~~~ Zorro / Zorro S Features ~~~

C/C++ script compiler

• Choice between lite-C and VC++, 32 or 64 bit (code examples).
• High speed (~750 ns latency in HFT mode).
• Direct access to the Windows API and external DLLs.
• Direct access to R and Python functions and libraries.
• Native support of time series, datasets, matrices, fuzzy logic.
• Multiple CPU cores for optimizing and machine learning.
• Individual spreadsheet-based user interfaces.
• Single-step visual debugger for analyzing strategies.
• Integration toolkit for running Zorro scripts from external software.

Data analysis

• 300+ indicators and time series analysis functions.
• Frechet pattern detection, signal processing, spectral analysis.
• Parabolic regression for predicting peaks and crossovers.
• Support and resistance lines, divergence/convergence detection.
• Market sentiment, currency strength, seasonal strength analysis.
• Monte Carlo algorithms, bootstrap and shuffle randomizing.

Machine learning

• Deep Learning with Torch, Keras, Tensorflow, MxNet, H2O, Deepnet.
• Native perceptron, pattern, decision tree, fuzzy logic support.
• Machine generated algorithms can be exported to C code.

Data import

• Level I, level 2, and options data import from CSV and JSON.
• Supplementary data (COT, yield, earnings, blockchains. . .).
• Content import from HTML websites ("web scraping").

Broker/Data connections

• Open Source interface for API, REST, and FIX connections.
• Data feeds: AlphaVantage, CryptoCompare, IEX,
  DTN IQFeed, Quandl/Nasdaq, Stooq, Yahoo.
• Brokers: Ally Invest, Alpaca, Dukascopy, Finvasia, FXCM, IG,
  Interactive Brokers, Oanda, Think or Swim (TD Ameritrade),
  TradeStation, Tradier, and all MT4/MT5 brokers.⁺
• Digital coins: Binance, Bitfinex, Bittrex, Coinbase, Coinigy,
  Deribit, Kraken.⁺
• Platform connections: MT4, MT5, Sierra Chart.⁺

Trading engine

• Time frames from 1 millisecond to 1 week.
• Simultaneous connection to multiple brokers and data feeds.
• Account/asset lists with symbol mapping and individual parameters.
• Options/combos with calculation of IV, Delta, Greeks.
• NFA/FIFO compliance. Virtual hedging for concurrent opposite positions.
• Automated background training and optimizing while live trading.
• Phantom trades for skipping drawdown periods ("Equity Curve Trading").
• Special HFT mode for high frequency trading backtests.

Test & optimization

• World's fastest optimizer (25 seconds for 12 parameters*)
• World's fastest tick-level backtester (0.3 seconds for 10 years*).
• Range, Renko, Point-and-Figure, and user-defined bar types.
• Ascent, brute force, genetic, or user-defined optimization.
• Precise broker simulation with fees, leverage, swaps, slippage.
• Oversampling and detrending on price, signal, or trade level.
• Individual parameter optimization for portfolio components.
• Optimal capital allocation by MVO or OptimalF algorithms.
• Rolling and anchored walk forward analysis.

Charting & reports

• Detailed performance reports with Monte Carlo analysis.
• Interactive chart viewer with zoom, step, and replay functions.
• Candle, bar, contour, heatmap, and scatter plots.
• MAE/MFE, profit, season, option payoff, parameter histograms.
• Montecarlo reality check with randomized price or equity curves.
• Indicator, chart, and trade list export to spreadsheets.
• Live trading status reports on web page and by email.

Process control

• Integration in external software via DLL.
• Full control with batch files.
• Multiple backtests for statistics or reality checks.
• Multi-Zorro networks on local PC or via cloud.

Ready-to-run strategies**

• Z1: Trend detecting Forex/CFD trading system.
• Z2: Mean reversion Forex/CFD system with spectral analysis.
• Z7: Pattern detection Forex system by using machine learning.
• Z8: Long-term MVO-based stock/ETF portfolio rotation.
• Z9: Long-term momentum based sector ETF portfolio rotation.
• Z10: MVO cryptocurrency trading system.
• Z12: Anticorrelation based trend/countertrend system.
• ZZ13: Options combo selling system.

⁺ Brands and trademarks are property of their owners and not affiliated with oP group Germany. Some broker / platform API plugins are submitted by users and not subject to Zorro support.
* 0.3 seconds for backtesting a simple RSI strategy (Benchmark.c example) in ticks mode with 10 years M1 data. 25 seconds for walk-forward optimizing a 12-parameter multi-asset strategy (OptimizeTest.c example) on 4-hour bars with 10 years M1 data. Zorro S on 2.6 Ghz Intel i7 system.
** Strategy details here. Algorithmic trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in algorithmic strategies. Don't trade with money you can't afford to lose. The past performance of any trading system or methodology is not necessarily indicative of future results.

 ~~~ Features Comparison Table ~~~