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#470357 - 01/09/18 21:34 Re: New Zorro version 1.74 [Re: AndrewAMD]
Dalla Offline
Member

Registered: 02/24/17
Posts: 258
Another thing that caught my attention, not sure if this is a bug or just me misunderstanding something.

My understanding is that LifeTime is supposed to set the maximum number of bars that a position is open. I think this parameter used to be called ExitTime, and my understanding was that ExitTime can still be used interchangeably with LifeTime. However when running a simple strategy like this with 1.74:

Code:
function run()
{
	StartDate = 2010;
	EndDate = 2011;
	LookBack = 200;
	BarPeriod = 240;
	
	vars close = series(priceClose());
	vars ll = series(LL(10));
	
	LifeTime = 5;	
	MaxShort = 1;

	if(close[0] < ll[1]) {
		enterShort();
	}	
}



I get this in the performance report
Code:
Avg trade bars      7 (+9 / -6)
Max trade bars      26 (4 days)


which is not at all what I would expect.

If however I change LifeTime to ExitTime, I get
Code:
Avg trade bars      4 (+4 / -4)
Max trade bars      4 (16 hours)


which is what I expect.

Is this a bug, or did I misunderstand LifeTime and ExitTime? I think at least the manual is LifeTime is very hard to misinterpret: "Trade time limit in bars. Close the trade automatically after the given number of bars (default: 0 for no time limit)."


Edited by Dalla (01/09/18 21:35)

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#470364 - 01/10/18 01:34 Re: New Zorro version 1.74 [Re: Dalla]
jrath Offline
Newbie

Registered: 11/06/16
Posts: 49
Loc: USA
I have finished following up on 'cannot connect' issue in 174 discussed above.

The plugin names to put in accounts.csv have changed.

Oanda V20 is now just Oanda.

MT4 is now ZorroMT4

In general make sure names match the file names in the plugin folder.

This is probably in the release notes I didn't read.

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#470366 - 01/10/18 10:39 Re: New Zorro version 1.74 [Re: jrath]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26307
Loc: Frankfurt
I don't know ExitTime, but LifeTime is for limiting the trade duration. When a new trade cannot be entered due to the MaxShort limit, open trades are updated to the current LifeTime. For this reason and since you cannot close trades after market hours, the average trade duration can of course be longer than LifeTime.

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#470369 - 01/10/18 12:40 Re: New Zorro version 1.74 [Re: jcl]
Zheka Offline
Member

Registered: 07/03/17
Posts: 291
LifeTime appears to work from the last entry.
Because Zorro (differently to other software) treats skipped trades/entries as valid, LifeTime gets counted from the most recent *entry* (whichever it is).
So, using MaxLong/MaxShort is a shortcut with unexpected consequences.

ExitTime almost does the job. But trade duration is 4 bars, not 5.

JCL,
- what is ExitTime?
- I believe there is a huge difference between trades skipped by MaxLong/Short and those skipped because of a lack of margin.

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#470370 - 01/10/18 12:52 Re: New Zorro version 1.74 [Re: Zheka]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26307
Loc: Frankfurt
ExitTime is undocumented, so I can't say what exactly it does, only that using it is obviously no good idea. For LifeTime look here: http://manual.zorro-project.com/timewait.htm

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#470372 - 01/10/18 17:42 Re: New Zorro version 1.74 [Re: jcl]
Zheka Offline
Member

Registered: 07/03/17
Posts: 291
ExitTime appears to be/work the same as setting TradeExitTime. Which the manual says equals LifeTime+1. So, setting it to 5 closes the trade in 4 bars.

The question though is why TradeExitTime works with real trades, and LifeTime - also with skipped ones?

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#470381 - 01/10/18 20:53 Re: New Zorro version 1.74 [Re: Zheka]
Dalla Offline
Member

Registered: 02/24/17
Posts: 258
Not sure if this is related to 1.74 not. In the remarks section for adviseLong/adviseShort, there is a mention of setting a DataHorizon parameter. However the link leads to a page which doesn't mention Data at all.

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#470390 - 01/11/18 13:12 Re: New Zorro version 1.74 [Re: Dalla]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26307
Loc: Frankfurt

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#470391 - 01/11/18 13:20 Re: New Zorro version 1.74 [Re: jcl]
Dalla Offline
Member

Registered: 02/24/17
Posts: 258
Great, thanks!

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#470415 - 01/12/18 18:40 Re: New Zorro version 1.74 [Re: Dalla]
Grat Offline
Member

Registered: 05/29/15
Posts: 100
Loc: Czech Republic
small cosmetics bug -

Code:
panel(0,0,0,0);



not working with STEPWISE

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