Script repository

The following scripts are included as examples and utilites and can be started from the [Script] scrollbox. Please note that not all scripts will start right away. Some are for Zorro S, some need training first, many need historical data, and some need Python, R, or modules like DeepNet or RQuantlib. Please check out the description in the source code.

Analysis

Calculates mean, standard deviation, skew, and kurtosis of the price curve of the selected asset.

Benchmark

Simple RSI strategy with 10-year backtest for speed tests and comparisons.

Binary

Example strategy for binary options with 5-minute bets.

BrokerArb

Broker arbitrage example. Exploits forex price differences between two brokers. Requires Zorro S and an account list with entries for the two brokers. 

CalculatePi

Example script that calculates the first 1000 digits of Pi

Chart

Opens a t1, t6, or t8 historical data file in the History folder and displays its content in a chart.

Control

Example script for the ZorroControl integration toolkit (Zorro S required). 

CSVtoHistory

Small example script for converting price history in some .csv formats to Zorro's .t6 format, optionally split into separate year files. The input/output file names and the format definition can be edited in the script.

CSVtoOptions

Small example script for converting options EOD history in .csv format to Zorro's .t8 format. The symbol and CSV format definition can be edited in the script.

CurrencyStrength

Strategy that exploits the relative strength of currencies and invests in the strongest forex pair. Requires forex history.

DateCalculator

Displays the Windows date and the Unix date for a given calendar date that can be set with the sliders. Click [Stop] to terminate.

Deeplearn

Short-term machine learning strategy from the article on Financial Hacker. Requires R with Caret and a deep learning package. Can switch between libraries Deepnet, H2O, MxNet, and Keras/Tensorflow.

Detrend

Displays the effect of detrending or shuffling price curves.

Distribution

Price distribution chart, comparing the distributions of two assets.

Download

Script for adding new assets or downloading the price history of single assets or asset lists; details under History.

DownloadEOD

Script for downloading end-of-day data in Zorro .t6 format from any arbitrary online source that delivers CSV or JSON data. The source URL and the format definition can be entered as strings. 

DTree

Multi-asset decision tree example. Demonstrates why out-of-sample tests for machine learning are mandatory. Requires forex history.

Ehlers

The system from the paper "Predictive Indicators for Effective Trading Strategies" by John Ehlers, converted to lite-C by DdlV. With and without crossover prediction.

Filter

Test Zorro's spectral filter and cycle detection functions with a sine chirp.

Gap

A simple gap trading system based on a book by David Bean as an example of time dependent trading (not really profitable).

GapFinder

Finds gaps in historical data and displays them with a red line.

Grid

For your grid trading experiments. Better do not trade this system with real money!

History

Displays the content of .t8, .t6, and .t1 historical data files in a spreadsheet. Uses the panel function and thus requires Zorro S; a history viewer for the free Zorro version is available on the download page.

Impulse

Test the impulse response of moving averages, smoothing filters, and lowpass filters.

InvestCalculator

Calculates the investment from initial capital and accumulated profit with the square root rule. The exponent can be set with the slider from 1.000 (linear investment) up to 2.000 (square root investment). Click [Stop] to terminate.

Keystrokes

Demonstrates controlling other applications by sending key strokes or mouse clicks to them. Opens Windows Notepad, writes something in it, saves the text, and closes Notepad.

Indicatortest

Displays the curves of popular indicators.

Luxor

System from a trading book by Jaeckle and Tomasini. Textbook example of an overfitted strategy: better don't trade it outside the backtest period used in the book. GBP/USD history required.

Mandelbrot

Example script that uses the Windows API for producing Mandelbrot fractals.

Martingale

For your martingale experiments. Better do not trade this one with real money!

MinWinRate

Scalping debunker. Plots a histogram of the required win rates for a given asset and trading cost dependent on trade duration in minutes. 

MultiTrain

Example of training both rules and parameters.

_New

Strategy template generated by clicking on [New Script]. Rename it afterwards. Source in Source\Template.c

OpenGL

Example script that demonstrates using external libraries, in this case the OpenGL 3D graphics library.

OptimizeTest

Walk-forward optimization of a 12 parameters portfolio strategy with the ascent, brute force, or genetic optimizer. Useful for comparing optimization speed and methods. Forex history required.

OptionsCalculator

Calculates the value and delta of call and put options with the Black-Scholes formula. Underlying price, strike distance to the price, and expiration can be set with the sliders, other parameters can be set up in the script. Click [Stop] to terminate.

PanelTest

Example script that demonstrates a complex spreadsheet-defined strategy control panel (Zorro S required).

Payoff

Display payoff diagrams of arbitrary option combinations. R and the RQuantLib package must be installed.

Perceptron

Simple machine learning system with walk forward analysis.

Predict

Predicts peaks, valleys, and crossovers in a price curve several bars in advance.

PriceDist

Compares the price ranges and price distributions of two assets (EUR/CHF and EUR/USD) for finding grid-trading-worth inefficiencies. EUR/CHF history required.

Process

Example of two interacting Zorro processes. Move the "Other" slider and see the effect on the other Zorro (Zorro S required). 

PythonTest

Short script for testing the correct installation of Python.

RandomPrice

Plots a price curve together with a random curve. Let fellow traders guess which one is which.

RandomWalk

Displays a histogram of short-term price movements by random and by real prices.

RecordT1

Records live prices of the current asset to a .t1 file in [Trade] mode. A click on [Save] stores the file. Zorro S required.

Regime

Script for testing the response of indicators to a market regime change from cycles to trending.

Rtest

Short script for testing the correct installation of R.

Sentiment

Connects to the Interactive Brokers TWS, downloads the SPY options chain, and plots today's market sentiment histogram. Zorro S required.

SpecialBars

Script illustrating the use of Range, Renko, Haiken Ashi, or Point-and-Figure bars for single-asset and multiple-asset strategies.

Spectrum

Spectral analysis chart example. SPX500 history required.

TradeCosts

Lists the ratio of spread to daily volatility of the main assets. Find out which assests are least expensive to trade. Forex and CFD history required.

TradeTest

A script that opens a panel with buttons for manually opening and closing positions in different modes. Useful for testing broker/account features, f.i. if it's a NFA account, if it is FIFO compliant or if partial closing is supported. Description under Broker Plugin.

TradeOptions

A script that opens a panel with buttons for manually opening and closing options with IB. Set strike and life time, select a combo, then click [Buy] or [Sell]. 

Turk2

A simple market sentiment system as described in the "Mechanical Turk" article. Not very profitable, but demonstrates the principle. SPY options history required.

Workshop1 .. Workshop8

Scripts containing the code examples from the workshops. Forex and SPY history required for workshops 6 and 8.

Z1 ... Z13

Zorro's included trade systems. Executable systems only (no source code). Forex and CFD history required. Zorro S required for some of the sytems.

See also:

Workshops

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