Hi jcl,

I´ve been trying to do what you told me, but i think i am either doing something wrong or maybe it´s not possible to do with Zorro what i intended.

This is the code i´m testing.

Code:
static var opt_Filtered;
static var opt_Signal;
static var opt_Threshold;
static var opt_Stop_Cntr;
	
function tradeCounterTrend()
{
	vars Price = series(priceClose());
	vars Filtered = series(BandPass(Price,opt_Filtered,0.5));
	vars Signal = series(Fisher(Filtered,opt_Signal));
	var Threshold = opt_Threshold;
	
	Stop = opt_Stop_Cntr * ATR(10);
	Trail = 4*ATR(10);
	
	if(crossUnder(Signal,-Threshold))
		enterLong(); 
	else if(crossOver(Signal,Threshold)) 
		enterShort();
}

function run()
{
	set(LOGFILE+PARAMETERS);
	NumCores = -2;
	BarPeriod = 24*60;
	LookBack = 500;
	StartDate = 2005;
	EndDate = 2015;
	Capital = 10000;
	
	if(ReTrain) {
		UpdateDays = -1;
		SelectWFO = -1;	
		reset(FACTORS);	
	}

	// Parameters	
	opt_Filtered = optimize(30,20,40,1);
	opt_Signal = optimize(10,5,20,1);
	opt_Threshold = optimize(1,0.5,1.5,0.1);
	opt_Stop_Cntr = optimize(4,2,10,1); 
	
	int i;
	string assets[2];
	assets[0] = "EUR/USD";
	assets[1] = "USD/JPY";
	
	for(i=0;i!=2;i++){
		asset(assets[i]);
		Lots = 5;
		tradeCounterTrend();	
	}
			
	PlotWidth = 1024;
	PlotHeight1 = 400;
}


When i run this, it seems that Zorro is optimizing only for the last asset, and then it aplies those parameters for the two of them.

I suspect this, because if i do it the loop way i can see the parameters given are those for USDJPY in this case.

Probably i´m doing something wrong. My idea was to obtain a set of parameters optimized for the whole basket, that is, those that get a decent result for all the set, not just for one of them an then applying the same parameters for the rest.

It is a kind of global optimization, not one by one and then summing up all equities.