System Flags
Zorro's behavior can be set up through system flags
- that are internal "switches" that can be either set (activated) or reset
(deactivated). By default, they are normally off. Flags that affect the overall
behavior must be set in the initial run at start of the script; otherwise they can
be set or reset at any point. Some flags are status flags and
can be read only. Flags are set, reset, or read with the following functions:
set (int Flag1, int Flag2..., int Flag10)
Sets or resets the given system flags (up to 10). A flags is reset by adding
|OFF to the flag name. For instance, set(PARAMETERS,TICKS|OFF);
sets the PARAMETERS flag and resets the TICKS
flag.is (int Flag): int
Returns nonzero (or true) when the given system flag is set, otherwise
zero or false.
The main system flags:
SKIP1
SKIP2
SKIP3
Do not enter trades in the first, second, or third of
every 3 weeks of the historical price data (the period can be set up with
DataSkip). These flags can be used for out-of-sample
testing by separating test data from training data while still covering the same
time period. These flags must be set in the INITRUN.
PEEK
Allow peeking in the future through negative price function
offsets; [Test] and [Train]
mode only. Sometimes required for advise functions and
price difference analysis.
NOLOCK
Don't synchronize
the API and file accesses of multiple trading Zorro instances, to prevent that
they interfere with each other. Set this flag for speeding
up API access when the trading Zorros don't share the broker API, or when the
broker API allows simultaneous sccesses from multiple sources (MT4/MT5 does
not). This flag
must be set in the INITRUN.
NOWATCH
Ignore all watch statements. Can be set for trading
a script that is full of watches.
NOSHIFT
Do not shift dynamic series and do not change their
first element on series() calls. Useful for shifting series
only under special conditions, f.i. for emulating special bars.COMMONSTART
Delay the simulation until price history of all assets is available. Otherwise the
simulation starts either at the
StartDate or at the history begin of the first asset, whichever
is later, and missing price history of other assets produce an
Error 055 message. This flag must be set in the
INITRUN.
OPENEND
Do not close the remaining open trades at the end of a simulation cycle; leave them
open and ignore their results. This has two purposes. In [Test]
mode it eliminates the effect of prematurely closed trades on the performance report.
In [Train] mode it prevents that rules are affected by
the results of those trades.
ALLCYCLES
Do not reset the statistics values inside the STATUS structs when
a new sample cycle is started. The
Long/Short statistics and the
portfolio analysis are then the result of all sample
cycles so far. Print any sample cycle to the log; otherwise only the last cycle
is logged. This flag is always set in [Train] mode.
This flag must be set in the INITRUN.
TICKS
Tick-precise intrabar simulation. This flag must be set in the
INITRUN. If it is set, not only the Open, Close, High, and Low, but also the
price curve inside any bar is evaluated for triggering entry, stop, trail, or takeprofit
limits. TMFs are run on every tick
in the simulation, instead of only once per bar. This flag gives a more accurate
simulation result, but also requires more time for a simulation cycle, and allocates
more memory.
If this flag is not set, an intra-bar approximation
is used for simulating entry and exit. In this approximation, a stop loss is always
triggered earlier than a profit target, resulting in a slightly pessimistic simulation.
Trades closed by TMFs are sold at the open price of the
next bar. This less accurate simulation is sufficient in most cases, but
TICKS should be used when trades enter and exit at the same bar, when stop
loss, or takeprofit distances are small, or when trading is strongly affected by
tick functions or TMFs.
FAST
Fast simulation mode. This flag must be set in the INITRUN.
Ticks are not sorted by their time stamps, but by asset and by trade. This can remarkably
speed up backtests, but can generate a less accurate result and
peeking bias. In FAST mode the script
must take care that TMFs use no information from other trades or
from global statistics, since that would be peeking into
the future. FAST mode should not be used when it causes strongly
different results or when stop, take profit, or entry limits, TMFs, tick()
functions, or virtual hedging is used. Backtest a strategy first with and without
FAST and compare the results.
LEAN
Use compressed historical data. marketVal and
marketVol are not available, .t1 data
is stored without bid prices, and the open/close price of a bar is approximated
by the center point of its first and last tick (except for EOD historical data).
Set this flag when market volume is not needed or when the historical data has a
much higher resolution than one bar period, f.i. M1 data with 1-hour bars. This
flag reduces the memory requirement for backtests by 30%. It must be set in the
INITRUN before calling asset().
LEANER
Use only the Close from historical price data; disregard Open, High, Low, and Mean.
This flag is useful for strategies with hundreds or thousands of stocks, and reduces
in combination with the LEAN flag the memory requirement by 50%
when candles are not needed. It must be set in the INITRUN
before calling asset().
RECALCULATE
Run a full LookBack period at the begin of every WFO
cycle in [Test] mode. Discard the content of all
series at lookback start, and recalculate them from the
parameters and rules of the new cycle.
Without RECALCULATE the series keep their values from the previous
test cycle.
RECALCULATE increases the test time, but simulates
more realistically the start behavior of a new trade session. This flag must be
set in the INITRUN.
PRELOAD
In [Trade] mode, use Zorro's historical price data for
the LookBack period, rather than loading price data from
the broker's price server or from external data sources. If historical data is
not sufficient for filling the complete lookback
period, the remaining data between the end of the history and the current
time is still loaded from the broker or data source. This flag is useful for reducing
the start time of a system, for overcoming history limitations of broker servers,
or for extremely long lookback periods. Recent price history files from the current
and the last year must be available in sufficient resolution; use the
Download script for getting the most recent data. This
flag must be set in the INITRUN.
In [Test]
mode this flag suppresses the warning message when the lookback period is too long
for a normal trading session. It also causes price data to be reloaded at the begin
of any simulation cycle, which allows test cycles
with shuffling or otherwise manipulating the price data for generating reality check
histograms or other statistics.
PARAMETERS
[Train] mode: generate strategy parameters with
optimize calls and store them in Data/*.par.
This flag must be set before calling optimize. If
this flag is not set, parameters are not generated in the training run, but
still loaded from previously generated
*.par files.
[Test] / [Trade]
mode: load optimized parameters. If this flag is not set, the default parameters
from the optimize calls are used.
FACTORS
[Train] mode: generate OptimalF
capital allocation factors and store them in Data/*.fac. [Test]
/ [Trade] mode: load OptimalF factors for allocating capital.
If this flag is not set, all OptimalF factors are 1.
OptimalF factors are normally generated from the whole backtest
period. For generating them individually per WFO cycle, use the ALLCYCLES
training mode.
RULES
[Train] mode: use the advise
machine learning functions to generate trade rules or machine learning models, and store them in Data/*.c
or Data/*.ml.
This flag must be set before calling advise. Otherwise
rules or models are not generated, but loaded from previously generated *.c
or *.ml files.
[Test] / [Trade] mode:
load trade rules or machine learnign models and use them in the advise functions. If this
flag is not set, the advise functions always return the value 100.
MARGINLIMIT
Don't enter a trade when even the minimum amount of 1
Lot exceeds twice the used Margin
value, or when
the trade margin plus the trade risk exceeds the account balance.
Trades skipped due to too-high risk or too-low balance are indicated in
the log. This flag has no effect in training mode or for phantom
trades that are always executed regardless of the margin.
RISKLIMIT
Don't enter a trade when even with the minimum amount of 1 Lot,
the trade risk is still higher than twice the than the allowed
Risk. Also don't enter a new trade in [Trade]
mode when the total risk of all open trades exceeds the available margin left in
the account. Setting this flag can reduce profit, as trades with a high stop loss
distance are often profitable trades. Trades skipped due to too-high risk or too-low
account are indicated in the log. This flag has no effect in training mode or for
phantom trades that are always executed regardless of the
risk.
ACCUMULATE
Accumulate the Margin of trades skipped by MARGINLIMIT
or RISKLIMIT, until the accumulated margin is high enough to overcome
the limits. The trade is then executed and the accumulated margin is reset. This
allows trading - although less frequently - with very small capital that would
result in trade sizes of less than one lot. This flag has
no effect in training mode.
BINARY
Simulate binary options for training and testing. This flag must be set in the
INITRUN. In binary mode the trade profit is not proportional
to the price difference between entry and exit, but determined by the
WinPayout or LossPayout of the
selected asset. The stake can be set with the Margin variable
for the backtest (live trading might require setting the stake with the
Lots variable or with an order
comment, dependent on the broker). Rollover and commission are ignored for binary
trades. Spread is 0 by default in binary
mode, but can be set to a nonzero value for simulating an additional disadvantage.
The trade time can be set through ExitTime. Stop loss
and profit targets are normally not set for binary trades, but can be used for betting
on negative or positive excursions in special binary modes. Hedging should be enabled
by Hedge = 2 for preventing the premature
close of opposite trades.
NFA
Activate NFA Rule 2-43(b) compliant trading; required for
most US based brokers, such as IB. Zorro handles NFA compliant trading in
a transparent way, so the user and the script normally need not care about NFA
complance. When this flag is set, the following NFA restrictions are observed:
- Directly closing positions is not allowed; the exit
functions open an opposite position instead.
- Simultaneous long and short positions are not allowed; instead use
virtual hedging if required.
- First opened positions must be closed first; virtual hedging
takes also care of that.
- Orders with inherent stops are not allowed; stops are managed internally
and StopFactor is deactivated.
- NFA brokers support only positions, but no individual trades; trades are
managed internally.
The NFA flag must be set in the INITRUN.
It is automatically set when the selected account has a nonzero
NFA parameter in the account list. Do not set this flag for non-NFA compliant
accounts. You can find out if your account is NFA compliant by manually opening
a long and short position of the same asset in the broker platform. If two
positions are then really open, your account is not NFA compliant and you must
not set the NFA flag. If the short position cancels the long
one, your account is NFA compliant and the NFA flag must be set. MT4 accounts are
normally not NFA compliant
even when the broker is located in the US; but they can be FIFO compliant and
require exiting trades in the order of their entry.
EXE
Do not run the simulation, but compile the script to an executable in .x
file format. Executable scripts start faster and can be used for distributing strategies
without revealing the source code. If a .c and a .x
script with the same name are found in the Strategy folder, the
.c script has priority. Zorro S required.
The EXE flag must be set in the
INITRUN; it can also be set by command line
or with the [Action] scrollbox.
STEPWISE
Do not run, but single step through the simulation in [Test]
mode. A click on [Step] moves one bar forward. [Skip]
moves to the next opening or closing a position. The current chart and trade
status will be displayed on every step in a browser window. For details see
debugging.
LOGFILE
Generate various log and statistics files in the
Log folder, dependent on [Test], [Train],
or [Trade] mode. This flag is always set in [Trade]
mode. When LogNumber is set, the number is appended
to the log filename. This flag must be set in the INITRUN.
BALANCE
Display the balance curve in the chart, and store balance rather than equity values
in the exported profit/loss curve.
This flag must be set in the INITRUN.MAECAPITAL
Do not calculate the required capital, annual return, and the 'underwater profile'
on the chart from maximum drawdown, but from maximum adverse excursion (see
performance report for the difference). This is for
comparing with results of other platforms and normally produces slightly higher
required capital. This flag must be set in the INITRUN.
TESTNOW
Run a test immediately after training, without clicking [Test].
Only when multiple cores are not used and when test and
training use similar mode flags. If the simulation is repeated multiple times (NumTotalCycles),
TESTNOW causes the price curve to be generated anew at the begin
of every cycle, which is useful for testing different bar offsets or detrend modes.
Since the test run uses the settings from the previous training, its result can
differ from a normal test. This flag must be set before calling
asset(). This flag must be set in the INITRUN.
PLOTNOW
Plot a chart immediately after testing, without clicking [Result].
Automatically set when the script plots a histogram with plotBar.
This flag must be set in the INITRUN.
Remarks
- In old scripts, flag combinations like set(PARAMETERS+TICKS)
were used for setting several flags, reset(TICKS) for switching
off a flag, and mode(TICKS) for checking the flag state. These
methods are still supported, but for new scripts use set(PARAMETERS,TICKS)
, set(TICKS|OFF), and is(TICKS).
Example:
function run()
{
if(is(TRAINMODE)) set(SKIP3);
if(is(TESTMODE)) set(SKIP1,SKIP2,TICKS,FAST,LOGFILE);
...
}
See also:
DataSkip, Status flags,
setf, Zorro.ini
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