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Re: New Zorro version 1.83
[Re: jcl]
#473096
06/13/18 04:44
06/13/18 04:44
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Joined: Jun 2018
Posts: 1 WA
drack
Guest
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Guest
Joined: Jun 2018
Posts: 1
WA
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Per http://zorro-project.com/manual/en/bittrex.htm "An asset list AssetsBittrex.csv with about 100 main cryto currencies is included" there is no assetbittrex.csv list in the download. It would be nice to have it since this is my first time using Zorro or an algo trader. If someone could Give me the format for the AssetsBittrex.csv compared to Bittrex's https://bittrex.com/api/v1.1/public/getcurrencies so I can try and sort this out that would be swell. [{"Currency":"BTC","CurrencyLong":"Bitcoin","MinConfirmation":2,"TxFee":0.00050000,"IsActive":true,"CoinType":"BITCOIN","BaseAddress":"1N52wHoVR79PMDishab2XmRHsbekCdGquK","Notice":null},
Last edited by drack; 06/13/18 04:47.
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Re: New Zorro version 1.83
[Re: jcl]
#473113
06/14/18 08:23
06/14/18 08:23
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Joined: Feb 2015
Posts: 652 Milano, Italy
MatPed
User
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User
Joined: Feb 2015
Posts: 652
Milano, Italy
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Hi, Zorro 1832 never finish training, in multicores, standard Workshop6. No issue with previous or later version. You can daownload the image from here:
https://biteu-my.sharepoint.com/:i:/g/personal/matteo_pedroni_bit-eu_com/EU5ihFE08V9GvZPqyFBeqPMBhOaQAiLOXvT6hwI4_govsQ?e=hmJamq
Ciao
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Re: New Zorro version 1.83
[Re: jcl]
#473507
07/16/18 21:23
07/16/18 21:23
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Joined: Jun 2013
Posts: 1,609
DdlV
Serious User
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Serious User
Joined: Jun 2013
Posts: 1,609
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Hi jcl. 2 things about 1.83: 1) I see above that it's released, however I didn't receive the normal release announcement email - was it sent? 2) I have downloaded and installed 1.832 (via Zorro_Setup) and the latest 2010 and 2016 History files. All Z Systems Test to the results in the manual, EXCEPT Z3 - it only Tests to 33% AR, not ~90%. It seems something like this happened once before, but I can't find that thread. If the Zorro version and History files are correct per the above, and all the other Systems Test fine, where else should I look to fix Z3 Test? FYI, here is the Z3.txt file I get:
WFA Test Z3 (TICKS)
Simulated account AssetsFix
Bar period 24 hours (avg 2027 min)
Simulation period 2010-05-24..2018-05-12 (2067 bars)
Test period 2012-07-23..2018-05-12 (1504 bars)
Lookback period 100 bars (20 weeks)
WFO test cycles 8 x 188 bars (38 weeks)
Training cycles 9 x 563 bars (116 weeks)
Montecarlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)
Gross win/loss 32111$ / -23282$ (+4997p)
Average profit 1522$/year, 127$/month, 5.85$/day
Max drawdown -5970$ 67.6% (MAE -5970$ 67.6%)
Total down time 86% (TAE 68%)
Max down time 47 weeks from Nov 2014
Max open margin 266$
Max open risk 3036$
Trade volume 3788968$ (653101$/year)
Transaction costs -1393$ spr, -983$ slp, -2491$ rol
Capital required 4559$
Number of trades 245 (43/year, 1/week, 1/day)
Percent winning 47.3%
Max win/loss 2052$ / -812$
Avg trade profit 36.04$ 20.4p (+156.7p / -102.1p)
Avg trade slippage -4.01$ -2.3p (+0.5p / -4.8p)
Avg trade bars 6 (+8 / -5)
Max trade bars 37 (7 weeks)
Time in market 108%
Max open trades 4
Max loss streak 11 (uncorrelated 9)
Annual return 33%
Profit factor 1.38 (PRR 1.15)
Sharpe ratio 0.64
Kelly criterion 1.24
R2 coefficient 0.015
Ulcer index 21.2%
Confidence level AR DDMax Capital
10% 38% 5244 4037$
20% 34% 5905 4513$
30% 31% 6523 4957$
40% 28% 7102 5373$
50% 26% 7681 5789$
60% 24% 8524 6395$
70% 22% 9260 6925$
80% 20% 10472 7796$
90% 15% 13502 9975$
95% 13% 15586 11474$
100% 9% 22342 16332$
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
NAS100 avg .001 1.04 27/38 3.0 /\\//
SPX500 avg .000 0.82 26/32 -7.3 /\..//
US30 avg .042 2.08 39/34 58.8 ////////
XAG/USD avg .014 1.52 24/25 45.5 /XX///.
NAS100 .003 1.04 27/38 3.0 /\\//
NAS100:L .003 1.04 27/38 3.0 /\\//
NAS100:S .000 ---- 0/0 0.0 ........
SPX500 .000 0.82 26/32 -7.3 /\..//
SPX500:L .000 0.82 26/32 -7.3 /\..//
SPX500:S .000 ---- 0/0 0.0 ........
US30 .084 2.08 39/34 58.8 ////////
US30:L .084 2.08 39/34 58.8 ////////
US30:S .000 ---- 0/0 0.0 ........
XAG/USD .014 1.52 24/25 45.5 /XX///.
XAG/USD:L .007 1.31 8/13 14.6 //./..
XAG/USD:S .021 1.75 16/12 30.9 //\///.
Thanks.
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Re: New Zorro version 1.83
[Re: DdlV]
#473535
07/20/18 13:16
07/20/18 13:16
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Joined: Jul 2000
Posts: 27,986 Frankfurt
jcl
OP
Chief Engineer
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OP
Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
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Gross win/loss 24599$ / -13393$ (+6458p)
Average profit 1932$/year, 161$/month, 7.43$/day
Max drawdown -2435$ 21.7% (MAE -3559$ 31.8%)
Total down time 72% (TAE 54%)
Max down time 47 weeks from Nov 2014
Max open margin 266$
Max open risk 2954$
Trade volume 2400653$ (413798$/year)
Transaction costs -943$ spr, -639$ slp, -1803$ rol
Capital required 2017$
Number of trades 157 (28/year, 1/week, 1/day)
Percent winning 53.5%
Max win/loss 2052$ / -812$
Avg trade profit 71.38$ 41.1p (+168.8p / -105.7p)
Avg trade slippage -4.07$ -2.3p (+0.6p / -5.7p)
Avg trade bars 7 (+8 / -5)
Max trade bars 37 (7 weeks)
Time in market 76%
Max open trades 4
Max loss streak 7 (uncorrelated 7)
Annual return 96%
Profit factor 1.84 (PRR 1.46)
Sharpe ratio 1.00
Kelly criterion 1.05
R2 coefficient 0.744
Ulcer index 6.5%
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