I thought it would be interesting to start a thread for all the folks who are testing Zorro, either in demos or live trading. This is just a thread for us to compare notes & ideas. In all of the other threads we are asking technical questions for jcl, maybe we can start learning with & from each other too. It would just be nice to hear how things are going from everyone else.


I started a demo on May 26th running Z2nfa, on FXCM. I set the Margin at 75 and the Risk at 24. It began making trades within about a day. I've seen it trading the EUR/USD, the USD/JPY, and the USD/CHF. It's been ahead the entire time, but seems to make most of the losses with the EUR/USD. It has been hovering around $50,040 to $50055 for the last few days. If it would quit loosing on the EUR/USD it would have a lot more profit. It made a lot on the USD/CHF yesterday.

I'm wondering when Zorro will buy the USD/GBP. If it begins making better trades with the EUR/USD I think it will begin making some good profits.

So, how are your tests going? Let's all post here and share what we are seeing, and whatever we are wondering or thinking about the progress.
Have any of you been programming scripts? How has that been going? Have you managed to get them to test as well, or better than Z2? What info did you read to help decide which strategies to try?

hi GlennR,

I'm testing Z2 on a spreadbetting platform using the MT4 plugin. It has been running since 5th June, but has not taken a trade yet.

It may be issues due to the indices and commodities being provides as futures rather than CFDs and I had to disable them, or it may be due to gaps in the history data.

I wish I could test more than one broker at a time. It would be nice when testing with the spreadbetting company to be able to compare the bet sizes and lot sizes, differences in execution and data feeds between the brokers, differences in profit calculation methods, etc. But at the minute I'd settle for simply being able to see if it should be taking trades or not.

Good idea opening topic like this. Had something similar in mind...

Anyway, I've been trading Z1fx & Z2fx together on the same UK demo account for a few weeks. Started with demo $50000, been down to ca 49000 and up to ca 51500. Sometimes Z1fx leads, but Z2fx quickly loses what Z1fx earned. Other times it's vice versa. The equity is $50770 atm.

I used to up the margin & risk @ 100, 50 respectively, but got tired of moving the sliders everytime I restart Zorro, so nowadays I let it do what it wants (i.e. use the default values). It's not like I understand what those sliders do, anyway.

Anyway, Z strategies are nice and fluffy, you start them and they do their thing. But, as they're trading on the 4h timeframe, I'd say that at least a year of trading would be needed to make any useful judgements. Because running 2 strategies at the same time quite complicates things, I will stop trading Z2fx, and continue only with Z1fx. Effective this weekend. I will also commit much more time to development of my own strategies from now on. I wanted to do that earlier, but didn't have enough time, I hope it's goin' to change next few months. Famous last words.

Hi acidburn,

How do you trade them together on the same account? I get a broker interface error.

I ran the backtests on various levels of risk and margin.

I understand margin is the average margin committed to a trade. Risk factor is kind of soft limit on how far that can be multiplied for an individual trade, but it can exceed that to allow a trade take place, e.g if the min lot size is too big for the calculated lot size.

In backtesting, risk tends not be as influential as margin in Z2 at least, and for the same margin there is a sweet range for risk (10-30 seems to it for my proposed level of real investment) Beyond 30 the parameters appear to level out, below 10 overall performance seems to be poorer.

The margin is the one to adjust first until you get parameters for capital required close to what you are prepared to lose for real, then adjust risk to see if it improves the output.

I'm not sure how useful any of that is, it may be another version of overfitting, either way I'd decide the parameters and let it off, adjusting the sliders afterwards doesn't sound like it would be helpful, especially not if you are evaluating.

At last a trade was triggered on Z2 USD/JPY long 6 at 97.40 Risk 144. Not a bad looking trade on a 4hr chart to my unscientific trader eye. my settings are 50 10 0 - giving an sort of max risk per trade of €500. I think the 144 means amount risked on this trade in €.

The stop loss in metatrader is way more than that, but from another thread, I think Zorro manages its own stops.

As it is spread betting the 6 lots translates into 0.6 (6 by 10c per pip bets) spreadbetting is way simpler than calculating lot sizes as there is no currency conversion all bets are in your deposit currency, if any pair,index or commodity moves 100 pips in your favour you simply multiply the pips won by your bet per pip.

I am still wondering if Z1 and Z2 can manage this difference unmodified.

You can't on the same machine. You need 2 different machines to trade 2 strategies at the same time.



Thank you for sharing your insight. Though, I will probably stay confused for a while. And I'm not complaining, it can't be any different when an aspiring quant with a lot to learn meets black box strategy. Having backtests and some documentation helps, but I still need to spend some time with Zorro before I can even properly formulate questions to ask. One promising thing about all this is that jcl is such a nice guy, so I'm confident it's worth investing my time in Zorro.

One thing, I've seen elsewhere on the forum that max risk per trade could be approximated by risk * margin formula. But, that confuses me very much, and here's why: say you invest $5000 capital (should be enough for both Z1 & Z2) and run the strategy with default 50/10. That would mean you risk up to $500 or 10% of the capital per trade, right? But, what if you run the same default parameters on the demo account, which btw can be opened only with $50000 of starting capital. Now default parameters and max risk per trade calculated by that formula mean something very different. You're now risking only 1% of the capital. By that measure, earning 1.6% after a month or so, as I've managed to do, is quite nice. But I wonder how much would I have earned if I matched the risk of the $5k account? But, alas, I can't move the slider to that position. It stops at 50, so max risk per trade becomes $2500 which is only 5% of the capital. And yes, I started moving both sliders to the right, after I learned about the formula, but I forgot to do it so many times, that many trades ended open with default 50/10. Argh.. So, as a conclusion either the formula is wrong, or the sliders are not adequate or I got something wrong. Currently, I'm heavily betting on the third option.

Anyway, my Z2fx has also opened long 2@97.42 USD/JPY. See, only 2k, with 50k in account, such a shame. Too bad the trade won't stay alive much longer, as per my plan to stop trading Z2.

I'm skipping your commentary about SB, because I know nothing about that, sorry.

Yes jcl is unbelievably helpful.



OK - I have no insight into the black box either, so I'm only surmising from my reading of the manual and the posts on here. Black boxes make me uncomfortable, but not as much as the feeling that all the old indicators I've been using unsuccessfully are unproven rubbish and I need to get smart on a whole load of maths on signal processing and statistics.

My understanding of the strategies underlying Z1 & Z2 are that %equity is only important in the context of avoiding margin calls, i.e. minimizing risk, protecting capital at all costs, minimizing drawdowns etc.

The backtesting module is designed around maximising return from the minimum capital expended. Therefore, the systems try to analyse and "learn" where to allocate precious margin to the assets and algos that give the most robust return, i.e. steady returns with minmal drawdowns. Jcl has proven countless times how reinvesting %equity leads inevitably to blowing out an account, so I'm no longer interested in compounding %s of my equity to infinity. I'm now happy to try to eak out nice steady returns with static margin at risk.

This is where the risk margin comes in, they are sliders allowing you to more or less set the max drawdown you can tolerate while operating the strategies over a long period. The max drawdown plus a calcualtion of how much margin you need to run up 30 open positions fall out of the margin per trade you are setting here.

I am happy to run this at 50 10 while testing. Backtesting at these max margin levels per trade, means I would need € 2,658.00 to deliver a return approximating € 319.00 per month over time. I would be happy to run this live at those levels and am uninterested in the demo account equity.

I am however extremely interested to see if it performs as per the backtests and whether the strategies can somewhat replicate the backtested performance. What the real returns, profit factors, sharpe ratios, ulcer index, max drawdown are in demo trading.

If you are interested in finding out a different question, how would the z strategies perform with 50,000, then set the sliders to the right, but remember as margin at risk increases, so will the max drawdown.

The reason the sliders stop is that jcl & co, not unfairly, would like you to buy the zorro s product for more serious trading.

Also my understanding is that the sliders are set and forget unless you wish to reduce them. Increasing them is reinvesting profit, and not advised. Remember they are overall margin at risk per trade settings not risk per individual trades. Even if the sliders allowed a 50,000 per trade margin, the robot would not use this on each trade as it uses a optimised margin per algo asset model.

I hope for 2 things:

1) I actually understand correctly what I've been reading - otherwise jcl might dive in and set us all straight
2) I've made things clearer rather than muddier.

I think you guys are a little ahead of me, but we are essentially in the same boat.

I think we are all a bit unsure about how Zorro is handling the $50K of demo capital. I have the feeling that Zorro might be configured to ignore the $43,000 extra, because it is opening such relatively small trades.

I've looked at the performance graphs and it looks like Z2 is supposed to begin slowly, then make progress more rapidly. I guess it has to study some before it feels comfortable making bigger trades and trading more pairs.

I'm concerned that it will need more time than the 30 day limit that I have with my FXCM demo account. I don't know how to extend the account. Maybe there is a way Zorro can continue with a new account #.

It will be exciting to watch it work with a lot of different pairs at the same time.

I wonder if Z1 & Z2 are only able to operate in the 4 hour time frame? I haven't seen it mentioned in the manual. Btw, the manual seems "huge" as a beginner. I know it will all become more familiar as we work our way through it. I haven't printed it yet, but I think that will help me to work through it section by section.

I am surprised there are not more people using Zorro. I think a lot of folks who have been trading for a while have seen a lot of promises come and go, and most are scams.

Glenn,

The FXCM demo doesn't expire, so long as you trade every few weeks. At least hasn't over the last year.

4hr is hard coded into the scripts so adjusting the bar slider does nothing, I think.

I'd like to be able to back test different time periods, but they seem to be hard coded too.

I'm also naturally suspicious of something new, but Zorro ticks all the boxes when it comes the addressing the limitations of MT4, so it is worth a decent test.

swingtraderkk,

Good to hear FXCM demo doesn't expire.


I wonder where the other Zorro testers are? I can't believe there are only 3 of us. Hopefully it's because the results are so good that they're afraid to share.

I know, the lack of people posting along the lines of ....

"OK been testing Z1 & Z2 successfully for x months and am now taking the plunge with live trading, will keep you posted ..."

makes me wary of putting on real money.

The other issue may be that it would take a long time of forward testing to be confident enough to put real money down. the last year has not been a great time to test any system. Crazy stuff happening on the indices with the distortions of QEs. Now I think the opposite, if Z1 & Z2 can handle these volatile times then they are robust, but you need to stick with the system to see, many would lose interest on big drawdowns. I think from another post, Z2 did not have a good year in 2012, but ended up in profit, how many would have stuck with it through a year of testing?


It also takes the commitment of running zorro 24/7, not something many retail traders have the infrstructure, skills or discipline to do.

I'm testing since last Wed Z2 on a spreadbetting platform, only one trade so far, a long USDJPY that has profit locked in.

I'll try to keep updating, let's see how my discipline holds