Different versions - very different binary backtest results

Posted By: MaskOfZorro

Different versions - very different binary backtest results - 04/29/17 23:16

I've just tested code developed in Zorro 1.46 on Zorro S 1.54: history data is the same, code is identical. In 1.46 it has a win rate of over 60%. In 1.54 with the code unchanged it drops to below 55%, which is not even break-even on an 80% win payout.

In the results .txt, there is a difference in
1.46: Simulation mode assumed slippage 10.0 sec
1.54: Simulation mode Realistic (slippage 5.0 sec)

If I change the slippage in 1.54 to 10, I get even worse results. Changing it to 0 and I only bring the win rate up to around 57%.

What gives? Has something changed in the way Zorro backtests binaries to cause such a significant difference? Is it just default settings I'm overlooking or some significant change? I have been running this code live for a few months and been making profits from it, but now I'm not even sure what to think.
Posted By: jcl

Re: Different versions - very different binary backtest results - 04/30/17 07:14

Check the bug list when you see a different result with an old version. For binary trading with slippage simulation, use 1.54 or above. Old versions had a slippage bug that affected especially binary mode.
Posted By: MaskOfZorro

Re: Different versions - very different binary backtest results - 04/30/17 08:01

Thanks. So this "Slippage, rollover, and commission are ignored for binary trades" isn't true by default anymore? THis is why I never bothered setting slippage.
Posted By: Spirit

Re: Different versions - very different binary backtest results - 05/02/17 16:09

Binary trades have no rollover and commission but they have slippage.
Posted By: jcl

Re: Different versions - very different binary backtest results - 05/05/17 13:42

That's true, slippage is not ignored. The manual was wrong in that regard.
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