Is Zorro's rollover calculation wrong?

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Is Zorro's rollover calculation wrong? #464681 03/05/17 14:57 03/05/17 14:57
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	Let's take this minimal example: Code: #include <default.c> function run() { StartDate = 20170101; BarPeriod = 60; LifeTime = 25; enterShort(); set(LOGFILE); } When I check the trade log it seems that all the trades opened between 13:00 and 22:00 (and closed on the next day) have no rollover despite being held for 25 hours. From what I understand this is not how rollover usually works. Last edited by pcz; 03/05/17 14:59.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464685 03/06/17 09:42 03/06/17 09:42
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	It's indeed not, since there is no way rollover "usually works". Zorro adds rollover at any new day when the trade was longer open than 12 hours, which is a good approximation for most, but not all brokers. If you need a different rollover calculation for a particular broker, just set RollLong/Short to zero and calculate it in the script.

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #464686 03/06/17 09:57 03/06/17 09:57
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	OK, good to know. Would be nice to have this information in the manual (sorry if I overlooked it by mistake). Another thing is that for a test trade on EUR/USD opened on 31.12.2015 and closed on 4.1.2016 the calculated rollover is 142160 while the value in AssetFix file is 1.4216. I have no clue why but maybe it has something to do with the year switch?

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464690 03/06/17 10:40 03/06/17 10:40
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	I have just tried it, but can not confirm a wrong rollover for trades between years. Can you post that script?

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #464692 03/06/17 10:53 03/06/17 10:53
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	I found out that this happens only when the AssetsFix file can't be opened between test runs (e.g. because it has been opened in a text editor). I didn't notice it before. My theory is that Zorro somehow remembered the rollover value from the previous test but not the other asset params. Therefore the value 142160 which is 100k times the right value. So probably it's just an unexpected behavior in unexpected situation, not real issue.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464694 03/06/17 11:02 03/06/17 11:02
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Hmm, if the file can not be opened the values are certainly wrong, but did you not get an error message?

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #464695 03/06/17 11:06 03/06/17 11:06
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	Yes, there was a message in Zorro's main window which I didn't notice.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464699 03/06/17 14:10 03/06/17 14:10
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	This is somewhat related to the previous observation so I'll put it here. I want to store RollLong/Short values from AssetsFix file in order to use a different rollover calculation as you suggested. I have code like this: Code: if(is(INITRUN)){ x = (var)RollShort; } RollShort = 0; This works fine with a fresh Zorro start. But if I re-run the script Zorro remembers that RollShort = 0 from the previous run so the assignment to x variable is useless. Is it like this because of some other feature or would it make more sense to reset the rollover values with each new test run?

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464702 03/06/17 16:54 03/06/17 16:54
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Load the asset list again with assetList() in the INITRUN. The rollover is then set to the stored parameters from the list.

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #464994 03/23/17 15:12 03/23/17 15:12
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	Another thing related to rollover calculation I've noticed recently, although it's probably not a big issue: When testing with T1 data I get sometimes different values than with T6 data. Is there a reason for that? Example: Code: Type Open Close Entry Exit Profit Roll T1: Short 2014-01-10 19:00 2014-01-13 01:00 1.36704 1.3663 8.34 1.42 T6: Short 2014-01-10 19:00 2014-01-13 01:00 1.36704 1.3663 9.76 2.84 T1: Long 2014-03-14 15:00 2014-03-17 07:00 1.39163 1.39024 -17.94 -4.94 T6: Long 2014-03-14 15:00 2014-03-17 07:00 1.39163 1.39024 -22.88 -9.88

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