Gamestudio Links
Zorro Links
Newest Posts
Optimize in a ranked asset portfolio
by danatrader. 10/26/20 15:08
Force chart into a y-axis range?
by Kaga. 10/25/20 23:57
Special Bars Script
by atr. 10/25/20 12:30
Tensorflow and Python 32 bit
by gamadeus. 10/25/20 11:39
Close attempts
by jcl. 10/24/20 10:27
GET_TRADES - TRADE array buffer size?
by jcl. 10/24/20 10:25
AUM Magazine
Latest Screens
Paradox Vector
The Space Between
Pogostuck: Rage With Your Friends
Worst Case Z
Who's Online Now
8 registered members (Iglarion, AndrewAMD, danatrader, jenGs, kalmar, Janusz, Dooley, SPIRIT777), 462 guests, and 6 spiders.
Key: Admin, Global Mod, Mod
Newest Members
exshifta, mr_T0ma5, AVL, ruins, speech
18529 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Page 2 of 2 1 2
Re: Z8 & Z9 questions [Re: DdlV] #481348
08/30/20 18:40
08/30/20 18:40
Joined: Jun 2013
Posts: 1,466
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,466
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
Joined: Jul 2000
Posts: 27,368
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,368
Frankfurt
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
Joined: Jun 2013
Posts: 1,466
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,466
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
Joined: Jun 2013
Posts: 1,466
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,466
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.

Page 2 of 2 1 2

Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1