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Change start/end date of Z system simulation #463541
12/12/16 00:13
12/12/16 00:13
Joined: Nov 2016
Posts: 69
USA
J
jrath Offline OP
Junior Member
jrath  Offline OP
Junior Member
J

Joined: Nov 2016
Posts: 69
USA
Hi, I have a few questions to ask about back testing Z scripts.

First of all thanks for developing Zorro and making it available online. The platform seems stable and is easy to start with. The documentation is an incredible read and represents a democratization of e-trading knowledge in my view– you have been generous.

I’ve been trading Z1 live on a 1k USD FXCM micro lot account for about 2 months now after running in demo over the summer. Zorro seems to perform as advertised by detecting and following trend changes and then exiting before the gain is given up. I’ve seen nothing to make me suspect otherwise. Still to be seen of course what the long term results are and if consistent profits are really still possible in this new age of ubiquitous algo trading…

So to get on with my questions,

a)Can I change the start and end date of a Z1 simulation? The end date seems hard coded to me and never increases even as I download new data while live trading. The docs mention changing the end date of your own script but not a Z system sim.

b)Is there a new version of Zorro being made available to download soon? I have downloaded 150, though I run 144 live, but the release notes mention 1.52. The reason I ask is that if the start and end dates of Z-system simulations are fixed then maybe a new version will increase the end date. I keep checking but nothing recent.

c)The documentation says that Z systems ‘have an element of randomness built in‘. This sounds fair and clever but I was curious where/how you introduce this. During my back testing of Z1 I don’t detect any randomness between runs. If it is not run-time randomness is it compile-time or maybe even install-time randomness? It does seem though like Z1 backtests differ between Zorro versions...

d)Finally, right on the front page of the site in the release blurb it states “backtest of live trading sessions” now supported but I could not find any further mentions in the docs despite having read them through twice over. This is just what I want to do – run a sim of Z1 that matches my live trading history. Could you provide a more detail explanation or point me towards the right place?

Once again thank you !
Jason

Re: Change start/end date of Z system simulation [Re: jrath] #463549
12/12/16 10:54
12/12/16 10:54
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
The backtest start and end date are hardwired, otherwise the WFO cycles would be wrong. The random element affects live trading, not the backtest. For backtesting live sessions look in the manual for "Retraining" or "Retesting".

Re: Change start/end date of Z system simulation [Re: jrath] #463559
12/13/16 01:15
12/13/16 01:15
Joined: Nov 2016
Posts: 69
USA
J
jrath Offline OP
Junior Member
jrath  Offline OP
Junior Member
J

Joined: Nov 2016
Posts: 69
USA
Ok thank you. Interesting live trading has the randomness. Good to know. -J

Re: Change start/end date of Z system simulation [Re: jrath] #464007
01/13/17 01:54
01/13/17 01:54
Joined: Nov 2016
Posts: 69
USA
J
jrath Offline OP
Junior Member
jrath  Offline OP
Junior Member
J

Joined: Nov 2016
Posts: 69
USA
Thought I would ask a quick follow up to this. By the same token would it be fair to say you can't retrain a z system because the start and end dates are always fixed ? When I retrained my Z1 and retested off the 'new' params - No change.

I think I saw something in the manual about retraining a live running Z system. Is this really advisable ? I would have thought it might be nice to do the retraining away from a live system and then perform some backtest to make sure all went smoothly.

Thanks
j

Re: Change start/end date of Z system simulation [Re: jrath] #464026
01/14/17 09:40
01/14/17 09:40
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Retraining is not advisable since we do that anyway with any new release, but it's possible. The fixed start and end dates do not matter in that case since retraining trains only the last WFO cycle.


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