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#468468 - 10/05/17 22:01 Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: AndrewAMD]
Hredot Offline
Junior Member

Registered: 09/11/17
Posts: 62
@stephane97490
Short answer: Nope

Long answer:
This strategy opens long only trades, to profit from the constant upwards drift of the market, which is just the fact that market is based on the work of hardworking businesses who constantly tend to produce more value than there was before. Essentially, if you pick all of the assets and long trade all of them in equal amount forever, you will make slightly less money over time than the above script. At daily time frames this upwards drift dilutes to zero, and you are left with fluctuations around the mean. While it is safe to bet on the overall market growth over months and years, daily fluctuations are not as easy to predict. So this would not work at hourly or daily time frames.


Edited by Hredot (10/05/17 22:02)

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#468545 - 10/09/17 17:53 Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: Hredot]
stephane97490 Offline
Newbie

Registered: 06/04/16
Posts: 29
Loc: france
Thanks, I understand that the main idea is to predict the trend... When you estimate that compenent. You have to use the best filters.

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#468593 - 10/11/17 14:14 Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: AndrewAMD]
kmerlo Offline
Newbie

Registered: 03/08/17
Posts: 46
Loc: Bologna
I founded a strange behavior about costs

if I write inside the "function run()" these rows

RollLong= 0;
RollShort=0;
Commission=0;
Spread=0;
Slippage=0;
Fill= ATCLOSE;


In the performant report I found some costs!

Simulation mode Realistic (slippage 0.0 sec)
Capital invested 5000$

Gross win/loss 12728$ / -1195$ (+60334p)
Average profit 1967$/year, 164$/month, 7.56$/day
Max drawdown -622$ 5.4% (MAE -2570$ 22.3%)
Total down time 14% (TAE 85%)
Max down time 77 weeks from Dec 2015
Max open margin 8817$
Max open risk 206$
Trade volume 88079$ (15019$/year)
Transaction costs -151$ spr, 0 slp, 0 rol, -30$ com



instead if I write the same rows in the script "Workshop4_2.c" the result is as I want:

Simulation mode Realistic (slippage 0.0 sec)
Spread 0.0 pips (roll 0.00/0.00)
Contracts per lot 1.0

Gross win/loss 9.45$ / -0.31299591b (+914p)
Average profit 1.39$/year, 0.11589078b/month, 0.00534881b/day
Max drawdown -0.38999176b 4.3% (MAE -1.04$ 11.3%)
Total down time 1% (TAE 73%)
Max down time 14 weeks from Mar 2011
Max open margin 24$
Max open risk 0.82628334b
Trade volume 384$ (58$/year)
Transaction costs 0 spr, 0 slp, 0 rol

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#468628 - 10/11/17 22:04 Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: kmerlo]
Hredot Offline
Junior Member

Registered: 09/11/17
Posts: 62
My guess is, the Z9 as well as DualMomentumV1.0 scripts both load asset definitions from AssetsZ9.csv. These probably overwrite your settings. Try to set these parameters to zero for all assets in AssetsZ9.csv as well, then I guess it should work as you want.

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#468630 - 10/11/17 22:37 Re: Dual Momentum Algorithm - The way Zorro would have done it [Re: Hredot]
kmerlo Offline
Newbie

Registered: 03/08/17
Posts: 46
Loc: Bologna
Yes the reason was that!
indeed I have changed the file "AssetsZ9.csv" putting the value "0" in column "Spread" and "Commission" and now the result it is OK ! laugh

Transaction costs 0 spr, 0 slp, 0 rol

Thanks A lot!!

Good Night


Edited by kmerlo (10/11/17 22:38)

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