strange but when I try to generalize your equations within a Python code like this :

# Equation parameters
alpha = price_high – price_low # Premiums
DStr = strike_high – strike_low # Strikes
a = (2*alpha+DStr)/2
b=DStr + alpha

if L==0 :
M = b/(b-a)
L = M
else:
M = b/(b-a)*(1+L*(alpha-b)/b)
L = L + M

I get negative values or bigger than 1 values for L. Unless I am wrong in my generalized equations, do you see an error?
Here is what I get for SPY, DTE = 2025-01-17:
Probability for each strike interval:
Between 180.0 and 185.0: Probability = -1.3440
Between 185.0 and 190.0: Probability = -17.1920
Between 190.0 and 195.0: Probability = 33.0880
Between 195.0 and 200.0: Probability = -34.0520
Between 200.0 and 205.0: Probability = 32.6920
Between 205.0 and 210.0: Probability = -51.5360
Between 210.0 and 215.0: Probability = 64.6440
Between 215.0 and 220.0: Probability = -83.1360
Between 220, etc.

contractUpdate(Asset,0,CALL|PUT);

Otherwise Zorro only uses the already loaded data and that’s only one year.

Simulated account AssetsIB (NFA)
Bar period 24 hours (avg 2091 min)
Total processed 2617 bars
Test period 2012-01-05..2019-03-01 (1798 bars)
Lookback period 0 bars (0 minutes)
Montecarlo cycles 200
Simulation mode Realistic
Spread 2.0 pips (roll 0.00/0.00)
Commission 0.01
Lot size 1.00

Gross win/loss 21.62$-0$, +2161.9p, lr 8.53$
Average profit 3.02$/year, 0.25$/month, 0.0116$/day
Max drawdown -0.37$ 1.7% (MAE -13.75$ 63.6%)
Total down time 0% (TAE 12%)
Max down time 34 hours from Jan 2012
Max open margin 64.02$
Max open risk 1.31$
Trade volume 128$ (17.91$/year)
Transaction costs -0.0200$ spr, -0.0053$ slp, 0$ rol, -0.0100$ com
Capital required 64.26$

Number of trades 1 (1/year)
Percent winning 100.0%
Max win/loss 21.62$ / -0$
Avg trade profit 21.62$ 2161.9p (+2161.9p / -0.0p)
Avg trade slippage -0.0053$ -0.5p (+0.0p / -0.0p)
Avg trade bars 268 (+268 / -0)
Max trade bars 268 (77 weeks)
Time in market 15%
Max open trades 1
Max loss streak 0 (uncorrelated 0)

Annual return 5%
Reward/Risk ratio 58.8
Sharpe ratio 0.45 (Sortino 0.47)
Kelly criterion 4.37
Annualized StdDev 10.39%
R2 coefficient 0.000
Ulcer index 22.9%
Scholz tax 6 EUR

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2012 5 9 6 -1 -13 7 3 5 4 -4 1 0 +22
2013 11 0 0 0 0 0 0 0 0 0 0 0 +11
2014 0 0 0 0 0 0 0 0 0 0 0 0 +0
2015 0 0 0 0 0 0 0 0 0 0 0 0 +0
2016 0 0 0 0 0 0 0 0 0 0 0 0 +0
2017 0 0 0 0 0 0 0 0 0 0 0 0 +0
2018 0 0 0 0 0 0 0 0 0 0 0 0 +0
2019 0 0 0 +0

Confidence level AR DDMax Capital
10% 5% 0 64.24$
20% 5% 0 64.25$
30% 5% 0 64.26$
40% 5% 0 64.27$
50% 5% 0 64.28$
60% 5% 0 64.30$
70% 5% 0 64.32$
80% 5% 1 64.36$
90% 5% 1 64.42$
95% 5% 1 64.47$
100% 5% 1 64.58$

Portfolio analysis OptF ProF Win/Loss Wgt%

SPY:L .1000 ++++ 1/0 100.0

is there an equivalent native Python function for contractCPD() function?

sorry for my previous post, it is useless. After installing new version of Zorro all is working perfectly. I should have checked before posting… By the way, your article is very interesting and novative. Should this methode be working for shorter periods, like 14 days?

when running the script predicting the price in 6 weeks, it connects correctly to my IB, but then gives me back the error : “Error 111 crash in main : main()”. Do you know how I can fix this issue? Zorro version is 2.30.