Hello,
Viewing the Z3 test result with all assets (Capital = 500):
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Annual return 80%
Profit factor 1.53 (PRR 1.23)
Sharpe ratio 0.74
Kelly criterion 0.69
R2 coefficient 0.770
Ulcer index 10.4%

Portfolio analysis OptF ProF Win/Loss Wgt% Cycles

NAS100 avg .068 2.32 22/19 37.3 \\///////
SPX500 avg .000 0.60 7/11 -14.5 ///..\..
US30 avg .056 2.23 22/16 36.7 //////./
XAG/USD avg .020 1.74 17/17 50.3 ////X/\X..
XAU/USD avg .000 0.61 12/24 -9.8 .X/X..//
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I decided to do the test excluding SPX and XAU:
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Annual return 145%
Profit factor 2.03 (PRR 1.55)
Sharpe ratio 1.16
Kelly criterion 0.92
R2 coefficient 0.959
Ulcer index 5.4%
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In view of the results, I wonder why Z3 doesn't use OptimalF factors to improve the performance (no Z3.fac).

My idea is to put to work in real Z3, excluding SPX and XAU. Do I miss something?

Thanks in advance,
Jose