I was interested to see how do algos of Z12 perform per asset and trade direction. (One of the reasons was a honest warning on the manual page that test results are selection biased due to using OptF from the future).

So I first modified Z.ini to disable equity curve trading by setting Phantom to 0 and then Z12.par, where I entered .100 as OptF for all assets and algos.

Then I executed a Test. And then used R to create individual equity curves from testtrades.csv.

The following script produces a bunch of png files, one per asset+algo combination, like this:

An attachemnt contains all of them, in case you don't want to run the script yourself.

Code:
trds <- read.csv("C:\\Zorro\\Log\\testtrades.csv", stringsAsFactors=TRUE)
trds$Open <- as.POSIXct(trds$Open, tz="GMT")
trds$Close <- as.POSIXct(trds$Close, tz="GMT")

#install.packages("stringi") #do it once
require(stringi)

for (i in levels(trds[,"Name"])) {
  for (j in levels(trds[,"Asset"])) {
    nice.asset.name <- stri_replace_all(str=j, replacement="-", fixed="/")
    png.file.name <- paste(sep="",i,"_",nice.asset.name,".png")
    png(file=png.file.name, width = 600, height = 800, units = "px", pointsize = 16)
    old.par <- par(mfcol=c(3,1))
    
    k <- "Long"
    idx <- trds$Name==i & trds$Asset==j & trds$Type==k
    plot(y=cumsum(trds$Profit[idx]), x=trds$Close[idx],
         pch=19, main=paste(i, j, k), ylab="Eq", xlab=""); abline(h=0)
    
    k <- "Short"
    idx <- trds$Name==i & trds$Asset==j & trds$Type==k
    plot(y=cumsum(trds$Profit[idx]), x=trds$Close[idx],
         pch=19, main=paste(i, j, k), ylab="Eq", xlab=""); abline(h=0)
    
    idx <- trds$Name==i & trds$Asset==j
    plot(y=cumsum(trds$Profit[idx]), x=trds$Close[idx],
         pch=19, main=paste(i, j   ), ylab="Eq", xlab=""); abline(h=0)

    par(old.par)    
    dev.off()
  }
}


My personal take-away so far: do take it seriously about "The equity curve above is on the optimistic side due to selection bias" on the Manual page

Attached Files
Z12_noOptF_noPhantom.zip (39 downloads)
Individual Equity Curves For Z12 Members
Last edited by webradio; 08/28/16 09:33.