Z9.03: H 4 W 2 V 1 Loading 12 assets.. Multiple assets............ Test: Z9 2002..2017 Assets AssetsZ9 Max Leverage 2.0 Avg Bonds 27.4% Monte Carlo Analysis... Median AR 21% Win 14181$ MI 122$ DD 446$ Capital 5295$ Trades 290 Win 76.9% Avg +470.6p Bars 103 CAGR 14.89% PF 4.19 SR 0.88 UI 6% R2 0.80 Chart... ok Chart... ok
and 3915 in performance report
Quote:
Gross win/loss 18633$ / -4451$ (+136486p) Average profit 1464$/year, 122$/month, 5.63$/day Max drawdown -330$ 2.3% (MAE -2270$ 16.0%) Total down time 15% (TAE 82%) Max down time 32 weeks from Apr 2008 Max open margin 3732$ Max open risk 99.71$ Trade volume 344057$ (35509$/year) Transaction costs -814$ spr, 0.83$ slp, 0$ rol, -163$ com Capital required 3915$
Re: Z9 system performance 2008-2014
[Re: kujo]
#470021 12/19/1716:1812/19/1716:18
I am also confused by the statement about margin call. Isn't it the case that as soon as Equity drops below open margin a broker like IB will just close all your positions?
Last edited by Hredot; 12/19/1716:19.
Re: Z9 system performance 2008-2014
[Re: kujo]
#470022 12/19/1716:2012/19/1716:20
One more question about MarginVal. According to the manual, during backtest MarginVal remains constant until the trade closes. In live trading situation could be different because brokers adapt MarginVal based on the asset price (i.e. IB). So, margin call conditions change as well. I assume I need to calculate manually MarginVal or MarginTotal during backtest to simulate broker's margin call conditions. Could you please advise what variable to calculate and how? Thanks
Last edited by kujo; 12/19/1716:33.
Re: Z9 system performance 2008-2014
[Re: kujo]
#470041 12/20/1714:0212/20/1714:02
The capital in the zorro window is correct. The other one is wrong - I'll forward this to the developers. - Yes, the broker will start closing your positions when you have not enough capital for the open margin. - The variable to calculate is TradeMarginCost.
Re: Z9 system performance 2008-2014
[Re: jcl]
#470058 12/21/1703:4812/21/1703:48
I continue to test Z9 system and found out the following:
Quote:
Simulated account AssetsZ9 (NFA) Bar period 24 hours (avg 2088 min) Test period 2006-03-13..2017-12-21 (2966 bars) Lookback period 252 bars (52 weeks) Montecarlo cycles 200 Simulation mode Realistic (slippage 5.0 sec) Capital invested 5000$
Gross win/loss 28666$ / -6027$ (+85764p) Average profit 1923$/year, 160$/month, 7.39$/day Max drawdown -331$ 1.5% (MAE -3551$ 15.7%) Total down time 26% (TAE 82%) Max down time 82 weeks from Aug 2015 Max open margin 1435$ Max open risk 269$ Trade volume 493123$ (41877$/year) Transaction costs -1578$ spr, -14.55$ slp, 0$ rol, -316$ com Capital required 1602$
Capital required << Capital invested Max open margin is 1435, however it should be around 5000
Please find asset list and logs attached
Last edited by kujo; 12/21/1703:51.
Re: Z9 system performance 2008-2014
[Re: kujo]
#470060 12/21/1706:1212/21/1706:12
True, the margin is too low for the capital. I suspect that reducing the asset list to just a few assets also reduces market participation, since probably only a fixed maximal fraction of all assets in the list are traded, and each likely has a participation cap.
However, even if we keep the standard asset selection, maximal open margin is about $3500 and that's even though Equity has grown to $15000! Way too small participation, definitely needs to be reballanced in my opinion.
Last edited by Hredot; 12/21/1706:13.
Re: Z9 system performance 2008-2014
[Re: Hredot]
#470062 12/21/1707:1112/21/1707:11
Required capital is max margin plus max drawdown. Of course adjusted to the simulation start, so it won't be $15000 even when the equity has grown to that. It's displayed in the Zorro window and normally about 10% higher than the Margin set with slider.
Re: Z9 system performance 2008-2014
[Re: jcl]
#470075 12/21/1714:1312/21/1714:13
jcl, does this imply that when trading live the system expects a manual readjustment of the capital slider by the user according to the profits made, when the trade button is hit every few weeks?
If that is the case, the system in reality does not reinvest profits automatically and requires manual adjustment.
Re: Z9 system performance 2008-2014
[Re: jcl]
#470078 12/21/1714:5012/21/1714:50
It is normal, but you should use the parameters with care. The maximum margin is neither 4984 nor 4064, but more like 15000.
The reason is the capital reinvesting, which does not allow anymore to determine an initial capital from margin and drawdown. For doing it nevertheless, Z9 simply reduces the maximum drawdown and margin by the ratio of start and end capital. So the values are not precise, but estimated. In most cases they are ok, but with your asset list apparently quite off. So be careful. I'll put a warning in the manual.
