Jason Rathgeber

The experienced Fintec Developer Data Scientist Web Guru

Zorro

Zorro

New : automated live running results.

Zorro is automated trading software that seems to be well suited to FX. Of course FX is well suited to Automated trading. FX trades 24 hours a day –> Sunday night to Friday evening, The products never change, there is a nicely finite number of major crosses unlike equity trading, and there are no term structure or settlement dates to worry about. Indeed all of the articles in Zorro blog and the examples in the documentation all seem to be based on FX markets.

In the following blog I plan to keep a running score card of my experience with Zorro. I have installed the free software (versions 144 and 150) after a summer of running the Z1 strategy against against an FXCM practice account I am ready to go live. This does not strictly mean I felt the strategy was hugely profitable as advertised. It only means that I feel the strategy operates generally as advertised.

October 10th, 2016

Today is start day of the simulation. 1000 in the account. First trade is a winner for a $2 profit so far !

October 23th, 2016

Zorro is down I guess 43 dollars. As the manual states this is not a normal drawdown but a statistical effect of starting a trading system. Ok ..

Note : If you are a US based customer make sure to set NFA = 1 in the Z.ini file. w/o this set Zorro cannot close and open trades properly. Yes I got this far w/o understanding this properly.

November 27th, 2016

Had meant to give more regular updates on Zorro but there has been honestly so much action last few weeks I could not have written it all down.

Current state of 1lk account is balance is $863 which means it is down $165 or so. Sort of not great but not I guess not material money to me either.

This would be bad news for Zorro if it had lost the money but truth is this is what happened: After a few weeks of trading the account was down to 800 – some lost by me trading manually and some lost by Zorro too. I had some things set wrong and after correcting them started to have a better performing Zorro – at least in terms of me understanding what Zorro was doing.

However, before things got better they got a lot worse. On US election night – after originally being almost back to even – I lost $500 !! Yes 50% of the account. It was shocking and exhausting. At work next day I was dead (just like everyone else but they were concerned about the fate of the nation not their FX accounts) That’s 100:1 leverage for you. It was all me trading it myself. Zorro just ticked away in the background but basically I lost it. I could have switched it off right there but I decided to leave Zorro running. I remember thinking I am leaving this on till Zero….

Since that time Zorro has engineered quite a comeback for the account. Starting that very night Zorro started buying the USD. This is the opposite of what I thought would be a good idea. But that’s what trend following systems do – they buy what is going up no matter what. It has held the positions all the way up and I would roughly say Zorro is up +350 USD or so now. The screen shot below says + 263 but that is just open positions – it has taken some profit. Actually things got close to even on the account (miracle !) by middle of last week but things have pulled back a little since then.

So current state of account is +1000 start – 500 lost by j + 350 made by Zorro = 850

So one problem you can see is my trading and Zorro trading are intertwined and it is hard to tell what is what. Next year starting sharp on Jan 1st I plan to have at least two sub accounts – one for Zorro and one for myself. Then I plan to let Zorro trade for a whole year and really judge its performance vs mine. I will say I think the way Zorro runs is great. It is very stable and trades away at night and during they day while I am at work. Largely I don’t think about it during the day which is what I want.

That’s it. I am going to let Zorro run for a few weeks pretty much hands off I hope. Will let you know at the end of the year the final score is.

December 10th, 2016

Came up with some questions I sent to Zorro support :

  • a) Can I change the change the start and end date of a Z1 simulation? The end date seems hard coded to me and never increases even as I download new data while live trading. The docs mention changing the end date of your own script but not a Z system sim.
  • b) Is there a new version of Zorro being made available to download soon? I have downloaded 150, though I run 144 live, but the release notes mention 1.52. The reason I ask is that if the start and end dates of Z-system simulations are fixed then maybe a new version will increase the end date. I keep checking but nothing recent.
  • c) The documentation says that Z systems ‘have an element of randomness built in‘. This sounds fair and clever but I was curious where/how you introduce this. During my back testing of Z1 I don’t detect any randomness and my Z1 system result never changes. If it is not run-time randomness is it compile-time or maybe even install-time randomness? It does seem like Z1 backtests differ across versions.
  • d) Finally, right on the front page of the site in the release blurb it states “backtest of live trading sessions” now supported but I could not find any further mentions in the docs despite having read them through twice over. This is just what I want to do – run a sim of Z1 that matches my live trading history. Could you provide a more detail explanation or point me towards right place?

I am going to put my take on their response here. You can read unedited version in the Zorro support forum :

  • a) no - we prefer to control and hard code this
  • b) dum question
  • c) the randomness is introduced in live trading only. Oh no !!
  • d) this is possible and described in the manual. I have since seen it.

December 31st, 2016

FX trading ended the year on a down note. Zorro Z1 continued to perform well and almost brought the account back to flat but could not quite get there. I continued to screw it up with meddling right till the end of the year. Gambling is addictive like they say. On the last day of the year I closed all the open trades so next year will start from exactly 0. I also topped the account back up to a round number. I plan to run Zorro for a whole year with no ‘helping it’ and really calculate results. Will keep you posted on returns/losses as they come in.

Net 2016 result : -$185USD = -585 lost by j + 400 made by Zorro

January 4th, 2017

"Problems in Paradise" as my friend from Winnipeg used to say. Posted the following question to the user forum :

Has anyone tried to use Zorro with FXCM sub accounts ? In the manual it recommends not to try this but I thought I would give it a quick try anyways. It would be nice to use just one loggin to FXCM and see various sub accounts that correspond to scripts. Then I could see my consolidated risk in one place which would be nice. However I don't think it is working - no error message - but my original Zorro can't detect the primary account balance - I don't think. Just wondering if anyone uses FXCM this way. Thanks

Two weeks later I resolved the issue myself as I was adding my accounts to the accounts.csv file to make managing easier. While doing this I noticed a field for 'account number' distinct from 'username'. In this field you can add the primary/sub account details. Once I did this Zorro was able to recognize the margin in each one. Note you need Zorro S license applied or Zorro won't read this file.

January 10th 2017

I finally got things back up and running after being down for the first two weeks of the year due to the account issues. So what I have now are two Zorro’s running both on small amounts of real money -> one trend following and one mean reversion (Z1 & Z2). These systems should be uncorrelated with each other and thus should be less risk than running just one. This is unless of course if it turns out no Zorro can really make money then it will be higher risk having two of them both always loosing money.

January 15th 2017

Not happy with the state of my accounts on FXCM as I have a mixture of sub accounts with same login and separate accounts with new logins. Changes may be coming.

January 17th 2017

Got home from work one of two Z's is hung. Really bad - I am not pleased to see this and probably first time I ever have. Fortunately no account losses. Worse - when I close one of the Zorro's the frozen one unfreezes . This means they processes of the two are interacting somehow. Its been a long hard day.


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