I am starting with Zorro and I tested the following script with Zorro 1.50.6 and Zorro 1.54.5 and I got two different results. Why are they so different? I used the same data, time frame and the same script for testing. I attach the script and the performance reports. I would be very grateful if anyone could answer me in order to know what I am doing wrong.
Thank you.
function run()
{
BarPeriod=60;
vars Price = series(price());
vars Trend = series(LowPass(Price,500));
vars Signals = series(0);
Stop = 4*ATR(100);
vars MMI_Raw = series(MMI(Price,300));
vars MMI_Smooth = series(LowPass(MMI_Raw,500));
if(falling(MMI_Smooth)) {
if(valley(Trend))
enterLong();
else if(peak(Trend))
enterShort();
}
}
**************************************************************
Test 1-PRU EUR/USD - ZORRO 1.50.6
**************************************************************
Simulated account AssetsFix
Bar period 1 hour (avg 92 min)
Test period 18.01.2012-27.01.2017 (28550 bars)
Lookback period 300 bars (18 days)
Monte Carlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Spread 0.5 pips (roll -0.02/0.01)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 595$ / -577$ (+214p)
Average profit 3.72$/year, 0.31$/month, 0.01$/day
Max drawdown -205$ 1097% (MAE -250$ 1338%)
Total down time 74% (TAE 60%)
Max down time 68 weeks from Mar 2013
Max open margin 30$
Max open risk 24$
Trade volume 201119$ (40011$/year)
Transaction costs -8.19$ spr, -57$ slp, -0.45$ rol, -11$ com
Capital required 188$
Number of trades 188 (38/year, 1/week, 1/day)
Percent winning 19.7%
Max win/loss 88$ / -53$
Avg trade profit 0.10$ 1.1p (+184.7p / -43.8p)
Avg trade slippage -0.31$ -3.5p (+3.3p / -5.2p)
Avg trade bars 105 (+380 / -37)
Max trade bars 1372 (11 weeks)
Time in market 69%
Max open trades 3
Max loss streak 16 (uncorrelated 27)
Annual return 2%
Profit factor 1.03 (PRR 0.80)
Sharpe ratio 0.04
Kelly criterion 0.08
R2 coefficient 0.000
Ulcer index 34.7%
Confidence level AR DDMax Capital
10% 4% 78$ 90$
20% 4% 86$ 97$
30% 3% 100$ 107$
40% 3% 108$ 113$
50% 3% 118$ 121$
60% 3% 133$ 133$
70% 3% 146$ 143$
80% 2% 165$ 157$
90% 2% 195$ 180$
95% 2% 227$ 206$
100% 1% 370$ 316$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .006 1.03 37/151 100.0
EUR/USD:L .000 0.48 15/84 -1008.7
EUR/USD:S .188 1.98 22/67 1108.7
****************************************************************
Test 2-PRU EUR/USD - ZORRO 1.54.5
****************************************************************
Simulated account AssetsFix
Bar period 1 hour (avg 92 min)
Test period 18.01.2012-27.01.2017 (28549 bars)
Lookback period 300 bars (18 days)
Monte Carlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Spread 0.5 pips (roll -0.02/0.01)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 746$ / -514$ (+2664p)
Average profit 46$/year, 3.85$/month, 0.18$/day
Max drawdown -129$ 56% (MAE -161$ 69%)
Total down time 72% (TAE 65%)
Max down time 93 weeks from May 2013
Max open margin 40$
Max open risk 26$
Trade volume 210105$ (41799$/year)
Transaction costs -8.54$ spr, 1.68$ slp, -0.49$ rol, -12$ com
Capital required 140$
Number of trades 196 (39/year, 1/week, 1/day)
Percent winning 20.4%
Max win/loss 88$ / -11$
Avg trade profit 1.18$ 13.6p (+214.2p / -37.9p)
Avg trade slippage 0.01$ 0.1p (+5.4p / -1.3p)
Avg trade bars 114 (+426 / -34)
Max trade bars 1366 (11 weeks)
Time in market 79%
Max open trades 4
Max loss streak 16 (uncorrelated 26)
Annual return 33%
Profit factor 1.45 (PRR 1.13)
Sharpe ratio 0.47
Kelly criterion 0.67
R2 coefficient 0.000
Ulcer index 17.9%
Confidence level AR DDMax Capital
10% 46% 78$ 100$
20% 43% 86$ 106$
30% 41% 93$ 112$
40% 39% 101$ 118$
50% 38% 107$ 123$
60% 35% 118$ 131$
70% 33% 129$ 140$
80% 30% 148$ 154$
90% 26% 180$ 179$
95% 24% 199$ 194$
100% 14% 369$ 325$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .093 1.45 40/156 100.0
EUR/USD:L .000 0.99 20/79 -1.6
EUR/USD:S .191 2.03 20/77 101.6
