Posted By: Nem
Issue with binary options testing - 11/08/16 17:14
Hi!
I'm quite new to Zorro, and I like your approach to trading very much. Congratulations for this great piece of software!
I'm mostly interested in binary options strategies, and, having got a kick-start from this article by the "Financial Hacker", I started to play around with the script there reported, and noticed an important fact to be taken into account in Zorro when simulating binary options strategies.
Referring to the script on the given link, when selecting a LifeTime much higher than 1 bar, and allowing placing positions when other positions are already open - by, for example, removing the line "if(NumOpenLong+NumOpenShort == 0)" - you may notice that something odd is going on. You may get incredible (but unfortunately wrong...) results, that being due to the fact that by default Zorro closes a trade when another trade on the opposite direction is placed, assigning it a win or a loss depending on the situation at the moment (thus without taking into account the expiry time fixed by LifeTime - or ExitTime). I think this is a "bug", in the sense that Zorro should not behave like that when the the BINARY flag is set. I 'solved' the problem setting Hedge to 2, which allows to enter and open long and short positions simultaneously.
Maybe this setting of Hedge to 2 should be executed automatically by the program when the BINARY flag is set, in order to avoid wrong simulation outcomes and too-good-to-be-true looking equity curves like the one in attachment...
Best,
Nem
I'm quite new to Zorro, and I like your approach to trading very much. Congratulations for this great piece of software!
I'm mostly interested in binary options strategies, and, having got a kick-start from this article by the "Financial Hacker", I started to play around with the script there reported, and noticed an important fact to be taken into account in Zorro when simulating binary options strategies.
Referring to the script on the given link, when selecting a LifeTime much higher than 1 bar, and allowing placing positions when other positions are already open - by, for example, removing the line "if(NumOpenLong+NumOpenShort == 0)" - you may notice that something odd is going on. You may get incredible (but unfortunately wrong...) results, that being due to the fact that by default Zorro closes a trade when another trade on the opposite direction is placed, assigning it a win or a loss depending on the situation at the moment (thus without taking into account the expiry time fixed by LifeTime - or ExitTime). I think this is a "bug", in the sense that Zorro should not behave like that when the the BINARY flag is set. I 'solved' the problem setting Hedge to 2, which allows to enter and open long and short positions simultaneously.
Maybe this setting of Hedge to 2 should be executed automatically by the program when the BINARY flag is set, in order to avoid wrong simulation outcomes and too-good-to-be-true looking equity curves like the one in attachment...
Best,
Nem
Description: To-good-to-be-true
