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Re: Strategy decline after update to Zorro 1.51
[Re: MIGI]
#463008
11/10/16 14:07
11/10/16 14:07
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Joined: May 2016
Posts: 180 Prague
pcz
Member
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Member
Joined: May 2016
Posts: 180
Prague
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Thank you very much, MIGI. It seems that there is a big difference between the versions indeed. This is a backtest of the strategy for 2014. Same code, same data (FXCM .bar files), same asset configuration, very different results. There is no training involved and it's very simple mean reversion strategy based on one indicator with no parameters. Before I investigate further - any ideas why is this happening?
Test IsIbs EUR/USD
Simulated account AssetsFix
Bar period 1 hour (avg 86 min)
Test period 07.01.2014-31.12.2014 (5963 bars)
Lookback period 80 bars (3 days)
Monte Carlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)
Avg ticks per bar 61.3
Spread 0.5 pips (roll -0.42/0.06)
Contracts per lot 100000.0
Gross win/loss 97530$ / -78307$ (+1922p)
Average profit 19605$/year, 1634$/month, 75$/day
Max drawdown -5875$ 31% (MAE -5875$ 31%)
Total down time 92% (TAE 94%)
Max down time 26 days from Feb 2014
Max open margin 2236$
Max open risk 1400$
Trade volume 173272874$ (176720192$/year)
Transaction costs -6525$ spr, 8668$ slp, -116$ rol
Capital required 12512$
Number of trades 1305 (1331/year, 26/week, 6/day)
Percent winning 65.8%
Max win/loss 1030$ / -1962$
Avg trade profit 15$ 1.5p (+11.4p / -17.6p)
Avg trade slippage 6.64$ 0.7p (+1.4p / -0.7p)
Avg trade bars 3 (+2 / -5)
Max trade bars 35 (35 hours)
Time in market 83%
Max open trades 1
Max loss streak 5 (uncorrelated 7)
Annual return 157%
Profit factor 1.25 (PRR 1.15)
Sharpe ratio 2.48
Kelly criterion 3.92
R2 coefficient 0.873
Ulcer index 9.0%
Test IsIbs EUR/USD
Simulated account AssetsFix
Bar period 1 hour (avg 86 min)
Test period 07.01.2014-31.12.2014 (5963 bars)
Lookback period 80 bars (3 days)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Avg ticks per bar 61.3
Spread 0.5 pips (roll -0.42/0.06)
Contracts per lot 100000.0
Gross win/loss 94183$ / -81382$ (+1280p)
Average profit 13056$/year, 1088$/month, 50$/day
Max drawdown -6644$ 52% (MAE -6639$ 52%)
Total down time 96% (TAE 95%)
Max down time 7 weeks from Oct 2014
Max open margin 2236$
Max open risk 1400$
Trade volume 173272829$ (176720146$/year)
Transaction costs -6525$ spr, 2238$ slp, -116$ rol
Capital required 13858$
Number of trades 1305 (1331/year, 26/week, 6/day)
Percent winning 64.4%
Max win/loss 1041$ / -1984$
Avg trade profit 9.81$ 1.0p (+11.2p / -17.5p)
Avg trade slippage 1.71$ 0.2p (+0.4p / -0.2p)
Avg trade bars 3 (+2 / -5)
Max trade bars 35 (35 hours)
Time in market 83%
Max open trades 1
Max loss streak 8 (uncorrelated 7)
Annual return 94%
Profit factor 1.16 (PRR 1.07)
Sharpe ratio 1.64
Kelly criterion 2.85
R2 coefficient 0.705
Ulcer index 16.4%
Prediction error 122%
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Re: Strategy decline after update to Zorro 1.51
[Re: Sphin]
#463017
11/10/16 17:04
11/10/16 17:04
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Joined: May 2016
Posts: 180 Prague
pcz
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Member
Joined: May 2016
Posts: 180
Prague
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OK, lets go deeper I exported all the prices and indicator values into .csv files and compared them. They are all the same. The trade entry and exit times match exactly and rollover as well. So the only difference are entry and exit prices and the corresponding profit. Example trade from the trade log (the second number is from the newer Zorro version):
Open 2014-01-08 14:00 @ 1.3595 and @ 1.3596
Close 2014-01-08 16:00 @ 1.3601 and @ 1.3600
Profit: -55.72 and -37.66
Exported prices (OHLC):
2014-01-08 13:00, 1.35843, 1.35950, 1.35827, 1.35903
2014-01-08 14:00, 1.35903, 1.35989, 1.35685, 1.35955
2014-01-08 15:00, 1.35955, 1.36093, 1.35907, 1.36023
2014-01-08 16:00, 1.36023, 1.36194, 1.36003, 1.36012
2014-01-08 17:00, 1.36012, 1.36056, 1.35858, 1.35873
Why is there the big difference in profit? And why are entry and exit prices rounded differently in each version? Why is there any rounding at all? Wouldn't it be better for everyone if the logs contained prices with maximum possible precision?
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Re: Strategy decline after update to Zorro 1.51
[Re: pcz]
#463020
11/10/16 17:29
11/10/16 17:29
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Joined: May 2016
Posts: 180 Prague
pcz
Member
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Member
Joined: May 2016
Posts: 180
Prague
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I think it has something to do with slippage. With the new Zorro there's 5 seconds default slippage. It's funny actually, because with increasing slippage the profit always increases:
slippage=0: AR 73%, SR 1.35
slippage=1: AR 89%, SR 1.57
slippage=2: AR 107%, SR 1.80
slippage=3: AR 125%, SR 2.02
slippage=4: AR 141%, SR 2.25
slippage=5: AR 157%, SR 2.48
slippage=6: AR 163%, SR 2.70
...
slippage=2000: AR 2504%, SR 15.78
Wish it worked that way:) But even with slippage=0 the results don't match the results from the old Zorro version so I guess there has to be another difference. Btw. this should be fixed as soon as possible, the backtests with slippage are useless and people can lose money because of it. It's especially unfortunate because of the default settings (5 second slippage) so maybe an email to all current users should be considered.
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Re: Strategy decline after update to Zorro 1.51
[Re: pcz]
#463022
11/10/16 18:15
11/10/16 18:15
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Joined: May 2016
Posts: 180 Prague
pcz
Member
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Member
Joined: May 2016
Posts: 180
Prague
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Another note - maybe it has to do something with the fact that the strategy is mean reverting. When testing different strategy ( Intraday Seasonality) it works more like one would expect.
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Re: Strategy decline after update to Zorro 1.51
[Re: pcz]
#463023
11/10/16 19:49
11/10/16 19:49
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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Referring slippage I just saw the actual last point on the bug list:
> Slippage simulation was not 100% neutral in some cases, but affected by the price slope inside the current bar (fixed in V 1.52.0).
But the 1.52.0 ist not yet available, it's the 1.51.9 as beta on download page.
Last edited by Sphin; 11/10/16 19:58. Reason: 1.52 availability
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Re: Strategy decline after update to Zorro 1.51
[Re: Sphin]
#463033
11/11/16 13:13
11/11/16 13:13
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Joined: May 2016
Posts: 180 Prague
pcz
Member
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Member
Joined: May 2016
Posts: 180
Prague
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Referring slippage I just saw the actual last point on the bug list:
> Slippage simulation was not 100% neutral in some cases, but affected by the price slope inside the current bar (fixed in V 1.52.0).
But the 1.52.0 ist not yet available, it's the 1.51.9 as beta on download page. I've just tried it - the problem is not fixed in the beta version.
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