254$ 352$
90% 106% 271$ 366$
95% 99% 299$ 391$
100% 80% 406$ 485$
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
AUDCHF avg .028 1.14 2539/5842 298.2 XXXX
AUDJPY avg .052 1.26 1723/2925 700.9 X///
EURAUD avg .149 2.64 184/337 805.8 //\\
EURCAD avg .002 0.96 972/2026 -9.9 /\\\
AUDCHF .026 1.14 2539/5842 298.2 XXXX
AUDCHF:L .021 1.13 1732/3826 155.4 \/X\
AUDCHF:S .036 1.16 807/2016 142.8 /XX/
AUDJPY .064 1.26 1723/2925 700.9 X///
AUDJPY:L .105 1.26 1723/2925 700.9 X///
AUDJPY:S .000 ---- 0/0 0.0 ....
EURAUD .129 2.64 184/337 805.8 //\\
EURAUD:L .034 1.26 97/209 19.1 ./\\
EURAUD:S .264 2.87 87/128 786.7 //\\
EURCAD .000 0.96 972/2026 -9.9 /\\\
EURCAD:L .005 0.96 972/2026 -9.9 /\\\
EURCAD:S .000 ---- 0/0 0.0 ....
Can anyone shed any light on this "series() call" message?
Thank you.
Edit: Sorry. Should have captioned the 3 screenshots, but they do appear in the correct order, pass1, pass2, pass3.
Another edit: Should have said, Zorro v. 1.28.
