Z8 Questions

Hi altogether, i am testing the Z8 system after having read about it in Financial Hacker about it. With the second month i have two questions und would be happy to receive answers from the community:
1. After running the system on the first trading day of the month, a box opens with the new dispositions. If i don't see last months positions, does this mean they remain open until a new message occurs?
2. While running the system there is a line in the protocol which says "Error 062: Can't open Z8.par (rt:2)" What does this mean? I can't find this file in the system.

Best, Tele

You must see the current open positions, as well as the new positions on the box. The occasional "Z8.par" message is a leftover from a test and can be ignored.

Is there a way to use the Z8 system without having an IB account? The system relies on daily bar data from the yahoo finance website. Isn't this historical data all it needs to determine the contract size of the selected assets, so one would be able to place an order with a preferred broker and without the need for a data subscription? That would be helpful and reduce the threshold for using this risk conservative and hence attractive system.

I noticed that my previous message in this thread has been partially addressed elsewhere. There, jcl pointed out that it is possible to have a demo account with IB without having a real account. I can confirm that. I tested whether zorro would connect to the demo account and it does (do not forget to install the IB gateway and to change the TWS API settings under edit/global configuration/API settings by changing the socket port to 4002 and enabling ActiveX and Socket clients - the error messages in zorro point to these two possible problems). Unfortunately, markets are closed and I can't be sure if actually z8 would be able to spit out the contract size for each of the assets as I get two errors: <asset> unavailable at this time and !Requested market data is not subscribed. We will see on monday. I am mainly concerned about the second warning as with just a demo account a data subscription is of course not possible.

Unfortunately with just the demo account it seems not possible to get the Z8 system running.

Here are the tyical error messages:
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
Error 053: XLV unavailable at this time
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
Error 053: XLY unavailable at this time
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
!Requested market data is not subscribed.Error&BEST/STK/Top&BEST/STK/Top
Error 053: XRT unavailable at this time
NY time 12:45
No bars generated
Logout.. ok

Apparently ETFs are not available in the demo account. So you need indeed a real account. Alternatively, you could use the code from Financial Hacker that needs no broker connection at all.

Even with a real account Z8 reports the Error 053. Maybe the yahoo source page is not available?

Edit: Seems to work with 1.50.5, at least the bars were read.

You can not trade and get no prices from IB when the market is closed. This is indicated with error 053. Yahoo is open all day, but the NY stock exchange is not.

But now (15:48 Germany, 09:48 NY) it is and I'm still getting error 053.

Error 053: XLB unavailable at this time
Error 053: XLF unavailable at this time
Error 053: XLI unavailable at this time
Error 053: XLK unavailable at this time
Error 053: XLP unavailable at this time
Error 053: XLU unavailable at this time
Error 053: XLV unavailable at this time
Error 053: XLY unavailable at this time
Error 053: XRT unavailable at this time
NY time 09:48
No bars generated
Logout.. ok

Have you subscribed them?

No I didn't, how is that possible in FXCM? IS it even possible or do I need an IB?

Is it possible to use longer backtest period than the default? (which is 2011-2016)

Yes, when you use different assets. From the Z8 ETFs some don't go back beyond 2011.

Thank you for your answer. I assume that I have to modify positions in the box(picture). The other positions in the portfolio remain open until they appear in the box. Right?
Kind regards.
https://s14.postimg.org/ql5qhrqvl/Z8_2016_11.jpg

Yes, only changed positions appear in the box.

How would Z8 system behave during a financial crisis like in 2008?

Not at all, since many of the Z8 ETFs did not exist yet back in 2008.

But if the crisis happened today, it would of course affect Z8 in some way since it's a long-only system.

Hi. you say that Z8 is an improved version of the MVO system described on Financial Hacker. Can i please ask what the improvement is?

AFAIK, connection to IB and optimized positions on the effective frontier.

So i guess Z8 uses the max Sharp ratio portfolio on the efficient frontier?

No, I think it does not use the max Sharpe, but some lower value determined by the developer, something between max Sharpe and minimum variance.

The Z8 Assets file uses Assets with a Leverage value of 4. Now by googling I found conflicting information about the actual leverage/buying power that IB offers for a RegT Margin account.

It seems like its not 4:1 but rater 2:1 for overnight positions. At least this seems to be the case in the US but im not sure.

Has anyone experience with this? What is the situation in Europe? Is it different for a Portfolio Margin Account?

Can I simply trade Z8 as is or do I have to change the values in the Assets list to reflect the correct Leverage?

It is also 4:1 in the US, as to my knowledge, but due to additional requirements, such as the special memorandum account, it can indeed be smaller under some complex circumstances.

Hi,
From what I understand in the IB web site is 2:1.

Initial Margin 25% 1 * Stock Value
Maintenance Margin Same as Initial
Reg T End of Day Initial Margin 50% * Stock Value

https://www.interactivebrokers.com.au/en/index.php?f=marginnew&p=stk
https://www.interactivebrokers.com.au/en/index.php?f=marginnew&p=overview3

Initial and maintenance margin are normally both 25%, so it's 4:1, not 2:1. But it might depend on the country.

Hi,
From my understanding is 4:1 intraday, and 2:1 End of Day.
So as Z8 doesn't close all position should be 2:1

There is this on their web site
"Reg T End of Day Initial Margin 50% * Stock Value"

At the link below:

https://www.interactivebrokers.com.au/en/index.php?f=marginnew&p=stk

And some samples margin calculations below:

https://www.interactivebrokers.com.au/en/index.php?f=marginnew&p=overview3

But yes this is the .com.au web site

I found it also on the US web site
https://www.interactivebrokers.com/en/index.php?f=marginnew&p=stk

With the new distribution when running Z8 today I received the following messages from the Z8 system:

Prelaod XLF 312 d, gap 86h
....

Is the gap something to worry about?
What is the meaning?

That is the weekend gap. You will get this message when you start a system before market close on Monday. The last 3 days are then naturally not considered for the calculation, but this is nothing to worry about with Z8.