Hello,
The performance of the Z9 system is pretty impressive ~35%. I'm planning to code my own version of Z9 and select assets by myself. Meanwhile I've tried to play with an assets list for Z9. Results are not so great...

Jcl, I wonder if you could share some information regarding the assets selection process for systems like Z9. I believe it'll be beneficial for the community. Thank you!

The assets are sorted in a list by their relative momentum, then the upper third of the list is selected for trading.

I see thank you, however my question is regarding the list of 9 assets in AssetsZ9.csv. I wonder what process you followed to select these 9 assets to get such an impressive performance (if it's not public info, then maybe you could share the idea and key steps)?

Just as I said, they are simply selected by their momentums. Momentum is the average relative return over about 200 days. There are some filters to increase bonds and go out of the market when stocks tank, but nothing complex. The script is quite simple and short. The trading method is public and published in the book by Antonacci.

So, as I understand, you've started with a big universe of ETFs, run through this algo and selected 9 best performers. And they ended up in the asset list?

No, we started with the 9 assets in the list, they run through this algo and it selects the best performers. And the assets in the list are selected by fundamental criteria to represent sectors, treasure, and non-us indices.

Yeah, my question is how did you select this 9 assets among a huge universe of ETFs?

JCL, what do you mean by increasing bonds through a filter?
I also wonder what does it mean for a stock to "tank"? In terms of indicator response.

Yeah, there are some bond ETFs, SPY and some sector ETFs like home construction, biotech, semiconductors... but it's not a broad diversification. That's why I asked why did you chose biotech for instance but not finance ETF...

Ok, it seems that you are quite experienced at ETFs picking but I'm not unfortunately. I've tried to select ETFs but not very successfully. Let's imagine I'll continue to try ETFs, plug them into asset list and run Z9 system. Eventually, I'll come up with a great combination that will produce great results. However, I'm concerned about statistical bias and not so great results in live trading (if i'll try for a long time, I'll find best performing ETFs in a backtest). What approach do you recommend in this case for ETFs picking?

I'm running zorro S 1.66.5 and am haing problems. It takes forever to load the history from IB. The status light is red but sometimes blinks. Even if so, data is downloaded. This is what appears:

Login IB..
!IB Socket connected
!Account U..... at UTC 12-14 16:50
Z9.01: PH H 4 W 2 V 1
Loading 9 assets..
NY time 11:50
Preload CSJ 312 d
Preload HYG 312 d
Preload ITB 7488 h, gap 161 h
Preload SMH 7488 h, gap 161 h
Preload SPY 7488 h, gap 161 h
Preload TLT 312 d

What could be wrong?

After deletion of the t6 files, the problem has disappeared.