The posts I wrote about the FOREX neural network trading with Zorro Trader and DeepNet made me ask myself a question: how accurate is DeepNet in it’s predictions? Sure, 56.1% of our trades are winning, but what if DeepNet was 90% accurate, and Zorro Trader screwed up the execution? Or, what if DeepNet was only 30% accurate, but Zorro Trader got lucky and always executed the trades on favorable slippage (which is impossible in real life). Or what if, even…
Well, let us take a closer look at the results. The picture looks pretty, but what do the numbers tell us? 99 % ANNUAL RETURNS !!! We can DOUBLE our money every year with Neural Networks! Well, I guess the PROFITS part is clear. The Profit Factor is 1.07, with a respectable Sharpe Ratio of 1.04 and a R2 of almost one. Pretty good for any strategy, lots of profits with not that much risk. The draw-downs don’t look terrible…
Zorro Trader comes with several example strategies, some of them quite interesting. I am not talking about the Z strategies, which are supposed to be tradable live, out-of-the box, by anyone. I am talking about the rest of the stuff in the Strategy folder. A few of the files in there have names starting with DeepLearn, and several different terminations and extensions (.c and .r). As we know, C is for Zorro’s Lite-C, and R is for R files. Opening…
Here is a quick analysis of the Zorro Trader Lite-C code for the RSI algorithmic trading strategy we got from Investopedia (and Wikipedia). There is only one function in this trading script, and it is called run(): This is a standard Zorro Trader function, which is being called (meaning, executed) every time a new bar “comes in” from the broker (or from history, in case of a back-test). In Zorro Trader, a bar can be anything you like. But a…