MT4 vs Zorro

Hi everyone. Im just new here and to Zorro. Now what I did was to compare 2 strategies to Zorro and Mt4. I picked the donchian channel breakout system or turtle trading for easy programming. Its a simple program to buy at New High and sell at new low. Total # of trades are kept at maximum of 1, spreads same, lot = 0.01 for simplicity.

Comparing the two, %wins, total trades and PF are similar. However, there is a very significant difference in DD which worries me the most. Mt4 = $188, Zorro = $74.

I just did pure basic programming in Zorro so I might miss something. Did anyone experience signicant differences on both platforms?

Francis

Many many differences. MT4 does not calculate DD. What it calls "DD" is what Zorro calls "MAE", for difference look here: http://manual.zorro-project.com/performance.htm

MT4 indicators are also often different to other platforms, for instance ATR.

Hi Spirit i compared the Max DD mt4 ($200) to MAE ($110). Still almost twice which is significant. considering that profits are at $340 and $380, respectively (which doest not vary greatly).

The system operates as follows:
0.01 lots per trade
max 1 trade at any given time
daily bars used
stoploss = atr*2
ATR is 20 periods
buy at HH,
short at LL
spread is 5
Date tested: 2005-2015.

Even if there are other differences, i think it must not make much difference. It maybe have something to how the entry/exit prices are done(?) and tick data available(?).

1. how is the atr different?
2. and wondering how people who experienced both use the mt4 and zorro differently, i.e. they use zorro for optimising and mt4 for getting the worst drawdown, etc. Is zorro MAE too optimistic and its much better to use Mt4 max DD?

The MT4 DD is MAE. When they are different then the trades are different, look in the log, you can see the equity and see where the MAE happens.

The MT4 calculates ATR not exponentially but with a SMA. When you use the MT4 ATR, then the problem is clear, you have different stoploss and probably higher drawdown than the same strategy in other platforms.

For serious feedback you would need to post the MT4 and Zorro script. Without, it is difficult to tell where the difference is, because no one can predict what you wrote.