Since the 1990s, private traders can use the Internet to access the financial markets. Several trade platforms offer automated trading functions. But they are mainly designed for manual trading and not well suited for developing and testing algorithmic strategies (see trading platform comparison). Consequently, private traders are normally not succesful with automated trading. Those who are don't use trading platforms, but self-written software.
Zorro is a free tool for script-based financial algorithms. It supports research, exploring, developing, testing, and executing automated strategies for trading stocks, forex, options, futures, bonds, ETFs, CFDs, or any other financial instruments. It can run either as a stand-alone system with direct broker connection, or as an attachment to an existing trading platform (such as MT4 by Metaquotes™ or TWS by Interactive Brokers™) that is used for retrieving price quotes and sending commands to the broker.
Zorro attached to MetaTrader4™
Converting a trade idea into an automated trade system, testing and trading it is a lot easier and faster with Zorro than with conventional platforms. Here's a tiny video course about developing a simple daily trade system:
- C based compiled script language.
- String, file, and vector/matrix functions.
- Event driven: Immediate reaction on price ticks.
- No limits: Full access to the Windows API and external DLLs.
- R bridge: Include R functions in trading, training and backtest.
- Sytax highlighting script editor with command help window.
- Single step mode for debugging trade strategies.
- C strategy programming course included.
- Traditional: AC, ADO, ADX, ADXR, Alligator, AO, APO, Aroon, AroonOsc,
ATR, ATRS, AvgPrice, Bollinger Bands, BBOsc, BOP, CCI, Chikou, CMO,
Coral, Chaikin Volatility, Chandelier Stop, Center of Gravity MA, Donchian Channel,
DCOsc, DEMA, DPO, DX, EMA, Fractal High/Low, Haiken Ashi, HighestHigh,
Hull MA, Ichimoku, IBS, Japanese Candle Patterns, Keltner Channel,
Linear Regression, LowestLow, MAMA, MACD, MedPrice, MidPoint, MidPrice,
+/-DI, +/-DM, Mom, MA Variable Period, NATR, PPO, ROC, RSI, SAR, SIROC,
SMA, SMOM, StdDev, Stochastic, StochRSI,
T3, TEMA, Trima, Trix, TrueRange,
TSF, TSI, TypPrice, Ultimate Oscillator,
Variance, Volatility, WCLPrice,
WilliamsR, WMA, Zero-Lag MA, ZigZag.
- Advanced: Arnaud Legoux Moving Average, Automatic Gain Control, Bandpass Filter,
Currency Strength, Beta Value, Butterworth Filter, Decycle, Dominant Period, Dominant Phase,
Fisher Transform, Fisher Inverse, Fractal Dimension,
Gauss Filter, Highpass Filter,
Hurst Exponent, Kaufman Adaptive MA,
Laguerre Filter, Lowpass Filter,
Median Filter, MESA Adaptive Moving Average,
Market Meanness Index,
Moment 1..4, Normalize Filter, Pattern Detection,
Pearsons Correlation, Polyfit, Polynom,
Relative Vigor Index,
Seasonal, Shannon Gain, Spearman Correlation,
- User-defined bar types: Range, Renko, Point-and-Figure, Haiken Ashi...
- Source code of most indicators included. Easy interface to add own indicators.
Data Mining & Machine Learning
- Curve pattern detection with Fréchet algorithm.
- Curve spectrum analysis with filter bank and Hilbert transformation.
- Correlation and autocorrelation analysis.
- Fuzzy logic for peak / valley, crossover, and pattern detection.
- Algorithm generator with multivarate logistic regression (Perceptron).
- Algorithm generator with pruned decision tree.
- Algorithm generator for price action trading with patterns of up to 20 variables.
- Generated trade algorithms can be exported in C code to other platforms.
- Training / Prediction framework supports all R machine learning packages.
Historical Data Download
- Download tick or minute historical price data directly from brokers or price sources.
- Access historical and live EOD data from Google™, Quandl™, AlphaVantage™, Stooq™.
- Most US-traded assets available in 1-minute (M1) resolution.
Analysis and Optimizing
- Multi-asset, multi-timeframe, multi-algorithm portfolio analysis.
- High backtest speed: up to 100 x faster than MetaTrader4™.
- Single-run and stepwise backtests *.
- Precise broker simulation considering fees, margin, spread, swap, slippage.
- Out-of-sample testing with several data split methods.
- Anchored and rolling Walk Forward Analysis (WFA).
- Uses multiple CPU cores for parameter training and machine learning.
- Bootstrap / Monte Carlo analysis with randomized price and equity curves.
- Calculation of Sharpe Ratio, AR, CAGR, R2.
- User-defined optimization target.
- Separate parameter optimization for portfolio components.
- Robustness / consistency analysis through oversampling.
- Adjustable time offsets for feed-independent price data.
- Detrending on price, signal, or trade level.
- Sine, square wave, and noise generators for algorithm testing.
- Optimal capital allocation factor calculation with MVO and OptimalF algorithms.
- Seasonal analysis with day, week, month, or year profiles.
- Tick mode for precision, bar mode for speed.
- Automatic price history download and update.
- Balance curve and trade list import/export for performance analysis.
- Minute- and tick-based price data for major currencies and indices included.
- Detailed performance sheet with portfolio analysis.
- Bar, line, dot, or band chart for indicators or user defined functions.
- Statistics charts for price, profit, season, and parameter profiles.
- Profit and MAE distribution charts.
- Line and symbol drawing functions.
- Detailed trade statistics export to spreadsheet programs.
- User-defined data export to .csv data files.
- All asset types (stocks, forex, futures, CFDs, ETFs, options ...)
- Connect thousands of brokers (IB™, FXCM™, Oanda™...), directly or via MT4/MT5 bridge.
- Identical software for test and trading guarantees reproducible results.
- Customized strategy control panels with user-defined buttons and entry fields.
- Native portfolio support with multiple assets, algorithms, and time frames.
- Symbol mapping and broker-dependent parameters.
- Download and evaluation of futures and options chains.
- Time frames from 100 milliseconds to 1 month.
- Tick-precise trade entry/exit handling with user-supplied execution algorithms.
- Entry limit, stop loss, profit target, profit lock, trailing, timed exit.
- Virtual hedging: Simultaneous long and short virtual positions.
- Full NFA and FIFO compliance for US-based accounts.
- Money management with OptimalF position sizing.
- Realtime trade simulation ('phantom trades') for equity curve trading.
- Realtime parameter adjustment with customizable sliders.
- Realtime parameter optimization without interrupting the trade process.
- Trade entry time adjustable with millisecond resolution.
- Open API interface for easy implementation of any broker API (source code included).
- Open API interface for connection to external signal services.
- Remote control of external programs by sending key strokes and button clicks.
- Command line parameters for starting Zorro from external programs.
- No high-end hardware required; runs on any old PC or cheap notebook.
- Automatic re-login and seamless restart in case of Internet or PC outages.
- Minimum requirements: Win XP / 7 / 8 / 10, 1 GB RAM, Internet access.
- Runs on cloud servers (VPS) with Windows Server 2003 / 2008 / 2012 / 2016.
- Open concept: all file formats and interface structures are documented.
- New functions can be easily added through user plugins.
- Customized trade control panels.
- Customized / relabeled Zorro versions available on request.
- Zorro source code licenses available on request.
Included Z strategies
- Ready-to-run autotrading strategies with low capital requirement*:
- Z1: Trend following system with spectral analysis.
- Z2: Mean reversion system with Fisher transform.
- Z3: Price cluster based trading system.
- Z7: Price pattern based system with machine learning algorithm.
- Z8: Long-term trading system by portfolio optimization.
- Z12: Anticorrelation based trend/countertrend system.
* U.S. Government Required Disclaimer - Commodity Futures, Trading Commission Futures, Derivatives and Options 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 the futures and options markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures, options, or any other assets. The past performance of any trading system or methodology is not necessarily indicative of future results.
* CFTC rule 4.41 - Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Zorro version 1.66.5 was released and is available on the download page. This version
offers a self-verification algorithm for live trading, improved machine learning
algorithms, a new Z strategy, and many other new features and improvements. The complete feature list can be found on the What's New page.
A comparison table of Zorro vs. TradeStation™ vs. Metatrader™ can be found on the FAQ page.