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Re: Z System result sharing? [Re: Veratyr] #460417
06/29/16 21:05
06/29/16 21:05
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Veratyr Offline OP
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Veratyr  Offline OP
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Okay, I've updated my Z12 link to this/. You don't need to filter the dates or anything.

I've also set up FXBlue here, with pin code 314159. You'll need to filter this one since I couldn't figure out how to make FXBlue remember it.

Re: Z System result sharing? [Re: Veratyr] #460427
06/30/16 13:48
06/30/16 13:48
Joined: Apr 2016
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Frankfurt, Germany
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MIGI Offline
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Here is my Zorro 1.46 Z12 FXCM Demo http://www.fxblue.com/users/zorroz12

Last edited by MIGI; 06/30/16 13:54.
Re: Z System result sharing? [Re: MIGI] #460476
07/02/16 18:43
07/02/16 18:43
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Veratyr Offline OP
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Thanks!

Apparently I can't edit the original post, which is unfortunate.

Re: Z System result sharing? [Re: Veratyr] #460563
07/04/16 14:30
07/04/16 14:30
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MatPed Offline
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Hi, I have a question have you properly tested the z12 system?
I am asking because with the version released with 1.46.
I have a back-test draw-down that last for more than one year, at default settings. The results are even worst increasing margin settings.
I have pointed out in another post, but I have not received a lot of attention.

I guess that before trading live or demo you should properly test the system in order to benchmark properly.

Attached my "not so nice" back-test with data downloaded from scratch from Oanda and AssetsFix updated from Oanda live account with the Download.x script.

my 2 cents

Attached Files
1462 - Z12 - 50 Margine.c (1223 downloads)
Re: Z System result sharing? [Re: MatPed] #460569
07/04/16 21:06
07/04/16 21:06
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MIGI Offline
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Here is my Zorro 1.46 Z12 FXCM Demo Result:

Walk-Forward Test Z12 portfolio

Simulated account AssetsFix
Bar period 4 hours (avg 337 min)
Simulation period 29.04.2010-07.06.2016 (9495 bars)
Test period 24.01.2013-07.06.2016 (5223 bars)
Lookback period 500 bars (17 weeks)
WFO test cycles 11 x 475 bars (16 weeks)
Training cycles 12 x 4272 bars (147 weeks)
Monte Carlo cycles 200
Assumed slippage 10.0 sec

Gross win/loss 45537$ / -30714$ (+120197p)
Average profit 4404$/year, 367$/month, 17$/day
Max drawdown -903$ 6% (MAE -2024$ 14%)
Total down time 26% (TAE 85%)
Max down time 21 weeks from Jul 2013
Max open margin 1025$
Max open risk 43287$
Trade volume 5366949$ (1594370$/year)
Transaction costs -1171$ spr, -936$ slp, -281$ rol, -261$ com
Capital required 1877$

Number of trades 2335 (694/year, 14/week, 3/day)
Percent winning 50.3%
Max win/loss 556$ / -299$
Avg trade profit 6.35$ 51.5p (+314.5p / -214.5p)
Avg trade slippage -0.40$ -3.2p (+0.3p / -6.9p)
Avg trade bars 54 (+69 / -37)
Max trade bars 967 (33 weeks)
Time in market 2457%
Max open trades 51
Max loss streak 16 (uncorrelated 12)

Annual return 235%
Profit factor 1.48 (PRR 1.40)
Sharpe ratio 1.75
Kelly criterion 1.29
R2 coefficient 0.758
Ulcer index 3.7%
Prediction error 9%
Cycle performance 1.57 1.42 1.45 1.50

Re: Z System result sharing? [Re: MIGI] #460574
07/04/16 22:34
07/04/16 22:34
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MatPed Offline
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Totally different results.
Pls double check that you have updated the AssetsFix file with real costs gathered from the broker and not just used the default one.
Ulcer Index, in particular is so different... If you see the equity line in the manual you can easily identify a long draw-down period. Much longer than 5 months as reported in your test result. I do not know...

Re: Z System result sharing? [Re: MatPed] #460576
07/05/16 04:14
07/05/16 04:14
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MIGI Offline
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I have used FXCM and the defaults because for me it seems to match the real costs. The big problem is that spreads, swaps, ... change over time. For better backtests it is essential to have ask and bid.

You have mentioned that you use Oanda, which was a good broker when all the others were not so good. I have traded with Oanda in 2012 until I found out that the performce of my system was 10% and more less than the results with ActivTrades, LMAX, ... . During the European session ActivTrades has a nearly fixed spread of 0.7 pip for the eurusd and they don't have more slippage than others.

What I really don't understand WHY I should fix the asset info manually when everything(except the symbolname) is available via MT4?

Last edited by MIGI; 07/05/16 04:20.
Re: Z System result sharing? [Re: MIGI] #460578
07/05/16 07:34
07/05/16 07:34
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Veratyr Offline OP
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Originally Posted By: MIGI
I have used FXCM and the defaults because for me it seems to match the real costs. The big problem is that spreads, swaps, ... change over time. For better backtests it is essential to have ask and bid.


For this you need tick history. OANDA seems to allow you to export it from fxTrade, maybe you should look at converting it to the format Zorro uses.

Originally Posted By: MIGI
What I really don't understand WHY I should fix the asset info manually when everything(except the symbolname) is available via MT4?


The reasons I can think of are:

- You need to fix the parameters so that when you develop a strategy, you can be sure that any change to the system's output is a result of you changing the code, rather than a change in the account. For example if your broker can't give you historical spreads (MT4 can't), you need to fix the spread in advance. If you use the spread from a static file, a changing spread can't affect your strategy. If you use the spread from MT4, your test might do well with a tiny spread when you test but then after you change the code, MT4's spread might be huge and kill your strategy. You'll have no way of knowing whether it was your code that did it.

- Not all brokers offer the same things MT4 does. The Z Systems need to support all the brokers so they can't rely too much on feature that other brokers lack.

Originally Posted By: MIGI

Hi, I have a question have you properly tested the z12 system?


Yes. Here's a test I did a while ago (I think this was default assets list): http://pastebin.com/2zy5JTfa

Here's a test I did just now with standard assets list: http://pastebin.com/amyQB2CU

Here's a test I did just now with IC Markets assets list from a few days ago: http://pastebin.com/0V63Br3E

I'm working on a test after retraining with the IC Markets assets list.

Re: Z System result sharing? [Re: Veratyr] #460580
07/05/16 08:07
07/05/16 08:07
Joined: Feb 2015
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Milano, Italy
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MatPed Offline
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ok, thank you everybody.
Based on my experience I consider a proper "broker related" test if you update the AssetFix file during normal market time with the download.x script provided with Zorro and than force z strategies to use that Assets list. Check the setting into the z.ini file.
I am stressing this point because I have never been able to achieve the testing results you are showing after having done this procedure with LMAX and OANDA.

I am not an expert so I could be wrong, but 6 eyes can see better than 2 laugh

Re: Z System result sharing? [Re: MatPed] #460582
07/05/16 08:20
07/05/16 08:20
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Veratyr Offline OP
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Then it seems like LMAX and OANDA are the problem.

Anyhow, this thread is intended for the sharing of Z Systems actively running against a broker's server. If you want to follow up on test results, please make a new thread.

If you don't have a Myfxbook or FX Blue Live link, your post is probably off topic for this thread.

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