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PIP and PIPCost setting issues lead to poor Z3 AR% #463448
12/04/16 03:20
12/04/16 03:20
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline OP
Junior Member
ytc  Offline OP
Junior Member

Joined: Nov 2016
Posts: 55
Taipei
Hi,
I got very different AR% results from Z3 test with zorro's default assetfix and my broker's.

The major difference between the two assetfix were the decimal position of PIP and PIPCost.(I set spread, r/o and commission of both assetfix to 0 for simpler test comparison, see attatched file)
e.g.
XAGUSD got PIP 0.01 and PIPCost 0.43547 in zorro' default assetfix
XAGUSD got PIP 0.0001 and PIPCost 0.0043547 in my broker's
These happened aomng XAGUSD, US30, NAS100 and SPX500

Another difference is the LotAmount of SPX500
It's 1 in zorro's default assetfix, but 0.1 in my broker's. So the PIPCost of SPX500 was adjusted accordingly.

The AR% with zorro's default assetfix is 100%.
The AR% with my broker's assetfix is 39%.

Why are the results so different? What can I do?
Thanks.


Attached Files 123.png
Last edited by ytc; 12/04/16 22:13.
Re: PIP and PIPCost setting issues lead to poor Z3 AR% [Re: ytc] #463450
12/04/16 21:46
12/04/16 21:46
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline
User
MatPed  Offline
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
ciao,
my suggestion is to download the assetfix from your broker using the Download script. Than test it. I see leverage and margin costs weird in your file.

Ciao

Re: PIP and PIPCost setting issues lead to poor Z3 AR% [Re: MatPed] #463451
12/04/16 22:09
12/04/16 22:09
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline OP
Junior Member
ytc  Offline OP
Junior Member

Joined: Nov 2016
Posts: 55
Taipei
Hi,

that's zorro's default assetsfix setting.

I did, in the beginning, download assetsfix from my broker and got a bad Z3 AR%.
So I tried to know which difference between my broker and zorro's assetsfix caused the reducing effect. It turns out changing in PIP and PIPCost of the zorro's assetsfix(picture was shown as above) cause the most AR% damage.

Re: PIP and PIPCost setting issues lead to poor Z3 AR% [Re: ytc] #463455
12/05/16 07:57
12/05/16 07:57
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
The pip cost determines the profit per pip. So with half the pip cost, you naturally get only half the profit when other parameters are unchanged. Margin cost, leverage etc. also affect the profit. You can see that in the performance report.

Re: PIP and PIPCost setting issues lead to poor Z3 AR% [Re: jcl] #463459
12/05/16 08:59
12/05/16 08:59
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline OP
Junior Member
ytc  Offline OP
Junior Member

Joined: Nov 2016
Posts: 55
Taipei
Thanks for the reply, jcl.

I did test the system with my broker's downloaded asset parameter at the very beginning and got a negative profit result.

So, I manually set spread, r/o, commission to 0 to see whether these costs reduced the performance. It got 39% of AR but still not close to 110% of AR, as described on the z system web page.

PIP and PIPCost are then the remaining 2 different parameters between my broker's and zorro default assetsFix.csv.
My broker's PIPCost, e.g. XAGUSD, is 100 times smaller than one in zorro's default asset parameter.
But my broker's PIP is 100 times larger than the one in zorro's.

I thought those difference shouldn't affect the result. Otherwise, AR% could be changed with different broker's asset parameter, since each broker has different PIP, LotAmount, and PIPCost of an asset.

But I could be wrong about something, I'm still new to zorro.

Last edited by ytc; 12/05/16 09:00.

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