I tried out the EXTRADATA flag after reading the comments on this forum about it giving a more accurate simulation of open and close prices.

Unfortunately I could not find any documentation about this flag on the mode flags page (Mode Flags Documentation).

I first trained and tested the binary options code from the financial hacker block with Zorro S 1.50.6 and the history from the Zorro homepage on the EUR/USD pair:

Code:
var objective()
{
	return ((var)(NumWinLong+NumWinShort))/(NumLossLong+NumLossShort);
}


function run()
{
	//set(EXTRADATA);
	
	BarPeriod = 5;
	LookBack = 100;
	NumWFOCycles = 20;
	NumCores = -1;
	
	set(BINARY);
	WinPayout = 75;
	LossPayout = 0;

	set(PARAMETERS);
	int TimePeriod = optimize(20,10,100);
	var Threshold = 0.01*(HH(TimePeriod)-LL(TimePeriod));

	if(NumOpenLong+NumOpenShort == 0) 
	{
		LifeTime = 1;
		if(HH(TimePeriod) - priceClose() < Threshold)
			enterShort();
		else if(priceClose() - LL(TimePeriod) < Threshold)
			enterLong();
	}
}


It gives this result:
Code:
Monte Carlo Analysis... Median AR 41%
Profit 37$  MI 1$  DD 8$  Capital 17$
Trades 493  Win 61.5%  Avg +0.9p  Bars 1
AR 50%  PF 1.20  SR 0.69  UI 8%  R2 0.90


Now I uncommented the set(EXTRADATA) line and trained and tested again:

It gives now this extraordinary result:

Code:
Monte Carlo Analysis... Median AR 658%
Profit 700$  MI 13$  DD 15$  Capital 22$
Trades 4737  Win 65.6%  Avg +1.7p  Bars 1
AR 712%  PF 1.43  SR 4.54  UI 1%  R2 0.98




I have now a SR of 4.54 and suddenly 4737 trades instead of just 493!!!

Now I don't think that can be quite right. It just looks too good. Why would the number of trades change just because of this flag?

Which numbers am I supposed to trust now? What does the EXTRADATA flag really do?