Asset parameters 1 - profits and costs
Difference between ask and bid price of the current asset;
by default taken from the asset list when offline, or
from the current ask and bid price when connected to a broker. The trade profit
is reduced by the spread. For using historical spreads in the backtest, set Spread =
marketVal(); before entering or exiting a trade. For a backtest with no
transaction costs, set Spread = 0. Spread is
ignored for Options and futures that use the ask-bid
spread of the selected contract. Spread is also ignored in
binary trading mode (BINARY flag).
Simulated slippage in seconds (default = 5), effective in [Test] mode
for entering and exiting trades and for entry and exit limits. Has no effect on
contracts, in [Train]
mode, in 'naive' Fill mode, or when Penalty
is nonzero. Slippage is simulated by filling orders not at the current price, but at
the most likely price after the given number of seconds. The
price is estimated by extrapolation of the next candle. Different bar periods and
bar offsets therefore produce different slippage, but of similar
magnitude. The larger the Slippage variable, the larger is the
price range and thus the fill price deviation from the current price.
Slippage has normally a negative effect on trend trading systems,
but can also be in favor of the trader, especially with counter-trend or mean-reversion systems. It is recommended to test systems with and without slippage for determining its effect on the result. Slippage at 0 disables extra slippage, but entry, stop, or takeprofit
fill prices can still deviate from the given limit (see Fill
algorithm). Setting Slippage to a negative amount simulates
asymmetric slippage that is always in adverse direction.
Alternative fixed slippage in counter currency units, for special purposes (default
= 0). Puts a 'penalty' on open and close prices of subsequent
trades. Effective in [Test] and [Train] modes for entering and exiting trades
and for entry and exit limits. Overrides the slippage
simulation and the fill algorithm when nonzero. Positve penalty reduces the trade profit,
negative penalty increases it.
Broker's fee for opening and closing a trade, taken from the
asset list, in account currency units per 10000 contracts for currencies,
per contract for all other assets, per underlying unit for options, or as percent
of the trade volume when negative. The trade profit is reduced by this amount
when the position is closed.
Commission is automatically reduced by 50% for expired options (since fees are usually not charged for expiration), and
is initialized to zero in binary trading mode (since binary brokers get their commission via payout, see below). When set in the script, it must be set individually for every traded asset.
Commission is equivalent to an additional spread with a size in pips of Commission*LotAmount/10000/PIPCost for currencies, and Commission*LotAmount/PIPCost for all other assets.
If a negative percent value is given (f.i. -0.25 for 0.25%),
the commission of a trade is -Percent/100 * PIPCost/PIP * Price * Lots.
Daily rollover interest (also called 'swap') per 10000 contracts for currencies, or per contract for all other assets. Taken from the assets list when offline, otherwise the broker's current rollover value is used
when provided by the API. The rollover is daily interest paid to or received from the broker for
borrowing or lending margin. For instance, when you hold a EUR/USD long position, you receive interest from the broker for
lending the EUR and pay interest for borrowing the USD - the difference is the rollover. Negative rollover contributes to the losses, positive rollover to the profits. As to be expected, negative rollover values are more frequent and greater than positive rollover values. For CFDs, rollover is usually trend compensating - for instance, upwards trending index CFDs get a negative RollLong for eliminating long-term trend profit. Rollover can
affect the performance of long-term strategies and cause an asymmetry between long and short trades when positions are hold for several weeks.
on margin loan, in percent; reduces the account balance in the simulation. Set
this in the script when interest is not calculated per swap/rollover, but per
total maintenance margin. Usual values (2019) are 1.5% for EUR accounts and 3%
for USD accounts. The interest calculation assumes no rollover and equal
leverage of all traded assets.
Amount added to historical or live prices of the current asset, for special purposes
such as shifting negative prices to the positive scale. Set it after selecting the asset, but before loading history
for affecting historical prices.
Payout in percent of the invested Margin for binary trading (set(BINARY)). Winning trades win the invested amount plus the WinPayout, losing trades lose the invested amount minus the LossPayout. The payout variables must be set individually for every traded asset. Spread and Commission should be set to 0 for normal binary trades.
- The accumulated trading costs by spread, slippage, commission and rollover
interest are displayed on the Performance Report.
- When Zorro is connected to a broker, it loads the current
parameters, including transactions costs, from the broker API. When not connected,
or when asset parameters are not available online, they are loaded from the Asset List.
This file can be selected or edited with a text editor for simulating
different brokers, accounts, and assets in backtests.
- Transaction costs are asset specific. The asset must be selected
with asset() before modifying any asset specific parameters.
- The roundturn cost of a currency pair trade - without rollover and slippage - is
Lots*(Commission*LotAmount/10000 + Spread*PIPCost/PIP). For all other assets it's
Lots*(Commission*LotAmount + Spread*PIPCost/PIP).
- Transaction costs can be disabled for test purposes. For a simulation with no slippage and costs at all,
enter the following command after selecting the asset: Spread = Commission = RollLong = RollShort = Slippage =
Penalty = 0.
Fill mode can be set at 0 for closing all trades exactly at the stop or profit limit.
- For complex commission calculations that are
neither a flat fee nor a percentage, calculate commission in
the script and set the Commission variable to the result
before entering a trade. For instance, when the total commission
is a fixed 1$ when buying less than 50 shares, and 2 cents per share
otherwise, set Commission = ifelse(Lots < 50, 1.0/Lots, 0.02);.
- RollLong/Short is added to the trading cost in [Test] and [Train]
mode for any trade that was longer open than 12 hours at any new day, including Saturday and Sunday. This is only an approximation to the real rollover cost, as brokers have many different algorithms to calculate rollover. If you need to simulate rollover very precisely, use a
data set of historical rollover costs, and add them to the trading costs by script using the broker's algorithm.
- Interest is subtracted from the account balance in [Test]
and [Train] mode on any trading day at a rate of
1/252 of the annual interest. If you need to simulate interest very
precisely, adapt it to historical riskfree yield rates as retrieved with the
- In live trading, slippage is caused by the delay
between the price quote that triggers the trade signal, and the order
execution. A large contribution to slippage is
Internet latency, between 10 and 1000 ms dependent on server
location. Broker servers can add up to 30 seconds to latency. It was
reported that MT4 and MT5 servers are set up by some brokers to generate
artificial latency and slippage for entering and exiting at less favourable prices. Zorro
trade handling and script code does not noticeably
contribute to latency.
- Since spread and rollover are taken from an 'account snapshot' when the asset list was generated, they can be very different to the current, as well as to historical spread and rollover. This can falsify backtests f.i. when trades are open a long time and accumulate a large rollover. For being on the safe side, set
RollShort and RollLong to their minimum (RollLong = RollShort = min(RollLong,RollShort);) and
Spread to a high percentile of a one-day sample.
Spread = 3*PIP; // ignore broker spread, set constant spread for performance calculation
enterLong/Short, price, Stop, Lots, Margin, PIP, asset
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