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#473933 - 08/29/18 21:19 Anyone done any backtests on the effect of ESMA on Z12?
Artvin Offline
Guest

Registered: 07/31/18
Posts: 3
Loc: Derbyshire
HI, I opened a spread betting account on Oanda UK, at the beginning of Aug & am trading the Z12 on a 5k account. Just wondering if anyone has backtested the Z12 system with the new ESMA margin limits yet?

As a newbie I'm still trying to get my head around the complexities of backtesting, but it looks to me like the annual return for Z12, affected by ESMA, is now more likely to be in the order of 40% to 50%, rather than the 180% advertised, can anyone confirm that?


Edited by Artvin (08/31/18 11:08)

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#474591 - 10/24/18 14:54 Re: Anyone done any backtests on the effect of ESMA on Z12? [Re: Artvin]
ags Offline
Junior Member

Registered: 10/23/18
Posts: 65
Loc: Germanien
Hi Artvin, indeed, the AR is affected because the script can't open as much positions as with an account with higher leverage.
You can test it yourself and compare results by change the Leverage in the AssetsFix.csv (if Zorro free). The original AssetsFix that comes with Zorro has a leverage of 100 for every asset. The ESMA regulation changes that to max 30 for most Forex positions but some to 20. Also indexes are limited to 10 to 20. Gold 20 and Silver 10. with a 5k account you get with this leverage about 50% per year in backtesting.
The best is to use the Download script with your Broker to get more up to date assets details like costs and specially Leverage.

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#475315 - 12/01/18 19:31 Re: Anyone done any backtests on the effect of ESMA on Z12? [Re: ags]
Artvin Offline
Guest

Registered: 07/31/18
Posts: 3
Loc: Derbyshire
Thanks ags, I'd given up on getting a reply to this so stopped monitoring it. I've already worked out how to do tests with leverage modified in AssetsFix, and got similar results to you. I've played around with the download script but haven't worked out how to use it, nor have I managed to find any info on it.

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#475523 - 12/18/18 17:33 Re: Anyone done any backtests on the effect of ESMA on Z12? [Re: Artvin]
ags Offline
Junior Member

Registered: 10/23/18
Posts: 65
Loc: Germanien
Hi Artvin,

where are you stuck?
With Zorro free Version just select the included download script after confirguring your login details and click on Trade. A panel will open with the current asset you have in Zorro and give you options to download asset details or complete year series. The series are downloaded in the Histoy folder and the asset details in the /Log/Assets.csv file.

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