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Re: Z8 & Z9 questions [Re: DdlV] #481348
08/30/20 18:40
08/30/20 18:40
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DdlV Offline OP
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Hi jcl. Would appreciate your clarifications to the above questions.

Also, in Z9, does the distinction between 0 for sectors and 2 for non-US indexes mean these are traded differently? Or is this only for the user's self-documentation?

Thanks.

Re: Z8 & Z9 questions [Re: DdlV] #481387
09/07/20 12:16
09/07/20 12:16
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jcl Offline

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As to my knowledge, they are not traded differently at the moment, but could be in a future version.

The backtest reinvests similar to the square root rule, but with exponent 0.9. The exponent is close to 1 due to the low drawdown/margin ratio. The original square root rule for trading with high drawdown and low margin uses exponent 0.5.

Re: Z8 & Z9 questions [Re: DdlV] #481396
09/07/20 23:00
09/07/20 23:00
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Thanks jcl.

So mathematically, if one starts with $1,000 and it grows to $2,000 after the 1st cycle,

- the square root rule would give reinvest of $1,414

- the ".9 rule" gives a reinvest of $1,866, with $134 maintained on account for safety.

Is this the recommended way to trade Z8/Z9? In the example above, the next Trade should be with $1,866 capital, not the account's $2,000 balance?

Or is this just to add a bit of conservatism to the backtest and in Trading one should use $2,000?

Thanks.

Re: Z8 & Z9 questions [Re: DdlV] #481565
09/29/20 20:16
09/29/20 20:16
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Hi jcl,

I've run some further Tests of Z9, and have these remaining questions:

a) When Trading live, is it recommended to follow the ".9 rule" for reinvesting, as described above?

b) Various Tests have shown Z9 invest in nothing, only Bonds, or both Bonds and other assets in the list. When in all Bonds, it is (so far) never in equal proportions across the Bond assets, so presumably by the OptF. There are no messages in the Test Log that say "nothing's good - going all bonds", so I wonder about the manual's description: In what way are Bonds treated differently? Or are all 3 asset classes (0, 1, & 2) in reality treated the same?

c) When a class 3 asset is specified, it is traded. I.e., it isn't exclusively used to detect a market crash. There is also no message in the Log like "market crash! doing <whatever>", but having an asset of class 3 obviously affects results since it's traded. So, how can we tell when the class 3 asset sees a crash and what happens specifically because of that? As opposed to Z9 just investing in the class 3 asset as it does all the others?

Thanks.

Re: Z8 & Z9 questions [Re: DdlV] #481765
10/28/20 19:42
10/28/20 19:42
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@jcl, would appreciate your comments re. the above. Sorry for the OptF mention - brain fart - obviously it doesn't apply here & weighting is done differently...

Re: Z8 & Z9 questions [Re: DdlV] #481774
10/30/20 11:02
10/30/20 11:02
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jcl Offline

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You can follow the .9 rule. For this there is an investment calculator included in the scripts.

Bonds are not treated differently except when you enforce a bond percentage with the slider. Z9 does not trade assets class 3. It prints a message when a market crash is detected. But since it uses a simple SMA comparison for determining a crash, this is of somewhat limited use.

Re: Z8 & Z9 questions [Re: DdlV] #481792
10/31/20 23:47
10/31/20 23:47
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Thanks jcl.

a) I see the Bond% slider, but don't see a description of it in the manual. It defaults to 0% yet bonds are still traded, so what does this % actually mean?

b) I ran Z9 using the default AssetsZ9.csv with SPY uncommented (set as Type 3) and SPY was traded. It seems Type 3 assets are in fact traded. Or is there some other setting that controls this?

c) I have not been able to find a Type 3 asset that produces a crash message in the log. Is this only active in Trade mode? If it's supposed to be active in Test mode as well, do you have an asset that will generate a crash message?

Thanks.

Re: Z8 & Z9 questions [Re: DdlV] #481803
11/03/20 11:06
11/03/20 11:06
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jcl Offline

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The slider determines which percentage of your portfolio is invested in bonds. Of course the strategy can allocate more bonds when they are currently more profitable than stocks.

There are market crashs detected with SPY, f.i. in 2007, and it is not traded, at least according to my documentation. Are you using the default asset list or have you changed something?

Re: Z8 & Z9 questions [Re: DdlV] #481807
11/03/20 20:44
11/03/20 20:44
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Thanks jcl.

a) Coincidentally I hovered over the Bond% slider and a pop-up appears that says "Minimum bond allocation". So, it appears to be NOT the absolute % - i.e., 0% does not mean NEVER invest in bonds. It instead sets the minimum capital % that must remain in bonds at all times, and (100-Bond%)% of capital is available for other investing (including more in bonds, possibly)?

b) Type 3 assets ARE traded, contrary to your statement above - is this a bug?

c) In the default asset list SPY is commented out. I uncommented it but didn't see any different message. So, to clarify, is there supposed to be a log message? Something like "SPY detects Market Crash! Selling all Type 0 Sector assets!"? Or is this all hidden and no messages ever appear?

Thanks.

Re: Z8 & Z9 questions [Re: DdlV] #481811
11/04/20 14:14
11/04/20 14:14
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jcl Offline

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Yes, the slider sets the minimum bonds allocation. As to the problem with a type 3 asset traded, can you send the log and asset list to support? They'll check it. And make sure that you're using the latest Zorro version - old versions had no type 3 assets. The message reads "Market currently down - exit all positions" and appears only when you have no bonds. Otherwise the capital is invested in bonds in case of a market crash, and no message appears.

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