~~~ Zorro / Zorro S Features ~~~

Zorro is an ecosystem for financial research and algorithmic trading. It is not a 'robot' and not a trading platform, but has some elements of both. It is not intended for manual trading - although theoretically it can be done with a suited script. But its main purpose is algorithmic trading with C or C++ scripts in automated or semi-automated mode. Technically it's a front end to a C or C++ compiler and a set of modules for time series analysis, machine learning, optimization, and online broker or data source connection. It allows with a few button clicks to edit trading strategy scripts, train machine learning algorithms, optimize and backtest systems with several methods, and trade them live.

Script

  • Choice between lite-C and C++ (code examples).
  • Direct access to R and Python functions and libraries.
  • Native support of time series, datasets, matrices, fuzzy logic.
  • Access to the Windows API and external DLLs.
  • 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 Keras/Tensorflow, MxNet, H2O, Deepnet.
  • Native perceptron and decision tree algorithms.
  • Candle pattern analyzer with fuzzy logic.
  • Export machine generated algorithms in 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, FXCM, IG,
    Interactive Brokers, Oanda, 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. HFT support.
  • 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").

Test & optimization

  • World's fastest WFO 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 portfolio and Monte Carlo analysis.
  • Interactive chart viewer with zoom, step, and market 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.

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 ~~~
 

Zorro
Zorro S
Trade Station™
MultiCharts™
MetaTrader™
First release
Zorro
2013
Zorro S
2014
Trade Station
1991
MultiCharts™
2005
MetaTrader™
2002
Manual trading
Zorro
-
Zorro S
-
Trade Station
MultiCharts™
MetaTrader™
Script languages
Zorro
C, C++, R,
Python
Zorro S
C, C++,
R, Python
Trade Station
Easy
Language
MultiCharts™
C#, Easy
Language
MetaTrader™
MQL4, C++
Backtest time *
Zorro
~ 0.3 sec
Zorro S
~ 0.3 sec
Trade Station
~ 71 sec
MultiCharts™
~ 155 sec
MetaTrader™
~ 110 sec
Timeframe resolution
Zorro
1 min
Zorro S
1 ms
Trade Station
1 sec
MultiCharts™
1 sec
MetaTrader™
1 min
Tick-level backtests
Zorro
-
Zorro S
Trade Station
MultiCharts™
MetaTrader™
-
Zorro
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
-
Zorro S
Trade Station
MultiCharts™
MetaTrader™
-
Zorro
-
Zorro S
Trade Station
MultiCharts™
MetaTrader™
-
Zorro
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
Zorro S
Trade Station
MultiCharts™
MetaTrader™
-
Zorro
-
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
-
Zorro S **
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
~300
Zorro S **
~300
Trade Station
~300
MultiCharts™
~300
MetaTrader™
~40
Zorro
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
-
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Zorro
-
Zorro S
Trade Station
-
MultiCharts™
-
MetaTrader™
-
Price
Zorro
free
Zorro S
€35 / month
Trade Station
$250 / month
MultiCharts™
$1497
MetaTrader™
free

More details: Zorro / Zorro S comparison. Features table based on manufacturer's documentations as of October 2018; no responsibility accepted for correctness. If you find something incorrect, please notify info@opgroup.de.  All content on this website may be subject to change at any time without notice, and is neither a solicitation nor an offer to buy/sell financial instruments. 

 

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