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Strategy works on single pairs, but one goes to hell in combo #476560
03/10/19 09:38
03/10/19 09:38
Joined: Aug 2016
Posts: 27
M
MaskOfZorro Offline OP
Newbie
MaskOfZorro  Offline OP
Newbie
M

Joined: Aug 2016
Posts: 27
I'm trying to translate to spread betting a binary otpions strategy that has been extremely successful for me both in backtests and in live trading. But while I have managed to get some good results in both EUR/USD and GBP/USD when tested separately, one of the pairs goes to s$%t when I combine them and which one depends on the order of the asset() calls. That is to say, when combined, I still get roughly or identically the same number of trades and the same number of winners and losers for each pair, but portfolio weights go crazy, in particualr when starting with EUR/USD, where one asset will go to over 1xx% and the other to -xx%. Either way the win $ do not nearly add up. The only exit rules I'm using as stop and take profit, but I get the same phenomenon if I drop these and use LifeTime.


I understand that order of assets matters when there are gaps in data, but EUR/USD and GBP/USD both have 24-hour price histories, which the tests span. Zorro is 1.66. BarPeriod is 1 minute. Hedge = 2. Trades are made by a function call, but there is nothing in the function that would make the assets and trades interact.

EUR/USD

Quote:
EUR/USD 2010..2012
Monte Carlo Analysis... Median AR 126%
Win 1243$ MI 35$ DD 151$ Capital 311$
Trades 31819 Win 62.3% Avg +0.4p Bars 34
AR 134% PF 1.08 SR 1.99 UI 4% R2 0.90

Portfolio analysis OptF ProF Win/Loss Wgt%

EUR/USD .372 1.08 19818/12001 100.0



GBP/USD

Quote:
GBP/USD 2010..2012
Monte Carlo Analysis... Median AR 220%
Win 2083$ MI 58$ DD 86$ Capital 296$
Trades 28756 Win 63.0% Avg +0.8p Bars 32
AR 236% PF 1.16 SR 3.67 UI 1% R2 0.88

Portfolio analysis OptF ProF Win/Loss Wgt%

GBP/USD .966 1.16 18130/10626 100.0




Combined with EUR/USD first

Quote:
2010..2012
Monte Carlo Analysis... Median AR 101%
Win 1458$ MI 41$ DD 235$ Capital 495$
Trades 60612 Win 62.7% Avg +0.3p Bars 33
AR 98% PF 1.05 SR 1.71 UI 4% R2 0.69
Time 00:01:08

Portfolio analysis OptF ProF Win/Loss Wgt%

EUR/USD avg .000 0.96 19818/12001 -45.7
GBP/USD avg .898 1.16 18172/10621 145.7


Combined with GBP/USD first

Quote:
2010..2012
Monte Carlo Analysis... Median AR 111%
Win 1604$ MI 45$ DD 223$ Capital 483$
Trades 60524 Win 62.7% Avg +0.3p Bars 33
AR 111% PF 1.06 SR 1.88 UI 4% R2 0.81
Time 00:01:06

Portfolio analysis OptF ProF Win/Loss Wgt%

EUR/USD avg .368 1.08 19789/11979 77.7
GBP/USD avg .166 1.03 18130/10626 22.3


Last edited by MaskOfZorro; 03/10/19 09:46.
Re: Strategy works on single pairs, but one goes to hell in combo [Re: MaskOfZorro] #476561
03/10/19 09:45
03/10/19 09:45
Joined: Aug 2016
Posts: 27
M
MaskOfZorro Offline OP
Newbie
MaskOfZorro  Offline OP
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M

Joined: Aug 2016
Posts: 27
You'll notice ProfitFactor stays the same from solo to combo for the second currency in the asset() call order while the win/loss changes slightly.

Re: Strategy works on single pairs, but one goes to hell in combo [Re: MaskOfZorro] #476565
03/10/19 14:27
03/10/19 14:27
Joined: Sep 2003
Posts: 854
Spirit Offline

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Spirit  Offline

Moderator

Joined: Sep 2003
Posts: 854
Cant you see the reason when you compare trades in both logs? Maybe still gaps or some bug in your script like a shared variable, otherwise results should be the same. BTW if you really use Zorro 1.66 you have a very outdated version, better get the current software version. With an old version check if your problem maybe is a 1.66 bug: https://manual.zorro-project.com/bugs.htm


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