RollShort / RollLong Issue?

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RollShort / RollLong Issue? #488090 01/11/24 10:53 01/11/24 10:53
Joined: Mar 2022 Posts: 17 Frankfurt am Main B BrainSailor OP Newbie
BrainSailor OP Newbie B Joined: Mar 2022 Posts: 17 Frankfurt am Main	Hi, I have a question maybe an issue with Zorro 2.56. Oanda is sending yearly Rollover Fees. So my idea is to convert them to daily fees. In theory it should be very easy with a line like this: RollShort = RollShort / 365. When I have that in my strategy no rollover costs are calculated at all. Transaction costs -0.60$ spr, 0.0033$ slp, -0.0000000$ rol I did try the same with the Alice 1a script and I have the same behavior. So I thought it is a kind of rounding issue. I set the Rollover Cost in the Assetlist to some insane value and still no calculation of the rollover cost. What bothers me really is the following line: RollShort = RollShort * 1.; This is working as expected. I am lost. Any help is appreciated. This is the code where I do my testing with. I am using EUR/USD for the tests and the latest Oanda instrument values (downloaded via MT5 bridge) // Trend Trading /////////////////// #include <profile.c> function run() { Verbose = 3; set(LOGFILE); // log all trades StartDate = 2013; EndDate = 2023; // fixed simulation period BarPeriod = 15; RollShort = RollShort / 365.; RollLong = RollLong / 365.; vars Prices = series(price()); vars Trends = series(Laguerre(Prices,0.05)); Stop = 10*ATR(100); MaxLong = MaxShort = -1; if(valley(Trends)) enterLong(); else if(peak(Trends)) enterShort(); }

Re: RollShort / RollLong Issue? [Re: BrainSailor] #488093
01/12/24 06:53 01/12/24 06:53

Joined: Sep 2017
Posts: 82

TipmyPip

Junior Member

TipmyPip

Junior Member

Joined: Sep 2017
Posts: 82

Let's debug your code,

We can first print the RollOver values to see what are the values if it is daily or yearly?

Code

// Trend Trading ///////////////////
#include <profile.c>

function run()
{
    Verbose = 3;
    set(LOGFILE); // log all trades

    StartDate = 2013;
    EndDate = 2023; // fixed simulation period

    BarPeriod = 15;

    // Debug: Print original rollover values
    printf("\nOriginal RollShort: %f, RollLong: %f", RollShort, RollLong);

    // Adjusting rollover values
    RollShort = RollShort / 365.;
    RollLong = RollLong / 365.;

    // Debug: Print adjusted rollover values
    printf("\nAdjusted RollShort: %f, RollLong: %f", RollShort, RollLong);

    vars Prices = series(price());
    vars Trends = series(Laguerre(Prices,0.05));

    Stop = 10*ATR(100);
    MaxLong = MaxShort = -1;

    if(valley(Trends))
        enterLong();
    else if(peak(Trends))
        enterShort();
}

ZorroTraderGPT - https://bit.ly/3Gbsm4S

Re: RollShort / RollLong Issue? [Re: BrainSailor] #488094 01/12/24 11:25 01/12/24 11:25
Joined: Feb 2017 Posts: 1,725 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,725 Chicago	run() is called repeatedly. RollLong and RollShort are global values associated with your asset. The more you divide it by 365, the more it approaches zero. So your script basically set them to a negligible value. Consider using a fixed value. You can configure it in your asset list and leave it alone in your script. www.vitaltrades.com - andrew@vitaltrades.com

Re: RollShort / RollLong Issue? [Re: BrainSailor] #488095 01/12/24 11:55 01/12/24 11:55
Joined: Mar 2022 Posts: 17 Frankfurt am Main B BrainSailor OP Newbie
BrainSailor OP Newbie B Joined: Mar 2022 Posts: 17 Frankfurt am Main	Thanks AndrewAMD! You are absolutely right! I just did not think about the fact that the statements are called repeatedly! In my original strategy I have a asset loop like: while(asset(loop(Assets))) I thought the parameters are initialized again after each asset switch. My mistake. I did not want to modify the assetlist as this can be forgotten when you are updating the list. A simple if (is(FIRSTRUN)) is doing the job now. Thanks again Andrew!

Re: RollShort / RollLong Issue? [Re: AndrewAMD] #488096
01/12/24 12:48 01/12/24 12:48

Joined: Sep 2017
Posts: 82

TipmyPip

Junior Member

TipmyPip

Junior Member

Joined: Sep 2017
Posts: 82

Thank you Andrew, for paying attention to details :

Code

// Trend Trading ///////////////////
#include <profile.c>

function run()
{
    Verbose = 3;
    set(LOGFILE); // log all trades

    StartDate = 2013;
    EndDate = 2023; // fixed simulation period

    BarPeriod = 15;

    if(is(INITRUN)) {
        // Debug: Print original rollover values
        printf("\n[INIT] Original RollShort: %f, RollLong: %f", RollShort, RollLong);

        // Adjusting rollover values
        RollShort = RollShort / 365.;
        RollLong = RollLong / 365.;

        // Debug: Print adjusted rollover values
        printf("\n[INIT] Adjusted RollShort: %f, RollLong: %f", RollShort, RollLong);
    }

    vars Prices = series(price());
    vars Trends = series(Laguerre(Prices,0.05));

    Stop = 10*ATR(100);
    MaxLong = MaxShort = -1;

    if(valley(Trends))
        enterLong();
    else if(peak(Trends))
        enterShort();
}

ZorroTraderGPT - https://bit.ly/3Gbsm4S

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