At the begin of the script, Alice has now additionally set the FACTORS flag: set(PARAMETERS+FACTORS); You can set several flags at once by just adding them in the set function. If FACTORS is set, Zorro now also calculates OptimalF factors in [Train] ...

Automated Trading & Backtesting Course - Part 2: System Development

Money management is an algorithmic method of distributing your money among a portfolio of assets and trade algorithms in a way that your profit is maximized and your risk is minimized. As you can imagine, there are many money management methods and ...

Automated Trading & Backtesting Course - Part 2: System Development

Yes, depreciated. Zorro is not very old, but already underwent some variable-redefinition and renaming cycles. - We're now going to [Train] the new portfolio strategy. Because we have now four components - asset/algorithm combinations - the training ...

Automated Trading & Backtesting Course - Part 2: System Development

You must always include <default.c> before including anything else. Only when you include nothing you need not do that, because then it's included automatically for beginner's sake. default.c contains all the trading stuff. Also note that #include ...

Automated Trading & Backtesting Course - Part 2: System Development

Yep, you're right - that indeed crashes. Incredible. Obviously no one had tested with a 2012 startdate so far. This will be fixed in the next update - until then please use NumYears instead.

Automated Trading & Backtesting Course - Part 2: System Development

In the first run before prices are loaded, all prices are at 0.00. For printing in all run cycles, use printf("#... - the "#" prints all cycles. url Can you let me know which asset and StartDate you used? We only included historic prices back ...

Automated Trading & Backtesting Course - Part 2: System Development

Portfolio Trading — Let's now analyze Alice's new code. The tradeTrend() function uses a similar trade algorithm as in the first script of this course, only without the filter. Instead, this time the LowPass time period and the stop loss value ...

Automated Trading & Backtesting Course - Part 2: System Development

Yes, your code calls priceUSD() every bar and fills the series. You can then use Price[0], Price[1] etc. for the historic prices of the synthetic asset. The bars are synchronized. The first asset() call in the code generates the bars; the subsequent ...

Automated Trading & Backtesting Course - Part 2: System Development

Yes, you can create a synthetic asset. Let's assume that you want to create an asset combined from the USD value of EUR, GBP, and CHF, then you would write a price function like this: var priceUSD() { var p = 0; asset("EUR/USD"); p += price(); ...

Automated Trading & Backtesting Course - Part 2: System Development

Bob has given Alice the task to write a script that trades with several assets simultaneously, and uses both trend and counter-trend strategy algorithms. This is her first version (Workshop6_1 script, fee: $28,000): // Trend trading function ...

Automated Trading & Backtesting Course - Part 2: System Development

Bob: I got it! This is it! Alice: Bob! Why are you running naked through the streets? Bob: Huh? Oh, I was just sitting in my bathtub when I suddenly got this brilliant idea. I need you to program it immediately. This will solve all my trading ...

Automated Trading & Backtesting Course - Part 2: System Development

WFO results — This is the performance of the WFO-trained strategy - again, depending on the current price data your result might look slightly different: image Click [Result] for getting the chart below: image We can see that the test now ...

Automated Trading & Backtesting Course - Part 2: System Development

Walk Forward Optimization — Alice has used the price data from the last 5 years for optimizing the parameters, and has used the same price data for testing the result! This always generates a too optimistic result due to curve fitting bias. It ...

Automated Trading & Backtesting Course - Part 2: System Development

Performance of an optimized strategy — For training the strategy, click [Train] and observe what the optimize calls do. During the training phase, which can take about one minute depending on the PC speed, you'll see some charts pop up, like ...

Automated Trading & Backtesting Course - Part 2: System Development

Yes, I think telephone won't work. Zorro is only a very small program, but the installation contains tons of M1 price data files for backtesting, and that makes the setup file huge. I believe it's almost 200 MB.

Automated Trading & Backtesting Course - Part 1: Programming

Training a strategy — Today we'll learn how to make a system more robust with training. Training means that strategy parameters are optimized - modified in small steps until the strategy returns stable profits with minimum variance. Which ...

Automated Trading & Backtesting Course - Part 2: System Development

Hmm, Win7 Ultimate is fine for Zorro. Maybe the download was interrupted so that your setup file is damaged? Which size has Zorro_setup.exe on your PC?

Automated Trading & Backtesting Course - Part 1: Programming

The following lines at the end of the script are responsible for displaying the signal curves in the chart: plot("DominantPeriod", LowPeriod, NEW, BLUE); generates a plot of the LowPeriod variable in a NEW chart window with color BLUE. We can use ...

Automated Trading & Backtesting Course - Part 2: System Development

Counter trend trading is affected by market cycles and more sensitive to the bar period than trend trading. Bob has told Alice that bar periods that are in sync with the worldwide markets - such as 4 or 8 hours - are especially profitable with this ...

Automated Trading & Backtesting Course - Part 2: System Development