Wow, this thread has over 16000 views. Is anyone other myself and Spin using this strategy?

If OptimalF for AUD/USD:L is 0 then only AUD/USD:S is traded, otherwise this Asset doesn't make sense at all in the Asset set. I based my decision to include an asset or not simply on the idea that there are assets for which the ONS works while for others it does not, and this idea is based on the historical prices. E.g. in my candidats' setup for trading the ONS real I only use assets with a single PF not lower than 1.5 in any simulation and an average PF of ~2.0 or above (BTW: Interestingly >50% are pairs against the JPY that seems to have a 'special iking' for the ONS). This is surely somewhat subjective and weighted by past but the opposite was to trade every available pair with a fixed lot amount and this could also be more successful in the end, who knows?
There are really a lot of views for this thread, how comes? I sometimes think about if ONS is a strategy or rather gambling, but at least it's a cool alternative to the weekend's lottery!

I've linked to it from a recent post on Financial Hacker - hope that is ok with you.

Cool.

Ive run a long only version of the mean reversion script on the S&P500 which backtests well.

USOil was entered into however 870 contracts were bought at 38.50 instead of 87. I had changed the .dta file to account for this but I assume the .dta carrying the margin value is overwritten every time a broker connection is made. So the incorrect margin value must have been reset.

That aside, I am struggling to work out why the position was closed out immediately. There is no stop set in the script Im running.

Edit: It was closed out due to margin call. The position size is 10x larger than what it should be.

The mystery solved.

When Zorro is connected to a broker, it loads the current spread and rollover values from the broker's server. When not connected, the spread and rollover values are loaded from the History\AssetsFix.dta file or from the parameter file given by AssetList.

So I need to set the margin for oil in the script.


[USOil::L1830] -696$ s0.00000 c38.49 e38.50


[197: Thu 10.03.16 00:05] 112.605
[198: Fri 11.03.16 00:05] 113.290
(AUD/USD::L) Long 0@0.7529 Entry stop
(CHF/JPY::S) Short 26@111.90 Entry stop
(EUR/JPY::S) Short 123@122.08 Entry stop
(USOil::L) Long 87@38.50 Entry stop
(USOil::L) Entry stop 38.50 hit at 03:32
[USOil::L1830] Long 87@38.50

[USOil::L1830] -696$ s0.00000 c38.49 e38.50

Mine only set up (CHF/JPY::S). In the other assets the directions of the SMAs were not the same. How did you train your strategy (WFO, StartDate, EndDate)?

StartDate = 2005;
// EndDate = 20160226;
NumWFOCycles = 5;

I snyced mine but it didn't set up a trade in Oil last Friday, not even in backtest. Was it successful? What are your USOil parameters? Mine are

USOil 13.1 70.3 300=> 3.295

Well my position was closed almost immediately due to a margin call. This was due to the position size being 100x larger than intended and not having enough equity to maintain it.

I have stopped and retrained mine since that trade. I had manually set the fast SMA to 7 and the slow one to 45.

Lookback period (120 bars).
[197: Fri 18.03.16 00:05] 85.541
(AUD/JPY::L) Long 210@86.42 Entry stop
(AUD/USD::L) Long 0@0.7660 Entry stop
(EUR/USD::L) Long 8@1.1344 Entry stop
(USD/CHF::S) Short 26@0.9650 Entry stop
(USD/JPY::S) Short 0@110.66 Entry stop
(USOil::L) Long 1@40.58 Entry stop
(AUD/USD::L) Entry stop 0.7660 hit at 01:07
(AUD/USD::L) Skipped: Lots/Margin = 0
(USOil::L) Entry stop 40.58 hit at 10:39
[USOil::L7578] Long 1@40.58