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#473096 - 06/13/18 06:44 Re: New Zorro version 1.83 [Re: jcl]
drack Offline
Guest

Registered: 06/13/18
Posts: 1
Loc: WA
Per http://zorro-project.com/manual/en/bittrex.htm "An asset list AssetsBittrex.csv with about 100 main cryto currencies is included" there is no assetbittrex.csv list in the download. It would be nice to have it since this is my first time using Zorro or an algo trader.

If someone could Give me the format for the AssetsBittrex.csv compared to Bittrex's https://bittrex.com/api/v1.1/public/getcurrencies so I can try and sort this out that would be swell.


[{"Currency":"BTC","CurrencyLong":"Bitcoin","MinConfirmation":2,"TxFee":0.00050000,"IsActive":true,"CoinType":"BITCOIN","BaseAddress":"1N52wHoVR79PMDishab2XmRHsbekCdGquK","Notice":null},


Edited by drack (06/13/18 06:47)

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#473113 - 06/14/18 10:23 Re: New Zorro version 1.83 [Re: jcl]
MatPed Offline
Senior Member

Registered: 02/28/15
Posts: 449
Loc: Milano, Italy
Hi,
Zorro 1832 never finish training, in multicores, standard Workshop6.
No issue with previous or later version.

You can daownload the image from here:
Html:
https://biteu-my.sharepoint.com/:i:/g/personal/matteo_pedroni_bit-eu_com/EU5ihFE08V9GvZPqyFBeqPMBhOaQAiLOXvT6hwI4_govsQ?e=hmJamq



Ciao

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#473118 - 06/14/18 13:38 Re: New Zorro version 1.83 [Re: MatPed]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26431
Loc: Frankfurt
Thanks, we know the multicore problem, it's on the bug list and currently under investigation. The promised bittrex asset list did not make it into the final release, but you can download it here:

http://opserver.de/down/AssetsBittrex.zip

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#473193 - 06/20/18 11:53 Re: New Zorro version 1.83 [Re: jcl]
jrath Offline
Junior Member

Registered: 11/06/16
Posts: 53
Loc: USA
There is a slight bug in the new zorro version where it prints that if covers short trades at Zero. This blows out the P&L to a huge number. Happened a few times now. Not seen before this version. I am running 183.2


Attachments
bug.PNG



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#473207 - 06/21/18 14:16 Re: New Zorro version 1.83 [Re: jrath]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26431
Loc: Frankfurt
This happens when the broker API returns a very small nonzero number for the close price. You can contact Support with details, maybe it's a systematic problem with a prticular broker.

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#473507 - 07/16/18 23:23 Re: New Zorro version 1.83 [Re: jcl]
DdlV Online
Serious User

Registered: 06/10/13
Posts: 1351
Hi jcl.

2 things about 1.83:

1) I see above that it's released, however I didn't receive the normal release announcement email - was it sent?

2) I have downloaded and installed 1.832 (via Zorro_Setup) and the latest 2010 and 2016 History files. All Z Systems Test to the results in the manual, EXCEPT Z3 - it only Tests to 33% AR, not ~90%. It seems something like this happened once before, but I can't find that thread. If the Zorro version and History files are correct per the above, and all the other Systems Test fine, where else should I look to fix Z3 Test?

FYI, here is the Z3.txt file I get:

Code:
WFA Test Z3  (TICKS)

Simulated account   AssetsFix 
Bar period          24 hours (avg 2027 min)
Simulation period   2010-05-24..2018-05-12 (2067 bars)
Test period         2012-07-23..2018-05-12 (1504 bars)
Lookback period     100 bars (20 weeks)
WFO test cycles     8 x 188 bars (38 weeks)
Training cycles     9 x 563 bars (116 weeks)
Montecarlo cycles   200
Simulation mode     Realistic ticks (slippage 5.0 sec)

Gross win/loss      32111$ / -23282$ (+4997p)
Average profit      1522$/year, 127$/month, 5.85$/day
Max drawdown        -5970$ 67.6% (MAE -5970$ 67.6%)
Total down time     86% (TAE 68%)
Max down time       47 weeks from Nov 2014
Max open margin     266$
Max open risk       3036$
Trade volume        3788968$ (653101$/year)
Transaction costs   -1393$ spr, -983$ slp, -2491$ rol
Capital required    4559$

Number of trades    245 (43/year, 1/week, 1/day)
Percent winning     47.3%
Max win/loss        2052$ / -812$
Avg trade profit    36.04$ 20.4p (+156.7p / -102.1p)
Avg trade slippage  -4.01$ -2.3p (+0.5p / -4.8p)
Avg trade bars      6 (+8 / -5)
Max trade bars      37 (7 weeks)
Time in market      108%
Max open trades     4
Max loss streak     11 (uncorrelated 9)

Annual return       33%
Profit factor       1.38 (PRR 1.15)
Sharpe ratio        0.64
Kelly criterion     1.24
R2 coefficient      0.015
Ulcer index         21.2%

Confidence level     AR   DDMax  Capital

 10%                 38%  5244   4037$
 20%                 34%  5905   4513$
 30%                 31%  6523   4957$
 40%                 28%  7102   5373$
 50%                 26%  7681   5789$
 60%                 24%  8524   6395$
 70%                 22%  9260   6925$
 80%                 20%  10472   7796$
 90%                 15%  13502   9975$
 95%                 13%  15586   11474$
100%                  9%  22342   16332$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

NAS100 avg          .001  1.04   27/38     3.0  /\\//
SPX500 avg          .000  0.82   26/32    -7.3  /\..//
US30 avg            .042  2.08   39/34    58.8  ////////
XAG/USD avg         .014  1.52   24/25    45.5  /XX///.

NAS100              .003  1.04   27/38     3.0  /\\//
NAS100:L            .003  1.04   27/38     3.0  /\\//
NAS100:S            .000  ----    0/0      0.0  ........
SPX500              .000  0.82   26/32    -7.3  /\..//
SPX500:L            .000  0.82   26/32    -7.3  /\..//
SPX500:S            .000  ----    0/0      0.0  ........
US30                .084  2.08   39/34    58.8  ////////
US30:L              .084  2.08   39/34    58.8  ////////
US30:S              .000  ----    0/0      0.0  ........
XAG/USD             .014  1.52   24/25    45.5  /XX///.
XAG/USD:L           .007  1.31    8/13    14.6  //./..
XAG/USD:S           .021  1.75   16/12    30.9  //\///.



Thanks.

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#473519 - 07/18/18 19:41 Re: New Zorro version 1.83 [Re: DdlV]
DdlV Online
Serious User

Registered: 06/10/13
Posts: 1351
Hi jcl. Would appreciate your thoughts on the above so I can correctly reconcile Z3 in preparation for implementing 1.83 this weekend.

Thanks.

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#473521 - 07/19/18 10:53 Re: New Zorro version 1.83 [Re: DdlV]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26431
Loc: Frankfurt
If you didn't receive the email, check if you opted out of it on the download page. If it doubt, register your email again. I get 96% when I test Z3 with 1.83.

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#473526 - 07/19/18 13:55 Re: New Zorro version 1.83 [Re: jcl]
DdlV Online
Serious User

Registered: 06/10/13
Posts: 1351
Thanks jcl. No, never opted out. I guess I'll register again, then.

Can you post your Z3.txt? Or post what the differences are so I know where to start looking...

Thanks.

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#473535 - 07/20/18 15:16 Re: New Zorro version 1.83 [Re: DdlV]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26431
Loc: Frankfurt
Code:
Gross win/loss      24599$ / -13393$ (+6458p)
Average profit      1932$/year, 161$/month, 7.43$/day
Max drawdown        -2435$ 21.7% (MAE -3559$ 31.8%)
Total down time     72% (TAE 54%)
Max down time       47 weeks from Nov 2014
Max open margin     266$
Max open risk       2954$
Trade volume        2400653$ (413798$/year)
Transaction costs   -943$ spr, -639$ slp, -1803$ rol
Capital required    2017$

Number of trades    157 (28/year, 1/week, 1/day)
Percent winning     53.5%
Max win/loss        2052$ / -812$
Avg trade profit    71.38$ 41.1p (+168.8p / -105.7p)
Avg trade slippage  -4.07$ -2.3p (+0.6p / -5.7p)
Avg trade bars      7 (+8 / -5)
Max trade bars      37 (7 weeks)
Time in market      76%
Max open trades     4
Max loss streak     7 (uncorrelated 7)

Annual return       96%
Profit factor       1.84 (PRR 1.46)
Sharpe ratio        1.00
Kelly criterion     1.05
R2 coefficient      0.744
Ulcer index         6.5%


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