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Z-systems for beginners #472239
04/17/18 22:08
04/17/18 22:08
Joined: Apr 2018
Posts: 26
Fuchs Offline OP
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Fuchs  Offline OP
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Joined: Apr 2018
Posts: 26
Since I just started to work myself into Zorro and trading in general
I am asking 6 beginner’s questions which may also help other newcomers:
1.)
Reading the Z-strategies it seems that Z12 is more lucrative than Z1 or Z2 alone.
Am I right to calculate that it would make sense to get a Zorro S,
because with say 2000 investment, after about 6 months it made enough to pay itself of?
2.)
Why does a Strategy need days to get started and then trains itself up?
Could this not be done using back-data and continuing straight away?
3.)
In order to prevent to have to pay for the initial learning a strategy needs,
could it not be done to first virtually trade and in the run switch to real trading?
4.)
Why (apart from risk management) should one not invest more than the square root of the capital?
Does that mean that the strategy is dependant on the amount it trades?
5.)
Since the equity curves of strategies get better, does one have to trade a strategy for the rest of his life in order to get the most out of it and would be stupid to stop one?
6.) (previously called "bonus" question)
Can one trade (with the free or S Zorro) and meanwhile work on the software to develop new strategies and backtest them ?

To all participants: Thanks a lot for your help. laugh

Last edited by Fuchs; 04/19/18 05:36.
Re: Z-systems for beginners [Re: Fuchs] #472243
04/18/18 00:14
04/18/18 00:14
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online
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AndrewAMD  Online
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Posts: 1,718
Chicago
I can answer some of these:

1. Historical performance does not imply future performance, so don't spend/invest more than you can afford to lose. (But the algos can be lucrative if the conditions are right.)

5. You should expect many of your strategies to become useless after some period of time due to changes in the market. Prepare to be very flexible. Objectively analyze your algos and retire the poor performers.

Bonus: This is easy to do if you have a dedicated VPS and a separate development machine.

EDIT: Where did the bonus question go? Now this thread will be confusing to latecomers.

Last edited by AndrewAMD; 04/18/18 21:01.
Re: Z-systems for beginners [Re: AndrewAMD] #472248
04/18/18 06:00
04/18/18 06:00
Joined: Apr 2018
Posts: 26
Fuchs Offline OP
Newbie
Fuchs  Offline OP
Newbie

Joined: Apr 2018
Posts: 26
Thanks Andrew.
Your answer 1 did solve half of my question 4 also ;-)

I still am a bit confused about your answer 5:
The Zs are fixed black-box-strategies which are given to us since years, so shouldn't they all be obsolete by now?
It seems to me that it is just a matter of luck to find the right asset to trade with and then running it, until it seems not to be lucrative any longer.
However, this is exactly what was not told to us in the manual - we were told to stick with a strategy and not pull out when we are scared.

Last edited by Fuchs; 04/18/18 07:41.
Re: Z-systems for beginners [Re: Fuchs] #472257
04/18/18 09:58
04/18/18 09:58
Joined: Aug 2017
Posts: 102
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Brax Offline
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Brax  Offline
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My two cents...

Z strategies are mostly generic type (mean reversion, trend trading, momentum) so in the long term the'd be profitable and "everlasting". But, this doesn't mean they can have long periods of unprofitability or that certain assets perform worse in certain periods.

That's why they autocalibrate their parametes after a period of time, for trying to best adapt to market conditions.

You are right, luck is always a factor, so that's why you must diversify your assets/strategies, invest prudently (money management) and remain always flexible and vigilant.

There aren't any more secrets.

Hope this shed some light to you.

Re: Z-systems for beginners [Re: Fuchs] #472258
04/18/18 10:05
04/18/18 10:05
Joined: Jul 2017
Posts: 783
Z
Zheka Offline
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Zheka  Offline
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In general, proper trading strategies exploit certain broad "inefficiencies" of a market (e.g. trends, mean-reversion, calendar, etc).

Such inefficiencies are "probabilistic", and so performance is significantly a function of market conditions. There will be periods when the strategy is MOSTLY in "sync" with the market and periods when it is not.

With smart position sizing and/or equity curve trading you can normally improve performance, but you still need to trade/track the strategy continuously.

And, importantly, also monitor the "inefficiency"/your algo itself. That's what "Cold Blood index" is for.

The Zs are "fixed" in terms of the inefficiencies they exploit.
But:
1) the algos themselves are occasionally improved (or retired), and
2) they are regularly "re-trained", i.e. parameters used are recalibrated to the current market conditions.

Re: Z-systems for beginners [Re: Brax] #472261
04/18/18 12:41
04/18/18 12:41
Joined: Apr 2018
Posts: 26
Fuchs Offline OP
Newbie
Fuchs  Offline OP
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Joined: Apr 2018
Posts: 26
Thanks, Brax, so if I have only 2000 to invest you would advice me to rather spread it to 3 different strategies (running 3 Zorros) than to put all my eggs in the basket of only one strategy?

Re: Z-systems for beginners [Re: Zheka] #472262
04/18/18 12:44
04/18/18 12:44
Joined: Apr 2018
Posts: 26
Fuchs Offline OP
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Fuchs  Offline OP
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Posts: 26
Thanks, Zheka,
now I ask myself: If the 1&2 mix-strategy 12 is of a higher return, does it not make sense to simply use that instead of strategy 1 & 2 ? After all, the risk seems to be the same.

Re: Z-systems for beginners [Re: Fuchs] #472282
04/18/18 15:39
04/18/18 15:39
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Zheka Offline
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Zheka  Offline
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It does.
You normally have to do such intelligent combination of uncorrelated strategies yourself; but with z12 that seems to have already been done for you.

Re: Z-systems for beginners [Re: Fuchs] #472283
04/18/18 15:54
04/18/18 15:54
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online
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AndrewAMD  Online
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Originally Posted By: Fuchs
The Zs are fixed black-box-strategies which are given to us since years, so shouldn't they all be obsolete by now?
Your question was asking about using an algorithm till death, so I was not talking about short term. Also, I was speaking in general, not necessarily about Z strategies.

oP group will keep a Z strategy alive so long as they deem it useful in today's market. Nonetheless, you should take it with a grain of salt and do your homework. Finally, the other comments about the cold blood index are useful.

Re: Z-systems for beginners [Re: AndrewAMD] #472289
04/18/18 19:13
04/18/18 19:13
Joined: Apr 2018
Posts: 26
Fuchs Offline OP
Newbie
Fuchs  Offline OP
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Joined: Apr 2018
Posts: 26
Thanks a lot, Andrew.
Since I am on a tight budged and learing about trading I am in two minds about whether to start with one strategy or not.
On one hand it is a good solid start to get aquainted with trading,
on the other hand I might be too inexperienced to know which ones to trade and when to pull out my strategy.
My thinking was that whilst a strategy runs I could get to know all backs and fronts of trading and meanwhile learn to write my own strategy - and later use it as a "backup" to have one solid strategy running whilst my experimental new ones is on the way.

Safer seems obviously to first trade virtually for a while,
but I won't get the months of experience in life-trading without the additional issues of my strategies not working.

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