Number of bars that are executed before Zorro begins to trade (default = 80). Required for indicators that derive a value from a time period in the past. Set it to a value that is sure to cover the longest indicator time period, or to 0 when no lookback period is required because no series or indicators use it. The maximum lookback period for live trading is one year. Backtests can have any lookback period as long as it does not exceed the total number of bars.


Strips off the given period (default = 40) from cumulative indicators. Some indicators, even when calculated over a finite period, are influenced by an infinite number of past bars. They are cumulative - indicators "with memory". Examples are the EMA (Exponential Moving Average) and the ATR (Average True Range). They use their previous bar's value in their algorithm, which in turn use the value of their previous bars, and so forth. This way a given value will have influence on all the subsequent values. In contrast, a simple moving average (SMA) only reflects the average of its period, without any influence from bars further in the past.
Because a price series is always finite and starts at a certain point, the affect of missing past bars is the more significant, the closer to the start a cumulative indicator is calculated. Thus a trade strategy using the EMA or derived indicators (such as the MACD) could behave different dependent on its bar number. The UnstablePeriod value allows to strip off such initial unstable period and remove the influence of all bars prior to this period. This way indicators are guaranteed to behave the same way regardless of the amount of past data. For coming as close to the real cumulative formula as possible, strip off as much data as you can afford. Getting rid of 40 bars (default) is reasonable for most indicators.


Maximum number of trades per asset and bar of the simulation period (default = 1); also determines the maximum number of series. If more trades are opened, an error message (Error 049) will be issued. Set this to a higher value when the strategy needs to enter an unusual number of trades or create an unusual number of series, as for special tests, for grid trading, or for training an advise function.


Minimum daily trading time of the least traded asset in minutes (default = 360, i.e. 60 minutes * 6 hours). Internally used for determining the maximum lookback time. Set this to a lower value when Error 047 indicates that the lookback period gets not enough historical bars at trading start. This can be the case when an asset is only traded a few hours per day, or when you use a bar function that produces only a few bars per day.





UnstablePeriod = 60;
LookBack = 120+UnstablePeriod; // required for ATR(120) 
Stop = ATR(120);

See also:

bar, BarPeriod, TimeFrame, BarOffset, dayHigh, Date


► latest version online