Hello,
Z8 and Z9 systems use leverage 2:1. I am trying to understand whether a backtest takes into account interest on leverage that should be paid to a broker. As I understand, it should decrease the returns.
Thanks!

Yes, when you know the interest per day and contract. Enter it in the RollLong column of the AssetsZ8/Z9 asset list. F.i. for a $50 stock with 1% annual interest and a USD account, enter -0.0009 in that column.

How do you arrive at -0.0009?

My calculation gives:
-$50/100/240=-$0.0021
rollover per business day.

In fact it's -0.0007, since calendar days are counted, not business days. -$50 / leverage 2 / 365 days * 0.01 interest = -0.0007.

Thanks for your reply!

Does this mean Zorro continuously executes the run() routine on weekends as well?

No, rollover is unrelated to the run() function.

thanks for clarification! As I understand, it's initial RollLong value. When I test a system will this value be recalculated every day based on a current stock price?

Also, I have a question about MarginCost and Leverage in AssetsZ9.csv
1st test: MarginCost=0 and Leverage=2.
According to the manual MarginCost can be left at 0 when Leverage is used for determining the margin. Ok

2nd test: MarginCost=25 and Leverage=0.
Again, according to the manual when MarginCost is nonzero, Leverage is ignored and the Leverage variable is calculated from MarginCost and the initial price.

Initial price = 50, PIP = PIPCost = 0.01
As I understands, these tests are equal and should produce the same results. However, they are different. Is it a bug or I miss something?

Rollover will not be recalculated, since it changes anyway all the time unrelated to the asset price. MarginCost is calculated from the current price when Leverage is set, otherwise it is taken from the asset list. So your 2 settings are in fact different.

Maybe I'm missing something, but, as I understand, the RollOver cost model came from Forex. It's not really applicable to stock market. In stock market there is no overnight fee. However, there is an interest that should be paid to a broker for borrowing money (in case of leverage) or securities (in case of short selling).

So for the Z9 strategy that trades ETFs, if I enter interest in the RollLong column and leverage = 2, Zorro calculates interest fee for every security that I hold overnight. But the interest is only applicable for the borrowed money/securities.

Could you please comment on this? How to tailor Z9 strategy's cost model for real stocks/ETFs?
Thank you!