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One more time! Making $ with Zorro?
#461527
08/09/16 13:08
08/09/16 13:08
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Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
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OP
Serious User
Joined: Jun 2013
Posts: 1,609
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I was recently asked via PM: As a longer-term Zorro user than most have I made money with Zorro? The questioner said s/he has lost money over the last year or so... In fact, I recently had my 3-year Zanniversary . I think this question is better answered here in the Forum as perhaps others would also be interested; and perhaps other longer-term users will chime in with their experiences as well. The short answer to the question is no - I now have less money than I started with. But of course it's more complex than that. Early on Zorro had made money and I was of course very happy. But then came my biggest loss when the SNB did its thing and Z5 died. Even that is not as simple as it at first appears. My understanding is that other Zorro users fared differently... My recollection is that jcl said he made money off the SNB event... From reading lots of Forum posts, trading results vary from user to user due to when a strategy is started, which broker, MT4 vs. API, using more or less aggressive settings, errors in setup, etc. - the list of possible differences seems to be pretty long. And is a big reason why results comparisons on the forum have usually ended up going nowhere... Trading results also normally do not match Test results. To paraphrase what I think I've learned from jcl so far, the pretty, smoothly increasing equity curve that one works with Zorro to produce is really still only 1 of the many possible outcomes. Even assuming real trading matches the Test statistics, you could still have bad luck and start with immediately full maximum drawdown, which is much worse than 3% UI. And of course reality may not match Test - again paraphrasing what I think I've learned, worst case your strategy could have expired before you even start trading it. In any case, since SNB I have been looking/hoping for a return to glory, but it has not (yet?) happened. It's particularly worrying that my running of the Z12 flagship strategy was essentially flat over post-SNB 2015, and has been a pretty big loser so far in 2016 - results that more or less match the questioner's. Of course, as noted above, these results are still within the range of the Z12 Test results; but the longer it goes on the more I wonder if it can/will ever recover, much less make money; and the mind fills this (hopefully temporary) down time with questions: Did something fundamental change after the SNB? Are the version upgrade cycles preventing equity trading from working properly? What else might be going on?! Am I really that unlucky? I don't know... I am not a Forex expert. I was and still am a learning neophyte, and still in the Proof of Concept stage. I consider Zorro to be an excellent tool for what it does, and uniquely well documented, including concepts. But whether algorithmic trading can consistently make money in today's market, and whether a strategy developed in Zorro can consistently make money in line with its Test/predicted results are separate questions that I'm still waiting to see verified. So, this is a long way of answering that my jury is still out. I haven't lost everything I invested, and was prepared for some loss as part of the learning cost. But to the questioner and others, I would definitely say proceed with extreme caution. There is no magic, simple get rich quick bullet here. There is lots of hard work and learning. And almost certainly losses. Even if you can develop a truly, regularly profitable strategy, Zorro is even then not set-and-forget. Good luck, happy trading, & hope you're smarter than me!
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Re: One more time! Making $ with Zorro?
[Re: MatPed]
#461540
08/10/16 00:41
08/10/16 00:41
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Joined: Apr 2014
Posts: 482 Sydney, Australia
boatman
Senior Member
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Senior Member
Joined: Apr 2014
Posts: 482
Sydney, Australia
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My two cents:
I do not trade the Z systems because I can not see the source code. However, based on the information in the manual, it isn't too difficult to create systems based on the same principles as the z systems.
I trade a number of my own systems, some based on similar principles to the z systems, some based on my own machine learning research, and some based on relatively simple market models. I am making money fairly consistently for both myself and investors using Zorro as both my primary research environment and my execution engine.
If my experience is anything to go by, Zorro is an excellent tool for algo trading. But at the end of the day, it is just a tool. It takes a lot of research, persistence and a number of losses to work out what "works". And while I appreciate what the developers are trying to do with their z systems, I would never trade something that I hadn't developed myself.
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Re: One more time! Making $ with Zorro?
[Re: DdlV]
#461570
08/11/16 12:28
08/11/16 12:28
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Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
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OP
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Joined: Jun 2013
Posts: 1,609
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traderbot33's question reminds of one other important point that should have been made: Whatever one might think of Zorro, ZORRO'S NOT THE WHOLE STORY! (caps for emphasis, not shouting ) Zorro, as well as you trading manually, are dependent on the broker, and on what's behind the broker. If the broker, for whatever reason, doesn't execute your trade, you're stuck. Worst case stuck in a losing trade(s) with no way out. And worst worst case LOSING MORE THAN YOUR INVESTED CAPITAL! Zorro can not only not prevent this, it can't take this possibility into account when Testing (since it assumes execution always happens within certain parameters). Yet another reason to Beware!
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Re: One more time! Making $ with Zorro?
[Re: DdlV]
#461573
08/11/16 14:50
08/11/16 14:50
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Joined: Aug 2016
Posts: 13
traderbot33
Newbie
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Newbie
Joined: Aug 2016
Posts: 13
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Yep.
This thing of "if the broker, for whatever reason, doesn't execute the trade" is one of main worries with algo trading. It is seems to be something totally out of our control.
I'm still a total beginner with algo trading, so I am not in the position to invest real money, but your experience make me think if it would be not a good idea instead of driving the efforts/money to only one asset to distribute them to several assets. However I don't know how dificult would be to manage all strategies and assets at the same time.
Last edited by traderbot33; 08/11/16 14:51.
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Re: One more time! Making $ with Zorro?
[Re: traderbot33]
#461906
08/28/16 17:36
08/28/16 17:36
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
User
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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Trading results also normally do not match Test results. There are a lot of reasons already mentioned for this, I just have another simple one: it depends on Zorro's version, sometimes. Througout the last 2 years I followed Zorro from 1.2x to the actual one and normally a version change happened while I tested sone strategies, so I'm regularly suprised about the results in different versions. Confusingly this happens not always, some strategies show the same results. Maybe these ones are the most stable? An actual example changing from 1.46.3 to 1.47.7 (the only change: "History = .bar;" in 1.47): It's only a simple model based script without Parameters, Factors, Rules or anything similar. Maybe those differences happen because of new features while their defaults does not match a version's environment that does not provide them at all, or maybe one result is only another one from the Monte Carlo simulation, I don't know. One can see both curves in the example are somehow parallel but the first one seems to promise something that the second one does not reveal. Strange, but in some cases it can be really interessting to run a strategy on different Zorro versions.
Last edited by Sphin; 08/28/16 17:38.
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Re: One more time! Making $ with Zorro?
[Re: jcl]
#461991
09/01/16 10:17
09/01/16 10:17
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
User
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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Price ticks are now internally stored in a different format that used less memory for large high-resolution backtests, but reduces the test accuracy by discarding the open and close prices of a tick (only high and low are stored). Set the EXTRADATA flag for storing also the open and close prices. (V 1.47.7). Yes - this is the reason for the difference between both versions (at least concerning this script). That means from now on we have to set the flag EXTRADATA always to receive results as accurate as in former versions?
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