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Zorro 1.58: Z3 test results different to Z Systems web page?
#465931
05/18/17 06:48
05/18/17 06:48
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Joined: May 2017
Posts: 19
PeWi
OP
Newbie
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OP
Newbie
Joined: May 2017
Posts: 19
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Hello, sorry if this is another misunderstanding from a zorro starter. I started 'test' with the z3 system of a fresh install of Zorro 1.58. The result (with a FXCM Real Account) was: [...] Capital required 1426$ [...] Annual return 79% On the web page for the Z Systems ( http://manual.zorro-project.com/zsystems.htm) Z3 is listed with: Required capital: ~900$ Annual return : ~130% So my result is worse in comparision. BTW: The test of V1.54 gave me nearly the same result as listed on (the previous version of) the web page. Now I am confused. Basically I thought it would be better to use the newer versions of the Z Systems included by a new Zorro version, because they are better adopted to the current market conditions as the older versions which had been fine-tuned some month before. Also - I thought - newer version might had bug fixes or some improvements. What would the expierenced Zorro user advise? Thanks for any help or tip, Peter
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Re: Zorro 1.58: Z3 test results different to Z Systems web page?
[Re: PeWi]
#466002
05/19/17 13:14
05/19/17 13:14
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Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,978
Frankfurt
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The test period is different, as if indeed some historical data were missing. This is the normal Z3 result:
Walk-Forward Test Z3 (TICKS)
Simulated account AssetsFix
Bar period 24 hours (avg 2286 min)
Simulation period 2010-06-07..2017-05-02 (1584 bars)
Test period 2012-07-24..2017-05-02 (1097 bars)
Lookback period 100 bars (20 weeks)
WFO test cycles 9 x 121 bars (25 weeks)
Training cycles 10 x 487 bars (100 weeks)
Monte Carlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)
Gross win/loss 11515$ / -6264$ (+4703p)
Average profit 1101$/year, 92$/month, 4.23$/day
Max drawdown -805$ 15% (MAE -1062$ 20%)
Total down time 69% (TAE 60%)
Max down time 66 weeks from Oct 2015
Max open margin 171$
Max open risk 3726$
Trade volume 1018362$ (213400$/year)
Transaction costs -623$ spr, -370$ slp, -114$ rol
Capital required 809$
Number of trades 124 (26/year, 1/week, 1/day)
Percent winning 49.2%
Max win/loss 853$ / -281$
Avg trade profit 42$ 37.9p (+169.0p / -89.0p)
Avg trade slippage -2.99$ -2.7p (+0.2p / -5.4p)
Avg trade bars 6 (+8 / -5)
Max trade bars 46 (9 weeks)
Time in market 78%
Max open trades 4
Max loss streak 5 (uncorrelated 8)
Annual return 136%
Profit factor 1.84 (PRR 1.42)
Sharpe ratio 1.02
Kelly criterion 0.77
R2 coefficient 0.390
Ulcer index 7.8%
Confidence level AR DDMax Capital
10% 175% 578$ 629$
20% 164% 629$ 670$
30% 153% 691$ 719$
40% 141% 768$ 780$
50% 134% 818$ 820$
60% 125% 894$ 880$
70% 117% 971$ 941$
80% 101% 1153$ 1085$
90% 90% 1320$ 1217$
95% 78% 1558$ 1407$
100% 46% 2774$ 2371$
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
NAS100 avg .054 1.89 16/17 20.8 ///.//.
SPX500 avg .039 1.44 8/12 5.0 /..//./
US30 avg .063 2.70 19/14 37.2 //././//
XAG/USD avg .019 1.59 18/20 36.9 //X/XX
NAS100 .109 1.89 16/17 20.8 ///.//.
NAS100:L .109 1.89 16/17 20.8 ///.//.
NAS100:S .000 ---- 0/0 0.0 .........
SPX500 .078 1.44 8/12 5.0 /..//./
SPX500:L .078 1.44 8/12 5.0 /..//./
SPX500:S .000 ---- 0/0 0.0 .........
US30 .127 2.70 19/14 37.2 //././//
US30:L .127 2.70 19/14 37.2 //././//
US30:S .000 ---- 0/0 0.0 .........
XAG/USD .019 1.59 18/20 36.9 //X/XX
XAG/USD:L .029 2.14 9/7 29.4 /.///
XAG/USD:S .008 1.21 9/13 7.6 ////
Can you check the date of your 2017 historical data? It should go until May 2, 2017. - Also download the price history again in case you did not get it with the Download script. I've just updated it, maybe you got a version with too old 2017 data.
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