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Reasonable values for entry parameters #440540
04/27/14 17:53
04/27/14 17:53
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
User
GPEngine  Offline OP
User
G

Joined: Sep 2013
Posts: 504
California
I am curious about reasonable values for entry parameters. Repeating some items from the manual:
  • Entry has a special meaning when negative. That means use entry limit rather than entry stop.
  • Stop, TakeProfit, Trail, and Entry. If the value is below half the asset price, Zorro assumes that it's a distance, otherwise it's a price.
  • All the parameters have special meaning when zero. That means the parameter should have no effect.
What about beyond that? For example,
  • What would it mean for Stop to be negative?
  • What would it mean for Trail to be negative?
  • What would it mean for TrailLock to be > 100 ?
  • What would it mean for TrailLock to be negative ?
I am trying to establish reasonable ranges for these parameters because I am trying to automatically optimize them (offline).

Thanks!

Re: Reasonable values for entry parameters [Re: GPEngine] #440544
04/27/14 18:43
04/27/14 18:43
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
User
GPEngine  Offline OP
User
G

Joined: Sep 2013
Posts: 504
California
I have a suggestion! laugh

These two pages have a great deal of miscellaneous remarks, many of which are repeated.
http://zorro-trader.com/manual/en/buylong.htm
http://zorro-trader.com/manual/en/stop.htm
Please combine the two pages and summarize the behavior of this complex (7-dimensional!) system with a table. This would really help me fully understand how these parameters work in combination. (Perhaps others are in the same boat?) I can get you started. Below I've tabulated the rules extracted from the remarks. I left some ??? were I am confused.

Also, there is at least one factual error. "When parameters are set to 0 or omitted in the parameter list, global trade parameters are used". That is not true of TrailSlope, which has default=100. And StopFactor is listed on the Parameters page but not on the enterLong page.

It would really help me if you cleaned it up. Please. I will be thankful.

Entry
  • Units are units of the selected asset
  • Default=0
  • 0 means enter at market
  • >0 means use entry stop
  • <0 means use entry limit
  • abs(Entry) < current/2.0 means Entry is a distance from TradePriceOpen
  • abs(Entry) > current/2.0 means Entry is an absolute value in units of selected asset
Stop
  • Units are units of the selected asset
  • Default=0
  • Stop=0 means no stop loss
  • Stop<0 means ???
  • Stop>current means skip due to wrong side
  • abs(Stop) < current/2.0 means Stop is a distance from TradePriceOpen
  • abs(Stop) > current/2.0 means Stop is an absolute value in units of selected asset
TakeProfit
  • Units are units of the selected asset
  • Default=0
  • TakeProfit=0 means no profit target
  • TakeProfit<0 means ???
  • TakeProfit<current means skip due to wrong side
  • abs(TakeProfit) < current/2.0 means TakeProfit is a distance from TradePriceOpen
  • abs(TakeProfit) > current/2.0 means TakeProfit is an absolute value in units of selected asset
Trail
  • Units are units of the selected asset
  • Default=0
  • Trail=0 or Stop=0 means no trailing
  • Trail<0 means ???
  • abs(Trail) < current/2.0 means Trail is a distance from TradePriceOpen
  • abs(Trail) > current/2.0 means Trail is an absolute value in units of selected asset
TrailSlope
  • Units are percent
  • Default=100
  • TrailSlope=0 or Trail=0 or Stop=0 means TrailSlope has no effect
  • TrailSlope>0 means ???
  • TrailSlope>100 means ???
  • TrailSlope<0 means ???
TrailLock
  • Units are percent
  • Default=0
  • TrailLock=0 or Trail=0 or Stop=0 means TrailLock has no effect
  • TrailLock>0 means automatically place a stop loss at the given percentage of the current profit.
  • TrailLock>100 means ???
  • TrailLock<0 means ???
TrailStep
  • Units are percent
  • Default=0
  • TrailStep=0 means no automatic trailing
  • with Stop=0 TrailStep means ???
  • with Trail=0 TrailStep means ???
  • TrailStep>0 means Automatically raise the stop loss every bar by a percentage of the difference between current asset price and current stop loss.
  • TrailStep>100 means ???
  • TrailStep<0 means ???

Re: Reasonable values for entry parameters [Re: GPEngine] #440588
04/28/14 14:19
04/28/14 14:19
Joined: Jul 2000
Posts: 27,935
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,935
Frankfurt
A matrix is a good idea for a quick overview. But negative stops and trails, or percentages above 100 just do what you expect'd them to do - they move the stop in the wrong direction or not at all, or in steps above 100 percent.


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