@Sundance - Well, since the Z12 backtest is based on new optimisation periods each time, there is no way to see if the real trading resembled the simulated trading for the same period. When a new Zorro is released that has been re-optimised, the entire backtest history is re-optimised. I found this odd, given that there is mention in the tutorial of 'Retrain' and 'SelectWFO = -1;' So it is impossible to see if the sideways / drawdown is a true result or if the optimisation fails each time. That's black box trading for you!

Secondly, Acidburn's demo has been running for six months now. It is still in drawdown. I am pretty sure there is no six month period in the back test with a drawdown. The Zorro people tell me that it is probably because the demo is started and stopped so much and there is some learning that is lost. This indicates to me that it is too sensitive to this 'learning' and that makes me nervous.

I know I am not trading the Zs as a totally non-intervention robot, but you are and and the demo is. Yet we are all showing nothing impressive. And unfortunately I totally suck at creating my own stuff.

I was up $1,400 last week. Now I am up $18. I know it has ups and downs, but my margin settings are at 20 to try to reduce these wild swings (at one stage with default settings I was up $2,400 before losing $1,500 in a few days.)

I am guessing the good guys behind the zorro project must have some accounts set up to track the progress of the Z strategies from the first installment of zorro. It wont be a bad idea for them to link it to myfxbook and have a thread dedicated to observing this progress. Seeing as we cant just run a "test" on the Z strategies and see how they would have performed giving the period they have been live. Just a suggestion. Live profitable systems are always an encouragement to the community.

Thanks for your posts guys. When I look at the equity chart of Z12 there you can see a flat area from ~October to January/February in 2011 and 2012. So I still have hope that this is the third time we see such a behavior. My plan is to let Z12 run till End of this year without intervention. I that time I will change to newer versions of Zorro. Even when there is a drawdown it surely should must made some profit in 12 month. Changing versions won't kill a ~300% profit to 0%.

Time will tell.

The Z5 strategy performed as it should. Even when I don't like this grid trading...

Definitely Z12 is not performing well. But, if we normalize by the required capital as reported by the backtest, even that is an understatement. With current 100/20 margin/risk setting, the backtest reports 7921 as required. And Z12 is currently (50000-46427) = 3573 underwater. That translates to a 45% drawdown which is totally not acceptable in my book.

I'm close to rule some or all of the Z's unprofitable and terminate the demo. If I decide to be selective, Z12 will obviously be the first one to go.



The truth is that recently strategies in the demo have had long (read: multi-week) periods of uninterrupted running. Even when they were restarted in most cases the restarts took place on weekend, i.e. when the market is closed. As the phantom trading has been turned off since the beginning (and only that component should be somewhat sensitive to restarts) I'm just not buying the explanation that restarts could have been the reason for the bad performance. And I knew that restarts would come into spotlight sooner or later, but I really don't believe one bit that running uninterrupted for months would have changed anything. Not to mention that with such approach I would probably still be running 1.14 or so...

Just took a look at your demos. I have to say something does not add up. The disparity between Z1, Z2 and Z12 is too great. But then again we need atleast a year of forward tests to make decisions. So lets wait it out a bit.

You're right. In the beginning I could add up the perfomance of Z1 & Z2 and come close to Z12 numbers. Not anymore. I don't know why.



That's what I thought. But, with 45% drawdown after 6 months, I don't anymore. If it was real money I would already stopped trading at about 20% drawdown and declared the strategy unprofitable and dangerous. Of course, we all have different risk appetites, but 45% drawdown is just not acceptable under no circumstances. It becomes clearer when you understand that in the next 6 months we'd need Z12 to have 80% profit just to break even (get back to the starting capital). I'm afraid Z12 is now beyond the point of no return.

Not withstanding anything that has been said, the Capital Required is a drawdown that should be expected at some point, statistically speaking. So if you only want to risk a 20% drawdown, then the Capital Required should be 20% of your account.

But I tend to agree that Z12 is not looking good.

I really won't believe that the strategies are loosers. If I won't see a profit within the next 3/4 month then there must be something wrong. This would mean I have a new flat area of half a year which I can't see in the backtest of Z12 anywhere...

Those flat periods you mentioned where not there on the version 1.16 Z12. There were flat periods but at other times. It happens, but this one is long.

I am relieved that I am not the only one seeing all this (misery likes company ) But I don't think I can turn on my live real money Z12 (or Z3) until something positive is demonstrated. That'll take many months from this point. Long live Z5.

Hm, you're right. I had totally wrong perception of that value this whole time. But if 'Capital' is not what I thought it was, then of course my whole calculation makes no sense.

I'm afraid I get bitten way too often with terminology and concepts behind Z strategies money management. Partly because I'm afraid of it, partly because it *is* complex stuff. And mostly because I still haven't done my homework.

Let me try again then. With 100/20 settings, if the capital, actually, the expected max drawdown is around $8000, and if I tend not to tolerate drawdown bigger than 20%, that would mean I need to start with $8000 * (100% / 20%) = $40000. Am I right so far? That's not far from starting 50000, then.

So I could actually modify it a little bit and say that I started with $50000 not because FXCM didn't give me another option, but because I decided I would not like more than 15.8% drawdown.

If we agree with the above, Z12 is only 7.5% in drawdown, just as myfxbook reports. That's not bad. Now I only have trouble calculating what was my target profit? Is it 324% annualy as backtest reports? I doubt it. Or is it now 324 * (50000/7921) = 51%? I must ask because I need to compare the current drawdown with expected return to get to any meaningful conclusion about the strategy performance.