I tried out the EXTRADATA flag after reading the comments on this forum about it giving a more accurate simulation of open and close prices.
Unfortunately I could not find any documentation about this flag on the mode flags page (
Mode Flags Documentation).
I first trained and tested the binary options code from the financial hacker block with Zorro S 1.50.6 and the history from the Zorro homepage on the EUR/USD pair:
var objective()
{
return ((var)(NumWinLong+NumWinShort))/(NumLossLong+NumLossShort);
}
function run()
{
//set(EXTRADATA);
BarPeriod = 5;
LookBack = 100;
NumWFOCycles = 20;
NumCores = -1;
set(BINARY);
WinPayout = 75;
LossPayout = 0;
set(PARAMETERS);
int TimePeriod = optimize(20,10,100);
var Threshold = 0.01*(HH(TimePeriod)-LL(TimePeriod));
if(NumOpenLong+NumOpenShort == 0)
{
LifeTime = 1;
if(HH(TimePeriod) - priceClose() < Threshold)
enterShort();
else if(priceClose() - LL(TimePeriod) < Threshold)
enterLong();
}
}
It gives this result:
Monte Carlo Analysis... Median AR 41%
Profit 37$ MI 1$ DD 8$ Capital 17$
Trades 493 Win 61.5% Avg +0.9p Bars 1
AR 50% PF 1.20 SR 0.69 UI 8% R2 0.90
Now I uncommented the set(EXTRADATA) line and trained and tested again:
It gives now this extraordinary result:
Monte Carlo Analysis... Median AR 658%
Profit 700$ MI 13$ DD 15$ Capital 22$
Trades 4737 Win 65.6% Avg +1.7p Bars 1
AR 712% PF 1.43 SR 4.54 UI 1% R2 0.98
I have now a SR of 4.54 and suddenly 4737 trades instead of just 493!!!
Now I don't think that can be quite right. It just looks too good. Why would the number of trades change just because of this flag?
Which numbers am I supposed to trust now? What does the EXTRADATA flag really do?
