Z4 and Z5 users have certainly noticed that the systems made almost no trades in the last time. We're seeing here what happens when large trade institutions exploit an inefficiency:
Algorithmic traders started exploiting the CHF around January 2013. It was a very obvious and easy to use ineffectivity, so more and more jumped onto the bandwagon, by mid-2013 also banks and trading firms with very high trade volumes. Consequently we can see how the native CHF volatility went down step by step over the next year. This made it harder and harder to squeeze profit out of it. In such a situation, volatility peaks are only caused by external events, such as the last one in January 2014. Due to the low volatility the system now requires different algorithms. Mere grid trading won't do anymore. The next Zorro update will contain modified Z4/Z5 systems that still generate profit even with extremely low volatility.
Re: Z4 and Z5 - newest info
[Re: jcl]
#443987 07/28/1415:3107/28/1415:31
Don't know that this is relevant any longer since Z4/5 are going to change, but I've noticed that Z5 always goes Short 1 Lot but Long >1 Lot. I assume the difference is due to Optimal F weighting? But if so, does it make sense? In Grid trading where the expectation is that things will oscillate within a range, shouldn't the Short/Long lot sizes be the same?
Thanks.
Re: Z4 and Z5 - newest info
[Re: DdlV]
#444139 07/31/1406:2307/31/1406:23
Thanks jcl. Not sure how the asymmetries are correlated - the Rolls vs. Lots in TS aren't making the relationship too obvious. Guess I'll have to wait for the secrets to be revealed in your forthcoming "Joy of Trading" by "Z" book.
Thanks.
Re: Z4 and Z5 - newest info
[Re: DdlV]
#444162 08/01/1406:4708/01/1406:47