New Zorro version 1.66

A new Zorro version is available:

http://opserver.de/down/Zorro_166.exe

This version will be uploaded to the Download page when no bugs are found in the next days. Zorro 1.66 now uses Notepad++ for script editing, and has a lot of new features and improvements, as well as a new Z system. The complete list of new features can be found on http://manual.zorro-project.com/new.htm. Please test everything carefully and report any problems here!

Minor: Select new script from the drop down menu. Nothing happens.

Notepad++ can not open a new file via command line. But we'll change that so that at least the editor is opened.

- Problem with scripts located in a folder inside the strategy folder. They can't be runed from the zorro window.

- The zorro window can change the size but the script block remains fix.

- ALLCYCLES flag fails I get error window from windows as the program needs to be closed. It maybe due to my lack of RAM too.

Hi I recieve
several z7_14 to z7_19 missing.
several z3_xx missing

Training all z systems with Zorro S gives error 030
Ciao

I experienced the same issues.

Download M1 2010-2015 EURCHF instead EURUSD

Thanks for testing! A new version 1.66.1 was uploaded, with the reproducible issues fixed:

http://opserver.de/down/Zorro_166.exe

- New script: Now opens the editor
- Change Folder: Fixed.
- ALLCYCLES: No problem found, please contact Support.
- .par files missing: Now included.
- Training gives error: No problem found, please contact Support.
- Download M1: ???

Is it a bug/oversight that Z9 is available to Zorro S users only?
Seriously, the dual momentum strategy is so simple to implement that it seems a bit silly to put it behind a pay wall.

The methodology for Dual Momentum is easy to understand but to code it needs considerable skills. I think this maybe the reason for putting the Z9 in Zorro S.

Hredot: That's their business decision. If you think the strategy is simple to implement, then you can always code it yourself. Nobody can stop you.

@firecrest: I for one can't see the difficulty just from looking at it.

@AndrewAMD: Good idea! Sounds like an interesting practice project. I'll give it a try.

OK, I don't know what happened, but when I was experimenting around with the Z9 system all of a sudden it started producing the following plot:



I might have changed some Z.ini parameters or similar.
Is the above behavior a bug?

Here is the report file and log file.

I guess that depends on your changing of some Z.ini parameters or similar. - Indeed Z9 is relatively simple. Consider the fact that it's under Zorro S license an incentive to develop such a system on your own.

Just FYI the Z9 behavior is now back to being normal, and this time I definitely did not change any settings files. Looks to me like it just spontaneously decided to incinerate all virtual test money a couple times there, hahaha. xD

1.661
I am training a strategy with 13 wfo
the .par files are generated correctly with the exception of 12 par file. That is not created. No idea how to fic it, but I guess is not related with the strategy.

Ciao

1.66
I am using it for live trading, and I do not see the chart on the performance report

Hi, I have found this:
Training a strategy on EUR/USD selected in the scroll box.

The training log state:
Process -train mpCL105o -h -core 2 -a SOYBN/USD
Process -train mpCL105o -h -core 3 -a SOYBN/USD
Process -train mpCL105o -h -core 4 -a SOYBN/USD
Process -train mpCL105o -h -core 5 -a SOYBN/USD
Process -train mpCL105o -h -core 6 -a SOYBN/USD

SOYBN/USD is the first Asset in the asset loop. I guess it should be ... -a EUR/USD. Am I right?

Thank you for sharing the New Download link for version 1.66.
Is it possible to include header and DLLs with C-Lite that include other functions and libraries?

Yes, this is described under "Dlls and APIs". - To the other problems:

- No 12.par file: Maybe wrong setup or gaps in the history? If you can't find and fix it on your own, please send that script to support, they'll look into it.

- No chart: the chart is only displayed when you got trades.

- SOYBN in the asset loop but EUR/USD in the scrollbox: ???

Ok for the first point. Once Again I did not have this issue with 1.58
Many new intersting features in 1.66, but it does not seems to me very stable yet.

I had problems with the oanda broker too. Posted in the proper section

I have trades. Closed and opened. Am I the only one who does not get a chart in the htm report?

I don't know, but when you look in the web folder, is there a .png image with recent time stamp? When you open the HTML source of the status page, do you see a <img src="... tag in the middle of the source?

There is none <img src=" on it

Ok, then the image is really not created. Can you post that script, or send it to support(at)opgroup.de? They'll look into it.

ok I will send to support

Congratulations on the new release. Looking forward to the c++ integration in future versions.

Not sure if this is specifically related to 1.66, but I have not seen it in previous versions. When training WFO for a strategy, I'm getting results like in the attached image. Basically it gives 0.00 as PR even though there are trades happening. Parameters are generated though and there is no problem running a test using the generated parameters.

Maybe the profit factors are less than 0.01, but that would be strange. I'd like to have a look at that script. Can you post it or send it to Support?

A new version 1.66.3 was uploaded, with the 2 reported problems supposedly fixed:

- Sometimes the chart was not displayed on the status page
- Sometimes the same trade was listed twice in the trade list.

http://opserver.de/down/Zorro_166.exe

OK, will send to support

I just installed this version and I can't change the strategy folder
My folder is outside the Zorro folder.
When I choose the file, the folder field is left blank.

Thanks, but we can not confirm this problem. Do you have some special characters in the path name? If not, can you post here the Zorro path and the new folder path?

I downloaded zorro 1.66.3. The zorro panel can no longer be resized. With the initial 1.66 version I was able to use this feature??!

1.66 was officially released some days ago, the latest version is 1.66.4. Make sure that you got that version. The link is http://opserver.de/down/Zorro_setup.exe.

It was a very poor decision to add VOO to the asset list in Z9 system, for two reasons:

1) It is in perfect correlation with XLI so it does not bring anything new to the table in terms of diversification.
2) Its data starts in 2010, pushing the backtest entirely into our most recent bullysh period. But who cares about investing strategy performance tests during a time of record growth?

A much better change would have been to keep the old asset selection with data starting in 2007 and showing how the Z9 system performs at the end of the last big market crash. Would have been much more convincing that the strategy works well! Or, maybe this was done on purpose to hide some weaknesses of Z9 and people need to be scared of using it as a consequence?

Hello,

My upgrade to 1.66.4 does not appear to be resuming open trades. Here is the timeline ...

1) I upgraded from 1.58 to 1.66.4, and the trades did not appear to be resumed.
2) Then I upgraded from 1.58 to 1.60 and they did appear to be resumed (maybe can only upgrade one version).
3) So I upgraded from 1.60 to 1.66.4 and again they did not appear to be resumed.
4) Fell back to 1.60.

The 1.60 message window output clearly states the trades have been resumed, whereas the 1.66.4 output does not.

Regards,

Curtis Smith

How to resume trades is described under "Trading". Trades are stored in a .trd file in the Data folder, so they are not resumed when you delete that file.

I fully agree with HRedot that there is value to making sure that existing customers as well as potential new customers are offered the opportunity to convince themselves using the default asset list or a personally compiled asset
list going even further back in history about the viability of the strategy across at least one or a more complete economic cycle.

As a matter of fact, the zorro founders persistenly stress the importance of backtesting over a sufficiently large period. It is against their own advice to not offer the opportunity to backtest before 2009 on the Z strategies. This is indeed a bit disappointing and certainly raises suspicion for those with a critical mind.

On top of it all, it would be relatively straightforward to implement a slider that allows the user to adjust the total length of the testing period. The fact that this hasn't been done indeed suggests that the period prior to 2009 suffers from a bigger drawdown. What is the point in hiding this and trying to embellish a strategy?

I haven't made the Z9 asset list, but believe VOO replaced SPY due to lower cost. Aside from that, the argument about going back in history as far as possible is entirely correct, especially for Z8 and Z9. I'll check if we can use different assets in the next update that go back further.

The main issue is not the selected asset list. We can change this at will already and that is great. The crux is that we can not set StartDate. It is the only thing those who have aspirations to become a decent trader desire and need.

The backtest start date cannot be changed for WFO trained strategies, but it could for Z8 and Z9. We will probably add a variable for this in the ini file in a future version.

@JCL

I think there is an uncomfortable beaviour that I think this summer it was not present ( now I' not remember with version I used, but I am pretty sure that it worked ... )

Now in the post :

http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=468282&page=2

I have described the problem, if in the script I use the command:
assetList("History\AssetsZ9.csv");

Then the variables:

Commission
Spread
RollLong

are read from the file "AssetsZ9.csv"

For me it is very uncomfortable because I want implement a commision in percentage of asset's value purchased (as is my commission plan of my broker)
For these goal I want use :

var ComPer=0.1;
Commission= Lots*(priceClose(0)*(ComPer/100));

Thanks

Thank you for considering the addition of a backtesting period variable in Z.ini valid for Z8 and Z9.

I'm experiencing issues with the Equity plot showed when pressing "Result" when also using plotTradeProfile(). When plotTradeProfile is used, the equity curve produced covers a very short time period, like if I had set PlotBars = 100 or similar.

The attached image shows two plots.
They are both produced by pressing the "Result" button, and the ONLY difference between the runs of the script is that for the bottom one, I've commented out

Plotbars is not used in this script at all

kmerlo: You can set any commission that you want. Make sure that you set it _after_ selecting the asset for which it is intended.

Dalla: Histograms are plotted without hitting Result. It seems Result plots then a chart, but with the length of the histogram, which makes indeed not much sense. I've noted to plot either nothing in that case, or something more useful.

Yeah, this has worked perfectly fine before 1.66. That is, histogram was plotted first, without hitting result. Then the full equity curve was plotted when hitting Result.

Ok, we'll reinstate that behavior with the next version.

There was a Z12.trd file in the directory, but I have only been running Z2 recently. I made a decision to copy this file to Z2.trd, and see what happens. I restarted 1.66.4, and the trades appear to be resumed.

I really want to download it. But I clicked it and go there it doesn't work. 404-Page not found is repeating. I tried several things to solve the problem. But they didn't work. How could I do for now one? I can't even start now.

This is the download link :

http://opserver.de/down/Zorro_setup.exe

Thank you very much. I appreciate it

Setting security = 1 in Zorro.ini the login is denied with "wrong username or password" because Zorro does not store the password, not even for one login. The password field is cleared immediately after the "Trade" button is clicked. Is this intended, maybe for testing only installations?

Not sure if this is an issue with version 1.66 or in general:

When I test a strategy that loads the AssetsZ9.csv, setting e.g. EndDate=2015; does not stop the simulation. The simulation always goes up to the very last available date, regardless of which year I select. Is this a bug? Or maybe I am doing something wrong?

The security bug is confirmed. Apparently, no one has used this ini setting so far. As to the EndDate, remember that it's called EndDate, not EndYear.

Yes, I am indeed referring to EndDate (don't know why you are bringing up EndYear). From the manual, for EndDate:


My guess is, since the routine downloads single files for the entire trading period, with no year number in their names, the system automatically runs to the end of data ignoring the EndDate command. That is a rather crude behavior! Don't you agree?

EDIT:

Just tried to give it an exact date, like 20140101 instead of just 2014, and it worked! Still, I feel like 2014 should default to 20140101 when price data files have no year labels. Otherwise it is kind of confusing.

i think its more flexible if 2014 means until the END of 2014. If u take the actual year for example and u say "EndDate = 2017;" and ur strategy trades from date X until NOW - then its more comfortable (as it wud have been, if 2017 wud stop at 2017.01.01). So u wud prefer to use "EndDate = 2018;" in that case? i rather think so, cause it wud be "kind of confusing"

Sure, end of year would be fine, too. Whatever the convention, one could quickly figure out which entry to give, if only the end date would register. The confusing part right now is that an EndDate command is given but absolutely nothing is affected. A command that is not wrong should definitely default to some more sensible behavior than "ignore the command".

I tried using v 1.66.5 with my IG plugin.
When using TradeTest and setting "Auto On", it continuously attempts to call BrokerSubscribe with asset "MKT Order" .

This of course fails. I have not seen this behavior before. Bug?

Indeed. Please edit line 151 and change the 3 to 4:

asset(panelGet(4,0));

Shouldn't this work since 1.58? Get this error in both, 1.58 and 1.66.

No, but you can easily add it for 1.66 in variables.h:

#define setf(mode,flag) mode |= (flag)

Thanks! I'm a bit confused, which version supports it officially? In What's New @1.58: "Various plot flags can be set with the PlotMode variable" with a link to the PlotMode-Page where I found the code that produced the error. At later versions I couldn't find a hint but maybe I missed it.

Generally, the manual that you get by clicking the Help button is for your version, while the online manual here in the forum is for the newest beta version. PlotMode is old, setf() is new.

STEPWISE doesent work any more. No move, No chart updating.
HELP text:(A click on [Step] moves one bar forward. [Skip] moves to the next opening or closing a position. The current chart and trade status will be displayed on every step in a browser window.)

I wonder what the criteria are that are used to select Z9 assets?
There are about 25*85 = 2125 different etfs listed on etfdb.com
Do you take a 2125x2125 correlation matrix and determine the set of 9 least correlated ones?
Or do you apply some other criteria?

STEPWISE does not work anymore: Please contact Support and send them that script. They'll help.

Z9 Assets: They were selected by the suggestions in Antonacci's book and by their fees. Some bonds, some sectors, some non-USA indexes, and normally the cheapest when different ETFs were available. For some reason, many Z9 users so far did not like our selection and replaced it with their own.

The same Script works in all Version before.Why need Support my Script??

They do not need it. They get paid anyway, with or without looking into that problem.

If your trade system is a big secret, you can request an NDA before sending it. Or you can remove the secret trading algo, but leave enough in your script so that the problem is still reproducible.

OK, My big secret trade system. funny, funny, funny
Sample Code Martingale.c from Strategy Folder with STEPWISE

^

Can somebody confirm this problem ?

OK I will switch back to Version 1.60 !

Your example script was just code that you copied from the Zorro manual. So, no, I can not confirm a STEPWISE problem. But you can anytime contact Support and explain the problem and its circumstances in detail. If they can reproduce it, they can also tell you the reason.

Do not wildly change back to old versions in hope that this will fix it. Something that does not work under 1.66 will most likely not work either under 1.70, 1.80, or 1.90. You should find the reason of the problem, or let Support find it.

In trade mode the chart on the trade status page always ends after a few bars and is not continued (1.66.5). I tried this on several platforms with different strategies but I can't imagine that no one else should have faced this problema already.

I do

Yes, the bug list mentions a problem with image refresh. Please check out the latest version, I believe 1.72.6.

With Beta 1.72.6 STEPWISE works now

Using Zorro latest version with a fresh install and workshop 5 as-is, I'm not getting the bar graphics. I mean, I just load the workshop 5 script, click in train, and (If I understood fine the tutorial) three bar graphics should appear, but they don't.

Then, I click in Test, and a graphic appears correctly with the Equity, and the graphics Filtered and Signal. I also tried to get the bar graphics clicking in Result (without luck)

Should I add some extra code to the workshop script to get those bar graphics? am I doing something wrong or may be this is a bug?

EDIT: This is very strange, Workshop6 works perfectly and after Train, my browser opens and shows the bar graphics :?

You must set the LOGFILE flag for producing the histograms. This was forgotten in the tutorial.

That did the trick, thanks jcl!

Is there a reason why Z9 uses leverage = 2 instead of e.g. = 10 ? Is the amount of leverage predetermined by broker / etf or is it really a variable one can set?

@Hredot I guess that leverage=10 in a long-term strategy would be more-or-less suicidal There is a very interesting paper ("Leverage for the long run", https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701) that talks about that, 1.5x or 2x is ok, but even using 3x seems very dangerous in drawdowns.

(Anyway, indeed would be interesting to be able to set the leverage in Z9, the only Z strategy that I'm confident to run with real money..)

IB has leverage 4 but I know no broker with leverage 10 for etfs

Interesting! Actually, the leverage flag is set in AssetsZ9.csv, so one can at least back-test Z9 with any amount of leveraging. I tried x6 and the shape of the equity curve just got multiplied (got congruently higher), which suggests that higher leverage is fine with it!

With IB, does one set the AssetsZ9.csv flag to 4 and that automatically performs all trades leveraged 4 times, or does one have to set this property somehow on the broker platform?

In the test log, all strategies with daily bars submit all trades at midnight 00:00:00. Is it possible to somehow shift this time to e.g. 10am in Zorro?

hos to i install the beta version as i'm keen to fix the step wise issue ?

do Simply copy beta files into existing zero folders ?

@matty019:

I'm suspecting that it is futile to ask, since the devs and mods here only tend to help people who bought a Zorro S license.

Sensible people however only invest in something that actually works in their hands. So helping them figure out their issues would directly increase Zorro S sales as a result. Alas, the mods and devs do not seem to realize that. Or they just don't care about selling more Zorro S licenses, since Zorro is sponsored anyways.

I always copy the beta version in a new folder, not the existing Zorro folder, so I have still the old version if the beta version does not work.

Hi
Is there no command help in the Notepad script editor?
If not, is it possible to continue using SED with Zorro1.66?

Take a look at http://zorro-project.com/manual/en/npp.htm concerning notepad++. SED works on if I copied SED.exe, cKeywords.db, dagocmd.db, Keywords.db from a previous version to the root directory of Zorro and changed zorro.ini accordingly. The downside of course: the keyword database won't be adjusted to new commands and represents only the status of the version were copied from.

Thank you @Sphin. I really need the command help, so I'll keep using SED.

In notepad++ if you postion on a zorro keyword and press <ctrl>+F1 you will be directed to the help page. way better and more uptodate than the command help imho.

There is a no match between Notepad and SED

Ciao

Does Z9 make use of optimalF or similar to determine the weight of each asset, apart from considering its momentum?

Hi, I dont think Z9 make use of optimalF. See post below.
http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=469615#Post469615

I see, thank you firecrest!