EXTRADATA Issues

Posted By: trenki2

EXTRADATA Issues - 11/26/16 11:49

I tried out the EXTRADATA flag after reading the comments on this forum about it giving a more accurate simulation of open and close prices.

Unfortunately I could not find any documentation about this flag on the mode flags page (Mode Flags Documentation).

I first trained and tested the binary options code from the financial hacker block with Zorro S 1.50.6 and the history from the Zorro homepage on the EUR/USD pair:

Code:

var objective()
{
	return ((var)(NumWinLong+NumWinShort))/(NumLossLong+NumLossShort);
}


function run()
{
	//set(EXTRADATA);
	
	BarPeriod = 5;
	LookBack = 100;
	NumWFOCycles = 20;
	NumCores = -1;
	
	set(BINARY);
	WinPayout = 75;
	LossPayout = 0;

	set(PARAMETERS);
	int TimePeriod = optimize(20,10,100);
	var Threshold = 0.01*(HH(TimePeriod)-LL(TimePeriod));

	if(NumOpenLong+NumOpenShort == 0) 
	{
		LifeTime = 1;
		if(HH(TimePeriod) - priceClose() < Threshold)
			enterShort();
		else if(priceClose() - LL(TimePeriod) < Threshold)
			enterLong();
	}
}

It gives this result:

Code:

Monte Carlo Analysis... Median AR 41%
Profit 37$  MI 1$  DD 8$  Capital 17$
Trades 493  Win 61.5%  Avg +0.9p  Bars 1
AR 50%  PF 1.20  SR 0.69  UI 8%  R2 0.90

Now I uncommented the set(EXTRADATA) line and trained and tested again:

It gives now this extraordinary result:

Code:

Monte Carlo Analysis... Median AR 658%
Profit 700$  MI 13$  DD 15$  Capital 22$
Trades 4737  Win 65.6%  Avg +1.7p  Bars 1
AR 712%  PF 1.43  SR 4.54  UI 1%  R2 0.98

I have now a SR of 4.54 and suddenly 4737 trades instead of just 493!!!

Now I don't think that can be quite right. It just looks too good. Why would the number of trades change just because of this flag?

Which numbers am I supposed to trust now? What does the EXTRADATA flag really do?

Posted By: Finstratech

Re: EXTRADATA Issues - 11/26/16 15:20

Search EXTRADATA in the Help HTML document located in the main zorro folder. You will find your answers there. Well some of them.

Posted By: Sphin

Re: EXTRADATA Issues - 11/26/16 22:53

EXTRADATA is already end of life and not part of the next version 1.52 anymore. It was a trial to approximate open and close prices of a bar period through (high+low)/2 of the first and the last bar to enhance the speed of the backtest but with remarkable drawbacks of the strategies' performances. See also on What's New:

Quote:

Zorro 1.52 new features (in development)
...
The EXTRADATA flag of version 1.50 was replaced by the LEAN flag that has the opposite meaning. Historical data is now stored in noncompressed format by default.

Or in short words: use EXTRADATA always to receive accurate results.

Posted By: jcl

Re: EXTRADATA Issues - 11/28/16 07:10

It is not always needed, but in more situations than we thought, like with short term scalping. That's why it will be removed in the next version. When you use it, also set Slippage to 0 or a negative value, since that's the situations where the slippage simulation bug can also affect the result.

Posted By: trenki2

Re: EXTRADATA Issues - 11/28/16 07:53

Thanks for the hint about Slippage. When i set Slippage = 0 i get a completely different result. Now the strategy is not profitable:

Code:

Monte Carlo Analysis... Median AR 4%
Profit 7$  MI 0$  DD 93$  Capital 87$
Trades 4737  Win 57.2%  Avg +0.0p  Bars 1
AR 2%  PF 1.00  SR 0.05  UI 46%  R2 0.00