Equity curve series

Posted By: nanotir

Equity curve series - 06/08/16 15:59

I have written this idea in another post but I am not sure if it was read.
As example lets say that it is 24th of may and we have two users of Z12:
User A: The trader begins to trade Z12 that 24th and all algos inside the Z12 system are activated.
User B: The trader is using Z12 since 4 months ago and currently some algos went into a DD therefore they were disable by the equity curve trading mechanism.
In this situation user A has some algos activated which should not be activated and therefore user A will have losses that should not. Ofc it is possible that user A will have wins that user B has not since these are phantom trades for him but earlier or later those algos/assets will be activated for user B so thats fine for him. It is not fine for user A if he/she clicks on the trade buttom on the wrong day.

This could explain the losses of some Zsystems users. This could explain our own losses too. The backtest ends with some algos disable but when we click trade all algos are activated.

So I find it usefull if some algos are already disable at the beginning of the live trading because this is the status they had at the end of the backtest.

That means that equity curve series should be saved somehow. I think that it would reduce the losses of the Zsystems users and increase the trust on them and on zorro of new potential users since Zsystems is like the babysteps that most of the traders use when meet zorro. But as mentioned, it would as well allow us to begin trading our strategies knowing that only the right assets/algos are able to trade.
Posted By: MatPed

Re: Equity curve series - 06/08/16 18:44

I agree. It would be helpfull
Posted By: boatman

Re: Equity curve series - 06/08/16 23:46

Actually this would be very useful, and not just for the Z systems. But as far as I know, Zorro is already capable of doing this. Simply export the equity curve from the backtest using data immediately prior to the start of live trading and use this to set up the initial trading conditions for your strategy. I guess this is difficult to do with the Z systems since we don't have source code, but this approach would work for your own systems.
Posted By: jcl

Re: Equity curve series - 06/09/16 10:57

You can either export the equity curves, or store equity trading parameters in AlgoVars that are automatically saved and loaded. But it is of limited use for Z12: When a system is retrained, the old equity curve must be reset anyway since we now have strategies with different behavior. For this reason the Z12 equity curve trading is very short-termed, even one or two losing trades can already be sufficient to temporarily disable the component.
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