Concerning the new algorithm: from when is the podcast you found? I tried your approach with SPX500 and US30 and the first thing I saw was the poor performance in 2015 compared with the years before. Did you see this too? It might be random of course or the behaviour has changed. But I won't include this in ONS anyway because the assets are completely different, so another loop would be necessary and as far as I know this is not yet possible in one script.

My ONS also suffered from the FXCM-Oil-Problem that caused a loss of 60, and so the total profit is actual +177 since 27.11.2015, where +119 are just from this weekend:

Weekend ends at 17.01. 23:00
[Mon 18.01.16 00:01] 49568 +0 +119 /////\
[AUD/JPY::S9692] Cover 6@80.24: +31.23 at 00:00
[AUD/USD::S7479] Cover 2@0.6858: +9.45 at 00:00
[GBP/USD::S9939] Cover 4@1.4271: +29.09 at 00:00
[NZD/CHF::S9585] Cover 3@0.6455: -7.38 at 00:00
[NZD/JPY::S2609] Cover 11@75.38: +7.92 at 00:00
[USOil::S9377] Cover 5@28.86: +48.54 at 00:00

Problems with Oil position sizes I did not have so far, AssetsFix is not used in trade mode as far as I know but Assets.csv, that is downloaded on each connect to the broker.

Podcast link

http://bettersystemtrader.com/034-jay-kaeppel/

2015 was pretty poor. So that edge maybe gone.

to include in the script I would create another function and call it after the trade ons function.

For you to have the same oil problem as me, you must be running a demo account. I hope so because otherwise the fxcm representative was incorrect about this issue only affecting demo accounts.

Sure, it is still a demo account. This week I started an ONS in parallel on a demo account of a Market Maker Broker (via MT4) for comparism reasons. Although the prices (I saw) were nearly equal (FXCM and XM) today the XM version set up a long trade in USD/CHF (that was entered at noon) while the FXCM version did not. LookBack is set to 80 and no errors occured in Zorro, so I think this wasn't a problem. There must be a difference in calculation of the SMAs between FXCM and XM. I'll make the script print some information for evaluating this in future. This is a ridiculous example only, but "success of a strategy depends on the broker" is really an interesting view.
My FXCM version set up 10 trades but no entry price was hit and no trade was entered.

Three setups but no entries this week for mine.


(CHF/JPY::S) Short 27@115.35 Entry stop
(GBP/USD::S) Short 95@1.4079 Entry stop
(NZD/JPY::S) Short 199@73.65 Entry stop

My "classic" version set up 2 of your 3 trades and also none was entered:

(CHF/JPY::S) Short 18@115.35 Entry stop
(NZD/JPY::S) Short 111@73.65 Entry stop

I don't know why GBP/USD was not set up, I guess the values in our .par file might be different.

My alternative versions on FXCM and XM behaved in parallel (the values below are from FXCM):

(CAD/JPY::S) Short 4@78.94 Entry stop
(CHF/JPY::S) Short 1@115.34 Entry stop
(EUR/GBP::L) Long 3@0.7757 Entry stop
(EUR/USD::L) Long 2@1.0986 Entry stop
(USD/CHF::L) Long 1@1.0200 Entry stop

Interestingly GBP/USD wasn't set up just as NZD/JPY because:

42359 - GBP/USD: SMAShort:1.42744 (0|1), SMALong: 1.47032 (1|0)
42359 - NZD/JPY: SMAShort:76.68233 (0|1), SMALong: 79.66663 (1|0)

((1|0) = falling, (0|1) = rising)

I trained the alterative versions without WFO using the whole price information from 2002 to 2015 (resp. 2009 to 2015) for optimizing the parameters. Although there is of course no sense to use those parameters to predict the performance because of merciless overfitting, I believe the averages of the parameters from the whole time can result in useful settings for the trading in future and especially for the assets of which I only have prices from 2009 to 2015 I think this period is already quite narrow for optimizing on daily bars, so I don't want to cut it smaller using WFOs. If my thoughts really make sense time will tell.

The alternative versions entered one trade only (again FXCM):

(USD/CHF::L) Entry stop 1.0200 hit at 03:42

that is +/- 0 actually.

Setups this week on the extended asset list. No trades taken.

[Fri 12.02.16 00:05] 21256 -494 +0
(AUD/JPY::S) Short 108@77.59 Entry stop
(AUD/USD::S) Short 37@0.6973 Entry stop
(CHF/JPY::S) Short 27@114.47 Entry stop
(EUR/JPY::S) Short 122@125.78 Entry stop
(EUR/USD::L) Long 32@1.1378 Entry stop
(NZD/CHF::S) Short 40@0.6373 Entry stop
(NZD/JPY::S) Short 199@73.22 Entry stop
(USD/CHF::S) Short 27@0.9661 Entry stop
(USD/JPY::S) Short 0@110.97 Entry stop
(USOil::S) Short 91@26.07 Entry stop
Weekend at 12.02. 20:00.....................................

Right, none of the ONS variants took a trade this weekend.

This week's setups and entry.


(AUD/JPY::S) Short 103@77.59 Entry stop
(CHF/JPY::S) Short 26@113.89 Entry stop
(EUR/USD::L) Long 30@1.1378 Entry stop
(NZD/JPY::S) Short 191@73.22 Entry stop
(USD/JPY::S) Short 0@110.97 Entry stop
(CHF/JPY::S) Entry stop 113.89 hit at 00:54
[CHF/JPY::S2061] Short 26@113.88
Weekend at 19.02. 20:00

Right, and it worked this way:

[CHF/JPY::S0260] Cover 18@113.63: +35.66 at 00:00

Regarding the trade history here there is one heavy trade of mine missing:

[Mon 08.02.16 00:01] 49182 +119 -210 \'
[EUR/USD::L4389] Sell 22@1.1144: -210$ at 00:00

For the sake of completeness and not to give the impression this system would produce only winners. This was really a heavy loss, don't you have such a trade too?