Z12 V1.20 experience so far matches yours?

Hi jcl.

Sort of a follow-on to my how's Z3 doing question of a few days ago...

I've been running Z12 on V1.20 since around mid-December. Over that 1.5 to 2 months, the most $ has been lost on AUD/USD, GER30 (all losing trades ), and US30 (in that order). The biggest winners have been USD/JPY, USD/CHF, and EUR/CHF (all winning trades! ).

From an Algo perspective, the biggest losers have been LP, BB, and LS; the winners have been CT, (blank), and HP.

Long winners and Long losers have netted to within ~2%. Shorts have determined the strategy's performance (which is not at all on a pace that will make 300% ).

Does that match your Z12 experience over the same time period?

Thanks.

Yes, USD/CHF fared best and GER30 worst. Unless the settings are changed, all Z12 systems will get not exactly the same, but similar results.

Hope to see some similar results in Z12 backtest soon. At the moment Z12 is killing my account in a straight line down. When US opens the market will change.

Actually, for me USD/JPY was best and AUD/USD was worst - your #1's were my #2's. And not even close - big gaps between #1 & #2. Could I have the wrong .par file or something?

Have your algos & long/short been like mine?

On the other subject, has Z3 caught any love lately?!

Thanks.

I have no Z3 running. Z5 performs as it should. Little but steadily profits.

This is the content of my Z12.par file. (There are also other Z12_x.par files.)

EUR/USD:BB 35.6 0.648 0.609 2.68 8.91 0.796=> 1.100
EUR/USD:CT 0.890 0.692 0.608 6.93 6.74 0.796=> 1.018
EUR/USD:CY 0.367 0.298 0.608 6.94 8.91 0.796=> 0.984
EUR/USD:HP 0.243 0.298 2.31 2.95 8.92 0.730=> 1.159
EUR/USD:VO 2.10 36.9 2.00 43.9 0.250 0.609=> 0.957
EUR/USD:LP 2.16 3.72 17.1=> 1.100
EUR/USD:HU 17.2 8.93 4.10=> 1.981
EUR/USD:ES 1.965 3.07 0.134 0.237 0.803=> 1.095
EUR/USD:EA 2.16 2.54 0.810=> 0.809
EUR/USD:LS 2.16 4.46 0.261 0.196 0.803=> 1.124
USD/CHF:BB 509 1.685 0.891 3.56 8.92 0.730=> 1.268
USD/CHF:CT 0.605 0.692 1.305 6.92 8.92 0.796=> 1.058
USD/CHF:CY 0.304 0.400 0.608 6.93 8.91 0.796=> 1.070
USD/CHF:HP 0.223 0.401 1.737 6.92 8.92 0.796=> 1.353
USD/CHF:VO +4.53 36.5 2.86 43.7 0.299 0.609=> 5.312
USD/CHF:LP 1.337 1.911 4.10=> 1.459
USD/CHF:HU 7.28 1.216 0.980=> 1.497
USD/CHF:ES 1.206 4.10 0.134 0.216 0.803=> 1.104
USD/CHF:EA 1.209 2.10 8.78=> 1.298
USD/CHF:LS 1.337 2.80 0.196 0.196 0.608=> 1.363
GBP/USD:BB 292 0.485 2.10 2.43 8.91 0.796=> 1.003
GBP/USD:CT 0.602 0.999 4.09 3.24 8.91 0.730=> 0.905
GBP/USD:CY 0.335 0.803 4.09 2.43 8.92 0.730=> 0.989
GBP/USD:HP 0.431 0.296 4.09 2.43 8.92 0.730=> 1.058
GBP/USD:VO 2.87 110 1.822 43.8 0.251 17.0=> 0.897
GBP/USD:LP 1.217 4.09 7.25=> 1.213
GBP/USD:HU 7.29 2.87 4.10=> 1.448
GBP/USD:ES 6.77 2.54 0.894 1.451 0.609=> 0.918
GBP/USD:EA 1.217 1.911 3.38=> 0.875
GBP/USD:LS 1.217 4.47 0.134 0.347 0.608=> 1.199
USD/CAD:BB 111 1.851 3.08 6.93 8.92 0.730=> 1.119
USD/CAD:CT 1.716 0.898 1.736 2.67 3.46 0.796=> 1.143
USD/CAD:CY 1.402 1.004 0.608 6.93 8.92 0.796=> 0.626
USD/CAD:HP 1.486 0.451 0.609 3.24 8.91 0.796=> 1.172
USD/CAD:VO 2.79 36.5 2.01 44.0 0.401 0.609=> 1.034
USD/CAD:LP 1.341 1.433 17.1=> 1.217
USD/CAD:HU 17.4 8.97 6.59=> 1.596
USD/CAD:ES 1.219 4.09 0.892 1.743 0.802=> 1.090
USD/CAD:EA 1.337 1.435 17.1=> 1.214
USD/CAD:LS 1.341 1.435 0.677 0.196 0.670=> 1.192
USD/JPY:BB 199 0.592 0.608 6.30 2.36 0.796=> 1.499
USD/JPY:CT 0.739 1.002 1.738 6.96 8.91 0.797=> 1.364
USD/JPY:CY 0.591 0.999 0.609 4.31 8.90 0.730=> 1.831
USD/JPY:HP 0.764 0.501 1.910 3.24 8.92 0.796=> 1.434
USD/JPY:VO 2.91 110 1.820 44.1 0.403 0.609=> 0.993
USD/JPY:LP 1.207 1.435 4.10=> 1.164
USD/JPY:HU 7.26 8.92 1.736=> 1.327
USD/JPY:ES 1.211 2.55 0.615 0.261 0.803=> 0.936
USD/JPY:EA 9.05 2.31 6.61=> 1.058
USD/JPY:LS 1.207 3.72 0.216 0.347 0.802=> 0.992
AUD/USD:BB 24.4 2.50 0.669 6.99 3.46 0.730=> 1.362
AUD/USD:CT 1.312 1.006 0.608 4.74 8.90 0.796=> 0.893
AUD/USD:CY 1.272 0.699 3.08 2.43 8.92 0.730=> 1.221
AUD/USD:HP 1.356 0.550 0.608 6.98 7.42 0.796=> 1.178
AUD/USD:VO +1.577 109 2.21 44.0 0.400 0.609=> 0.949
AUD/USD:LP 1.341 1.736 0.980=> 1.474
AUD/USD:HU 7.24 1.623 17.1=> 1.156
AUD/USD:ES 1.470 4.47 0.122 0.196 0.805=> 1.338
AUD/USD:EA 1.343 1.579 2.10=> 1.221
AUD/USD:LS 1.341 4.46 0.178 0.287 0.803=> 1.298
NAS100:BB 32.4 2.90 1.078 6.36 4.60 0.730=> 3.498
NAS100:CT 1.438 0.695 0.607 4.74 3.81 0.730=> 1.249
NAS100:CY 0.300 0.299 0.609 6.93 8.92 0.796=> 1.012
NAS100:HP 0.242 0.946 0.557 6.91 8.92 0.730=> 1.880
NAS100:VO 2.08 110 1.815 63.6 0.401 0.609=> 0.999
NAS100:LP 1.211 0.606 17.1=> 0.963
NAS100:HU 9.69 8.94 6.60=> 1.187
NAS100:ES 4.22 2.31 0.559 0.287 0.608=> 1.199
NAS100:EA 3.45 0.889 17.0=> 1.246
NAS100:LS 1.211 1.911 0.893 1.744 0.737=> 0.988
SPX500:BB 47.5 2.47 0.606 6.98 8.92 0.730=> 2.694
SPX500:CT 0.604 0.800 0.670 6.94 8.91 0.730=> 1.392
SPX500:CY 0.304 0.291 4.09 6.90 8.92 0.796=> 1.140
SPX500:HP 0.324 0.948 +0.525 6.98 1.467 0.730=> 2.321
SPX500:VO 2.91 36.8 2.43 43.9 0.301 0.609=> 1.087
SPX500:LP 1.470 0.607 17.1=> 1.301
SPX500:HU 8.03 8.92 2.10=> 1.154
SPX500:ES 1.215 2.54 0.382 0.382 0.803=> 1.090
SPX500:EA 5.04 1.576 17.0=> 1.326
SPX500:LS 1.470 1.908 0.134 1.199 0.803=> 1.363
US30:BB 47.5 3.51 0.609 6.31 1.466 0.730=> 122.642
US30:CT 0.739 0.696 4.09 6.93 8.92 0.796=> 1.218
US30:CY 0.303 0.701 0.608 6.92 8.90 0.796=> 1.290
US30:HP 0.324 0.401 1.910 6.93 8.92 0.796=> 1.478
US30:VO +1.548 76.3 1.818 226 0.401 17.0=> 0.960
US30:LP 1.340 3.72 6.59=> 0.972
US30:HU 10.7 5.59 17.1=> 1.242
US30:ES 5.06 1.306 0.196 1.742 0.802=> 1.637
US30:EA 5.06 0.980 17.1=> 1.689
US30:LS 1.340 1.911 0.122 1.744 0.802=> 0.958
GER30:BB 24.1 0.648 0.607 6.91 8.91 0.730=> 1.686
GER30:CT 0.888 1.597 0.607 6.92 2.16 0.796=> 1.501
GER30:CY 0.492 0.503 0.605 6.92 8.91 0.796=> 1.733
GER30:HP 1.019 0.929 2.10 2.43 8.92 0.730=> 0.088
GER30:VO 2.93 52.9 2.01 44.0 0.299 17.1=> 0.966
GER30:LP 8.99 0.890 2.79=> 2.544
GER30:HU 12.9 8.92 1.078=> 1.972
GER30:ES 3.81 0.981 0.147 0.196 0.608=> 2.078
GER30:EA 3.83 0.605 7.25=> 2.332
GER30:LS 8.99 0.892 0.121 0.134 0.803=> 1.902
USOil:BB 32.5 1.148 0.608 6.94 8.91 0.796=> 1.114
USOil:CT 0.608 0.679 0.608 6.92 8.91 0.796=> 0.958
USOil:CY 0.404 0.398 0.609 3.92 8.92 0.730=> 1.384
USOil:HP 0.431 0.299 0.737 6.92 8.91 0.730=> 1.396
USOil:VO 3.12 36.8 2.66 53.3 0.399 0.609=> 2.281
USOil:LP 1.780 0.891 17.1=> 0.953
USOil:HU 17.2 5.59 14.1=> 0.898
USOil:ES 3.82 1.737 0.677 0.462 0.736=> 1.331
USOil:EA 1.340 1.737 17.1=> 0.997
USOil:LS 1.780 1.738 0.894 0.819 0.736=> 1.185
UK100:BB 26.5 2.50 0.560 6.97 1.466 0.730=> 25.726
UK100:CT 1.188 0.686 4.09 2.43 8.90 0.796=> 1.229
UK100:CY 1.149 0.291 0.609 5.22 8.92 0.796=> 1.132
UK100:HP +0.204 0.698 0.609 3.92 8.92 0.730=> 3.186
UK100:VO 2.86 109 1.823 226 0.301 0.609=> 1.000
UK100:LP 2.61 0.809 0.737=> 1.594
UK100:HU 17.1 8.94 0.609=> 1.495
UK100:ES 1.208 1.079 0.420 0.509 0.802=> 0.959
UK100:EA 1.214 0.891 1.078=> 1.055
UK100:LS 2.61 0.889 0.316 0.196 0.609=> 1.012
XAU/USD:BB 111 2.01 1.910 3.24 8.92 0.730=> 1.400
XAU/USD:CT 0.892 0.682 1.911 2.95 8.91 0.796=> 0.918
XAU/USD:CY 0.334 0.290 4.09 2.94 8.92 0.730=> 1.599
XAU/USD:HP 0.392 0.291 4.09 6.94 8.92 0.730=> 1.251
XAU/USD:VO +4.46 113 2.85 228 0.250 0.609=> 128.195
XAU/USD:LP 1.958 2.31 0.980=> 1.729
XAU/USD:HU 7.23 1.471 8.78=> 1.817
XAU/USD:ES 1.215 4.10 0.316 0.196 0.670=> 1.428
XAU/USD:EA 1.796 2.55 1.305=> 1.874
XAU/USD:LS 1.958 3.38 0.237 0.382 0.735=> 1.480
XAG/USD:BB 424 2.25 0.607 5.76 4.19 0.797=> 1.097
XAG/USD:CT 0.601 0.698 1.186 2.68 8.91 0.730=> 1.306
XAG/USD:CY 0.367 0.807 4.09 2.43 8.91 0.796=> 2.248
XAG/USD:HP 0.268 0.299 1.435 6.98 8.92 0.796=> 1.276
XAG/USD:VO 3.03 44.2 2.67 44.0 0.248 0.609=> 1.847
XAG/USD:LP 4.61 4.09 1.912=> 1.519
XAG/USD:HU 8.82 8.92 0.609=> 1.516
XAG/USD:ES 2.16 2.31 0.178 0.178 0.670=> 1.352
XAG/USD:EA 1.469 2.54 10.6=> 1.232
XAG/USD:LS 4.61 4.10 0.122 0.559 0.736=> 1.379


Can you chekc if you have the same?

Hi Sundance. Yes, my Z12.par is the same.

Hopefully jcl can help explain the differences... F.i., my AUD/USD has lost almost 50% more than GER30...

And tantalize us with how wonderfully Z3's doing!

@jcl. Can you confirm the following trades. Does your running Z12 took nearly the same trades?

Thanks in advance

02.04.2014 00:02 02.04.2014 08:02 USDCHF Sell
02.04.2014 00:02 02.04.2014 08:02 AUDUSD Sell
02.03.2014 12:02 02.04.2014 00:02 AUDUSD Buy
02.03.2014 12:03 02.04.2014 00:02 AUDUSD Buy
02.03.2014 12:02 02.03.2014 20:02 AUDUSD Buy
02.03.2014 04:02 02.03.2014 16:22 EURUSD Sell
02.03.2014 00:02 02.03.2014 16:20 EURUSD Sell
01.31.2014 12:02 02.02.2014 22:00 AUDUSD Sell
01.31.2014 00:02 01.31.2014 13:38 NAS100 Buy
01.30.2014 20:02 01.31.2014 12:02 AUDUSD Buy
01.30.2014 20:02 01.31.2014 11:29 AUDUSD Buy
01.28.2014 20:02 01.31.2014 00:18 USDCAD Buy
01.29.2014 16:02 01.30.2014 20:02 AUDUSD Sell
01.27.2014 12:02 01.30.2014 08:02 GBPUSD Buy
01.29.2014 04:03 01.29.2014 16:02 AUDUSD Buy
01.23.2014 16:02 01.29.2014 13:15 EURUSD Buy
01.29.2014 04:02 01.29.2014 11:39 AUDUSD Buy
01.27.2014 08:02 01.29.2014 09:11 USDJPY Buy
01.24.2014 16:02 01.29.2014 08:02 USDJPY Buy
01.29.2014 04:02 01.29.2014 08:02 AUDUSD Buy
01.28.2014 20:02 01.29.2014 04:02 AUDUSD Sell
01.24.2014 00:02 01.29.2014 04:02 USDCHF Buy
01.28.2014 12:02 01.28.2014 20:02 AUDUSD Buy
01.28.2014 12:02 01.28.2014 20:02 AUDUSD Buy
01.23.2014 00:02 01.28.2014 12:02 AUDUSD Sell
01.24.2014 04:02 01.24.2014 12:42 NAS100 Buy
01.23.2014 12:02 01.24.2014 11:40 GER30 Buy
01.24.2014 08:02 01.24.2014 11:11 USDJPY Buy

Yes, most are the same, only entry and exit times differ. F.i. your AUDUSD short position on 01.23 was placed by my Z12 12 hours earlier.

The differences are due to a random factor in the bar sampling and small random differences in the thresholds that trigger buy/sell signals.

Thanks jcl. Good to know my Z12 is still 'right on track'. Now I can only hope that the drawdown phase comes to an end ...

I looked at the AUDUSD trade. Good for you to take it 12 hours earlier. I really thought that the random factor only would make a difference of 1 to 4 hours but not 24 hours. Puuuhhh.

Yes, I think 12 hours was the highest difference in your trade list. Most trades differed by about 4 hours.

Something occurred to me that I think is quite significant. I was comparing some charts of Daily AUDNZD from this week. There was a pin bar that occurred on Tuesday. I was looking at the MT4 chart and the Trading Station chart both from my account at FXCM Australia. I have attached them. The first thing that I noticed is that the low of the pin bar was taken out on the Trading Station chart but not the MT4 chart. The next thing that I noticed is that the bars are all a little different. I discussed this with some friends who use other brokers and there charts are also slightly different. Then it occurred to me that data feeds for non-centralised markets are much more varied than I first thought. Of course, it could be NY close time versus UTC close. But I can't find the settings and overall I am suspicious.

What does this mean for us? Z12 was optimised on data feed that jcl uses, presumably through the same API that is associated with Trading Station. Most of us have tried running Z12 either with a different broker or different platform (MT4.) Consequently the subtle differences in how the data is packaged up and delivered may have resulted in the optimasation not being as optimal as it is for jcl.

Personally, what I would like to so is get historical data from the exact feed that I would run Zorro with and optimise the Z12 with it. Then run the demo for a few months. Although I would like to do a full history optimisation, a shorter re-train for the most recent cycle would be enough.

However, I believe the test dates for the Zs are hard coded. So maybe jcl can comment please…Can I re-train Z12 with a custom data file, say just 2013 and 2014 data, and have the optimisation correct to end of data? Or will the default dates prevent me from training Z12?

EDIT: In the MT4 chart there is a Sunday bar. Ignore that for this discussion as I know Zorro can handle weekend trade. Also these screenshots were taken a couple days apart. Then last bar on the MT4 chart is not complete. So ignore it too please!

You can not compare MT4 charts to other charts. MT4 charts are based on local server time, thus the look of their candles depends on with which MT4 server the terminal is connected. The same chart can look very different in different MT4 versions.

Zorro automatically corrects this when trading through the MT4 bridge. But you can not train a system with MT4 data anyway, as it is normally not sufficient. You need a direct broker API connection to download historic prices for retraining.