Zorro Beta 1.43

Posted By: jcl

Zorro Beta 1.43 - 03/10/16 14:21

A new beta version was uploaded, with the new Oanda plugin. Oanda offers some interesting features, for instance trading with minimum volume.

http://manual.zorro-project.com/oanda.htm

Posted By: Sphin

Re: Zorro Beta 1.43 - 03/10/16 15:14

The link to http://www.oanda.com goes to www.fxcm.com/uk/ there.

Posted By: jcl

Re: Zorro Beta 1.43 - 03/10/16 16:23

Seems someone from FXCM hacked the manual...

Posted By: DdlV

Re: Zorro Beta 1.43 - 03/10/16 18:55

Is an Assets file from an Oanda demo account good for backtesting? Does it have values comparable to what a real account would have?

Posted By: jcl

Re: Zorro Beta 1.43 - 03/11/16 10:42

As to my knowledge, the Oanda demo account uses the same asset parameters as the real account.

Posted By: DdlV

Re: Zorro Beta 1.43 - 03/11/16 13:20

Thanks jcl.

When the IB plugin arrived, I recall the many qualifications & the statement that it wasn't really suited for the Z systems.

There is none of that for Oanda! Is it therefore safe to assume that our strategies based on the manual's ideas, and possibly the Z systems themselves, will work as well on Oanda as on FXCM?

Thanks.

P.S. - Are you also an IB for Oanda as you once were for FXCM?

Posted By: Veratyr

Re: Zorro Beta 1.43 - 03/11/16 16:19

Not jcl but you should probably back test with an Oanda assets file before you get too excited. It's significantly more expensive than FXCM so unless you're trading seriously low volume FXCM will probably be a better choice.

Posted By: jcl

Re: Zorro Beta 1.43 - 03/11/16 16:58

FXCM and Oanda are in fact not very different in costs. You must consider the commission, which adds about 0.7 pips to the FXCM spread. - We're no IB for Oanda.

Posted By: jcl

Re: Zorro Beta 1.43 - 03/31/16 14:31

A new version was uploaded, 1.43.2. It now contains the framework for trading with R machine learning functions.

Posted By: boatman

Re: Zorro Beta 1.43 - 04/02/16 00:05

I downloaded v1.43.2 but get the following error when I try to run the application:

'The application was unable to start correctly (0xc000020c). Click OK to close the application.'

I tried downloading a second time and got the same result.

Anyone else can confirm this?

Posted By: jcl

Re: Zorro Beta 1.43 - 04/04/16 08:33

I admit that I don't have 1.43.2 anymore. I've uploaded 1.43.3 last week, and today I just got 1.43.4 from the developers. But they are not very different to 1.43.2.

Can you describe when exactly the crash happens? After or before the initial message in the window? And can you check if it still happens when you delete all .dll files out of the Plugin folder?

Posted By: jcl

Re: Zorro Beta 1.43 - 04/18/16 08:33

Beta 1.43.5 was uploaded. This version supports portfolio balancing with the efficient frontier algorithm by Markowitz. Here's a recent paper about how Markowitz balancing can improve a portfolio:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2606884

This version also contains a set of functions for normalizing predictors for machine learning.

Posted By: boatman

Re: Zorro Beta 1.43 - 04/18/16 23:50

Wow, that is a fantastic feature to include! I was actually just working on implementing this myself! Thanks jcl and team, looking forward to taking this for a test drive.

Posted By: Sphin

Re: Zorro Beta 1.43 - 04/19/16 21:46

Quote:

Markowitz weights can be used alternatively to OptimalF factors for allocating capital.

I cannot find wherefrom to get the Weights, or is the Weights Array available after calling the markowitzReturn function with Weights = 0? What did I miss? The manual says Weights is an input parameter for markowitzReturn and is also modified by this function, and in the example code there are no Weights at all.

Posted By: jcl

Re: Zorro Beta 1.43 - 04/20/16 06:42

Here's a code snippet that calculates asset positions from the weights:

Code:

var Weights[30];
var SharpeVariance = markowitz(Covariances,Means,N);
markowitzReturn(Weights,SharpeVariance);

// change the portfolio composition according to new weights
for(i=0; i<N; i++){
	asset(Names[i]);
	int NewLots = TotalCapital*Weights[i]/MarginCost;
	if(NewLots > OldLots[i])
		enterLong(NewLots-OldLots[i]);
	else if(NewLots < OldLots[i])
		exitLong(0,0,OldLots[i]-NewLots);
	OldLots[i] = NewLots;
}

Posted By: Sphin

Re: Zorro Beta 1.43 - 04/20/16 14:27

Thanks!