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assetlist entry for US-based OANDA account #472395
04/25/18 03:59
04/25/18 03:59
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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GPEngine  Offline OP
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Joined: Sep 2013
Posts: 504
California
When I request an assetlist from a US-based OANDA demo account, I get this line.
Code:
EUR/USD,1.22284,0.00012,-0.6876,0.2494,0.00010,0.000100,0.0245,50.005,1.0,0.600,EUR/USD


Does this look right? Does the trading cost seem a little high?
I'm asking because I am having a terrible time reproducing the equity curves shown in the Workshops, as a starting point. I know that there are many reasons for differences, but the differences are extreme, like -12% instead of +30% AR, for the same asset and time range. In particular, the last year of Workshop 4 does not look like yours. It's much worse.

Re: assetlist entry for US-based OANDA account [Re: GPEngine] #472396
04/25/18 08:09
04/25/18 08:09
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Since this question comes up all the time, we've included it in the FAQ:

Q. I use my own price data and asset list, and my results are very different to the results in the manual.
A. The manual results are generated with price and asset data from FXCM and IB. Run first a test with the included data and asset lists, then with your own data, and compare both performance reports, especially the trading costs. Look also into the logs and check where their trades differ.

Re: assetlist entry for US-based OANDA account [Re: jcl] #472398
04/25/18 19:40
04/25/18 19:40
Joined: Jun 2013
Posts: 1,609
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DdlV Offline
Serious User
DdlV  Offline
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Joined: Jun 2013
Posts: 1,609
Hi GPEngine, jcl. As one who has asked this if not all the time at least a lot laugh , I would split this into 2 FAQ's or manual topics and add more detail; a la:

Q: How do I replicate the manual's Z Systems results?
A: The manual results are generated with the latest Zorro release and price and asset data from FXCM and IB. To replicate these results:
1) Install Zorro
2) If you keep your History files in a different folder (Zorro.ini setting), move those from the Zorro install to this folder
3) Download the History files and install them to your History folder (even if you've done this before - they can change)
4) Test. You should obtain the manual's results within <x>%.

(Note: The <x>% still bothers me, as it's sometimes greater than simple rounding would allow...)

Q: The Z Systems do not give the same results when used with my Broker, Account, etc. The Z Systems and my own strategies give different results between Test and Trade. Why?
A: The Z Systems results depend on your Broker & Account parameters such as Leverage, Slippage, etc. Results also depend on how well you have been able to emulate your Trade reality in your Test environment. Once you have accomplished the results replication above, there is much more work to do. For example, how good is your Broker's Price data? How good an AssetsFix.csv have you created? The Download script often leaves many holes/defaults. Run an initial Test with your data and Asset list, then compare both Performance Reports, especially the trading costs and mix of trades between different Assets. Look also into the logs and check where and why their trades differ.

Regards.

Re: assetlist entry for US-based OANDA account [Re: DdlV] #472406
04/26/18 01:52
04/26/18 01:52
Joined: Sep 2013
Posts: 504
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GPEngine Offline OP
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GPEngine  Offline OP
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California
agree.

At a higher level, isn't this a very bad sign?
There is a hidden broker dependency (1) that as we can see turns a basic trend following strategy from a winner into a loser. Running far and fast in the opposite direction is a reasonable reaction.

(1) Further reading: http://mechanicalforex.com/2011/05/under...to-another.html

Re: assetlist entry for US-based OANDA account [Re: GPEngine] #472410
04/26/18 12:21
04/26/18 12:21
Joined: Jun 2013
Posts: 1,609
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DdlV Offline
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DdlV  Offline
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Joined: Jun 2013
Posts: 1,609
Hi GPEngine. I definitely agree that wild variability - including from profitable to loser - of Z Systems & all Strategy results across different Brokers & Accounts is at minimum a gotcha inadequately covered in the Manual.

I'd also clarify that it isn't Zorro "hiding" this - the obfuscation originates with the Brokers and the current nature of the beast.

Even staying with a given Broker & Account will not preserve results as the Broker can change Account parameters...

While "run away" (cue MP) is one choice, I prefer to think of it as an opportunity, & hope to be able to take advantage of this reality that we're stuck with...

Regards.

Re: assetlist entry for US-based OANDA account [Re: DdlV] #472429
04/27/18 02:12
04/27/18 02:12
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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GPEngine  Offline OP
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Joined: Sep 2013
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laugh


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