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Re: New Zorro version 1.83 [Re: jcl] #473540
07/20/18 16:40 07/20/18 16:40

Joined: Jun 2013
Posts: 1,609

DdlV

Serious User

DdlV

Serious User

Joined: Jun 2013
Posts: 1,609

Thanks jcl. All Assets are giving different results. To account for that, it seems the likely possibilities are different AssetsFix.csv and/or History files. The AssetsFix.csv that was installed by 1.832 is dated Feb 1 and contains:

Code:

Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
AUD/USD,0.77311,0.00005,0.24,-0.51,0.0001,0.0871,9,0,1000,0.6,
EUR/CHF,1.07962,0.00004,0.08,-0.26,0.0001,0.09263,75,0,1000,0.8, 
EUR/JPY,123.359,0.006,-0.3,0.09,0.01,0.081066,10,0,1000,0.8, 
EUR/USD,1.13795,0.00005,-0.02,0.01,0.0001,0.0871,10,0,1000,0.6,
GBP/USD,1.51364,0.00003,0.05,-0.12,0.0001,0.0871,14,0,1000,0.6,
GER30,10884,1,-0.1,0,1,0.1,6,0,0.1,0,GER30
NAS100,4185,1,-0.1,0,1,0.0871,2,0,0.1,0,NAS100
NZD/USD,0.67752,0.00007,0.6,-1.32,0.0001,0.088713,7,0,1000,0.8, 
SPX500,2032.4,0.5,-0.5,0,0.1,0.0871,8,0,1,0,
UK100,6869,2,-0.1,0,1,0.13183,6,0,0.1,0,
US30,17520,2,-0.5,0,1,0.0871,6,0,0.1,0,
USD/CAD,1.24466,0.0001,-0.21,0.09,0.0001,0.06998,10,0,1000,0.8,
USD/CHF,0.92203,0.00022,0.15,-0.58,0.0001,0.09446,50,0,1000,0.6,
USD/JPY,117.489,0.004,0.02,-0.04,0.01,0.07413,10,0,1000,0.6,
XAG/USD,17.235,0.046,-0.0009,0,0.01,0.43547,5,0,50,0,
XAU/USD,1260.82,0.47,-0.0124,0,0.01,0.00871,11,0,1,0,

Does it match yours?

Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473560 07/22/18 13:00 07/22/18 13:00
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	Or different Z3 version and/or settings? Mine are Z3.80: H 4 W 2 V 1. Should these also be recorded in the .txt Test results file? Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473572 07/23/18 14:24 07/23/18 14:24
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	My version is also Z3.80. But if I remember right, you had often the same problem in the past, but I don't know anymore what the reason was or if we ever determined it. Delete your installation and do a fresh download and install, with no additional files - that had helped as far as I recall. Also, get the newest historical data from the download page.

Re: New Zorro version 1.83 [Re: jcl] #473574 07/23/18 18:13 07/23/18 18:13
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	Yes, I believe something perhaps akin to this might have happened once (not often) before. I searched the forum before the first post and couldn't find a record of it... In any case, I have today in a completely different empty directory done: 1) Install Zorro 1.83.2 2) Test Z3.80 - fails with Error 055 for each year 2010-2018 and "Error 055: no <Asset> 2010..2018 prices" for all 4 Assets (SPX500, NAS100, US30, XAG/USD) 3) Download and extract History_2010.zip 4) Test Z3.80 - reports Error 055: <Asset> history missing ..." for years 2016-2018 for all 4 Assets but Tests to ~55% 5) Download and extract History_2016.zip 6) Test Z3.80 - no Error 055 messages and Tests to ~33%, just as before What now? I posted the AssetsFix.csv from my install - does it match yours? Would posting the log help? It's 253kB... Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473606 07/26/18 08:50 07/26/18 08:50
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	It matches, but I have been told that the release Z3 indeed had 33% AR. So your result is correct and the manual is wrong. The 33% were not by a different Z3 algorithm, but a random outlier in that particular backtest period.

Re: New Zorro version 1.83 [Re: jcl] #473609 07/26/18 12:16 07/26/18 12:16
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	Thanks jcl. So, should I not install 1.83.2? And install a later 1.83.x instead? Also, can you post how to remove the outlier from whatever History file it's in? Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473621 07/27/18 10:06 07/27/18 10:06
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	It's not an outlier in a history file, it's an outlier by a clustering of losing trades.

Re: New Zorro version 1.83 [Re: jcl] #473623 07/27/18 13:03 07/27/18 13:03
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	OK, so what do I have to change to duplicate your results? Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473659 08/02/18 12:19 08/02/18 12:19
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	Hi jcl. Please advise. Did your result come from a beta after 1.83.2? Which one? And if the Z3 version was the same (means Z3 was the same?), and History, etc., are the same, which bug fix or other change is it that produces the different result? Thanks.

Re: New Zorro version 1.83 [Re: DdlV] #473671 08/03/18 14:45 08/03/18 14:45
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	I think the Zorro version won't matter, because strategy results are normally not dependent on the version, only on the backtest period. Yes, Z3 is the same, there was no change in the last time.

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