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Re: New Zorro version 2.30 [Re: jcl] #480997
07/30/20 16:21
07/30/20 16:21
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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jcl,

is there an update/feedback on the very first - and very serious - bug I reported?

By using the price of 'tick' (1Min) earlier than Entry stop is hit, Zorro greatly inflates the results of such entries..

Re: New Zorro version 2.30 [Re: jcl] #481039
08/03/20 09:45
08/03/20 09:45
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline OP

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jcl  Offline OP

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
- Zorro greatly inflates the results: I hope not. At least the result in your post was apparently not inflated, but just random.

Re: New Zorro version 2.30 [Re: jcl] #481045
08/03/20 12:41
08/03/20 12:41
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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Was the report reviewed in earnest? Or at all??
Quote
80: Mon 19-01-07 13:00] 1.14407/1.14474\1.14368/1.14394 -0.0
Enter Long EUR/USD Entry 0.0023498 at 13:00:00
(EUR/USD::L) Long 1@1.14629 Entry stop <- initial entry stop from Entry=1.5*atr
in tmf: 13:01:00, high = 1.14429, close = 1.14418
in tmf: 13:02:00, high = 1.14450, close = 1.14448
in tmf: 13:03:00, high = 1.14451, close = 1.14444
in tmf: 13:04:00, high = 1.14451, close = 1.14418
in tmf: 13:05:00, high = 1.14451, close = 1.14438
in tmf: 13:06:00, high = 1.14451, close = 1.14444
in tmf: 13:07:00, high = 1.14453, close = 1.14452
in tmf: 13:08:00, high = 1.14453, close = 1.14443
in tmf: 13:09:00, high = 1.14453, close = 1.14440
in tmf: 13:10:00, high = 1.14453, close = 1.14436
in tmf: 13:11:00, high = 1.14453, close = 1.14439
in tmf: 13:12:00, high = 1.14453, close = 1.14424
in tmf: 13:13:00, high = 1.14453, close = 1.14409
in tmf: 13:14:00, high = 1.14453, close = 1.14423
in tmf: 13:15:00, high = 1.14453, close = 1.14449
in tmf: 13:16:00, high = 1.14453, close = 1.14448
in tmf: 13:17:00, high = 1.14462, close = 1.14453
in tmf: 13:18:00, high = 1.14464, close = 1.14462
in tmf: 13:19:00, high = 1.14464, close = 1.14441
in tmf: 13:20:00, high = 1.14483, close = 1.14480 <--this is when a trade is entered by a tmf returning 2
---- long Entry Stop is hit!----open=1.14394, high=1.14483 close=1.14480 entStp=1.14473
[EUR/USD::L08101] Long 1@1.14441 x at 13:20:00

The price of entry should be 1.14480 while Zorro's recorded price of entry is 1.14441 - a 4 PIP difference!

And no, it is NOT random. It is 1 tick earlier EACH TIME.

I discovered this when live trading results significantly deviated from a subsequent re-test (and backtesting expectations).

"Hopes" cost dearly. Just run the provided script and - 1.5 weeks since the report - you may as well provide a normal and constructive feedback...

Last edited by Zheka; 08/03/20 12:58.
Re: New Zorro version 2.30 [Re: jcl] #481046
08/03/20 13:28
08/03/20 13:28
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline OP

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jcl  Offline OP

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Posts: 27,977
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Don't worry, we review all reports and are very, very earnest. - Can you then post a log where it is not random, but 1 tick earlier each time?

Re: New Zorro version 2.30 [Re: jcl] #481047
08/03/20 13:54
08/03/20 13:54
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Zheka Offline
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The first equity curve is from the provided script (entry from a tmf returning 2 as soon as price crosses 0.5*atr),
second is the same script without using a tmf, just with Entry = 0.5*atr.
Slippage=0 in both cases.

See the "inflation"?

The first approach should actually give worse results since price definitely has to cross the stop entry level (maybe by a lot) for an entry to trigger.

Attached Files Zorro_tmf2_entry.JPGZorro_05atr_entry.JPG
Re: New Zorro version 2.30 [Re: jcl] #481048
08/03/20 13:59
08/03/20 13:59
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline OP

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jcl  Offline OP

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Posts: 27,977
Frankfurt
Hmm, I see two balance charts, one good, one bad. I was hoping for a log that shows a "1 tick early" bug.

Re: New Zorro version 2.30 [Re: jcl] #481050
08/03/20 14:01
08/03/20 14:01
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline OP

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jcl  Offline OP

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Posts: 27,977
Frankfurt
New version 2.30.3:

http://opserver.de/down/Zorro_230.exe

The bugs reported so far have been fixed:

- Sometimes no first and last bin in the plot.csv of a histogram
- Wrong plotHeatmap example in the manual
- Wrong PriceDist script
- Missing CuirrencyStrength script
- enterTrade() did not update the LotsPool variable
- Brute Force sometimes printed a wrong result to the window

Re: New Zorro version 2.30 [Re: jcl] #481051
08/03/20 14:24
08/03/20 14:24
Joined: Jul 2017
Posts: 783
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Zheka Offline
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Zheka  Offline
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By asking to post a log - do you mean that the provided script generates a completely different result at your computer?

Here is it anyway (for 2020, to fit attachment size limits).

If you find several cases where entry price is worse than the intended entry ( which is what you mean by "random", right?) - pls point the dates out.

Attached Files
Re: New Zorro version 2.30 [Re: jcl] #481052
08/03/20 14:28
08/03/20 14:28
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline OP

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jcl  Offline OP

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Posts: 27,977
Frankfurt
Thank you for the log. Where in it is the bug? Do you have the line numbers?

Re: New Zorro version 2.30 [Re: jcl] #481053
08/03/20 14:29
08/03/20 14:29
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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Is results() +8 bug fixed in 2.30.3?

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