Hi. I am testing a trading system that performed fairly well with Zorro 1.46. With and without setting the TICK flag, Profit factor, Sharpe ratio, R2 coeff., Ulcer index and Cycle performance were all in a good range. Even with parameters that deviated quite a bit from their optimum the system appeared robust for the whole test period, although less profitable.

Now, after updating to Zorro 1.51 the system performance is entirely gone. It's almost as if I am trading a different system. The trades of both versions are hardly comparable anymore. Is it because of the changed data formate from .bar to .t6?

What might be the reason for such a drastic decline? Maybe my system was futile from the beginning but how can I know that the current test results with the new data formate are any more reliable than the old ones?

See the "Updating" remarks under "What's New". If your script is scalping and exploits tiny intrabar price changes, you should set the EXTRADATA flag. Otherwise the bar open and close prices are simulated only.

Thank you. You are right it's all there. I am using tight stop losses and the missing EXTRADATA flag was the problem.

Wow, seems like it was the source of my problem too. My BarPeriod is 60 and I use only SMA of close prices with period 5 for entries. Without EXTRADATA flag I got AR 41% and SR 0.46, with the flag I get AR 72% and SR 0.75. I guess I'll use the flag as default.

I just asked for this in another thread and was told that the difference should be marginal. If it is not, there could be a large randomness in the strategy. I face this problem even on daily bars and I'm not quite sure how to handle it.

Don't know which thread it is so I'll continue in this one...

I don't think there's much randomness in the strategy I'm testing. It's a simple mean reversion strategy based on SMA and hourly data. It makes hundreds of trades per year so some minor differences should be lost in the large sample.

It's this one (you can check it and judge for yourself):

http://people.brandeis.edu/~blebaron/wps/fxnyc.pdf

If anyone's interested I can paste the code too.

It was not my opinion but jcl's. For me it's more interessting what comes closer to reality. If a strategy includes calculations based on open and close prices of a bar and without EXTRADATA both are simulated I guess setting this flag includes the real prices - so I think setting this flag might be more realistic in this case. But maybe I didn't understand it, as said, I'm not sure.

I know - I hope he'll read it here eventually

And I agree with the rest you wrote - seems like with the flag the results should be more realistic. Because of that I would prefer if it was default (implicit). IMHO this new feature has potential to cause lot of confusion in the future (and among new users).

You have a point in making that flag default. Maybe we'll do that in the next update. We found not much difference with the workshops and Z systems, but it might be different with other systems.

I use range bars and was not aware aware that I need EXTRADATA flag to rely on precise closing prices. My entries did act "wacky" without the flag. I will test it with the flag now.