“Pure” Renko strategy

“Pure” Renko strategy

Hello everyone,  

Do you remember my work on the RENKO ?    

From this indicator, we will try a very simple strategy.

The simplest is the “PURE” Renko.

For the definition of the Renko, I refer you to other sites that explain it very well.

We go LONG if : we have 2 “bullish” Renko bricks in the same direction.

We go SHORT if : we have 2 “bearish” Renko bricks in the same direction.  

So we are constantly on the market. We are just following the trend.

Here is the result of the backtest, on the DAX : H1 graphs (no matter, because the important thing is the size of the Renko bricks), Renko size : 40 points, Spread: 1 point, test “tick by tick”.

As you can see, the strategy is profitable. Low success rate, compensated by some highly winning trades.

I think there’s plenty of way for improving this strategy idea, adding refined entry rules, a breakeven, a trend filter, and so on.

And one can test this strategy on the forex with other sizes of bricks.

Here is the code (very simple, but the indicator words well also) :

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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  1. Nicolas • 08/22/2017 #

    Good job, but I think there is something wrong in the description since trade direction is changing with only 1 contrarian renko brick in your code.

  2. verdi55 • 08/22/2017 #

    Running a single Renko strategy with a fixed box size is usually not a good idea, because the results depend extremely on

    1. the box size, and 2. on the initial value of the first box.

    So, if Renko strategies should be useful, they must be used as statistical “grates”, that is, using many combinations of box sizes and initial positions of the first box at the same time. Then it is possible to get good results over the sum of all parameter sets, and purely accidental results are avoided.

    In principle, this holds for all “optimized” (curve-fitted) strategies as well, but in Renko charts there is the additional complication of the exact value of the first box that determines the behavior of all the rest.

    • Wilko • 95 days ago #

      Good point! For intraday strategies, could not the starting point problem be overcome by eg. always setting starting point to today’s official market open or yesterday’s official market close?

  3. Fabrizio_T • 08/22/2017 #

    Hi, have you tested on the period 30 julay – 30 September 2015?

  4. grzemariusz • 08/22/2017 #

    Hi I use your strategy but i don’t know how to implement position size to the code
    thanks for help

  5. nonetheless • 114 days ago #

    Hi, thanks for the introduction to Renko charts! I modified this slightly for the DJI – 13 box on a 5min chart, added a time frame for London and a $12 trailing stop. In the backtest it looks stellar – 75% wins, 2800% gain over 17 months – too good to be true! When I run it in demo it’s a different story, mostly losses. Any idea why there’s such a discrepancy between the backtest and the live action? Here’s the code:

    // Definition of code parameters
    DEFPARAM CumulateOrders = False // Cumulating positions deactivated
    // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the “FLATBEFORE” time.
    DEFPARAM FLATBEFORE = 143000
    // Cancel all pending orders and close all positions at the “FLATAFTER” time
    DEFPARAM FLATAFTER = 210000

    boxSize = 13

    once renkoMax = ROUND(close / boxSize) * boxSize
    once renkoMin = renkoMax – boxSize

    IF high > renkoMax + boxSize THEN
    WHILE high > renkoMax + boxSize
    renkoMax = renkoMax + boxSize
    renkoMin = renkoMin + boxSize
    WEND

    ELSIF low < renkoMin – boxSize THEN
    WHILE low < renkoMin – boxSize
    renkoMax = renkoMax – boxSize
    renkoMin = renkoMin – boxSize
    WEND
    ENDIF

    buy 1 CONTRACT at renkoMax + boxSize stop
    sellshort 1 CONTRACT at renkoMin – boxSize stop
    // Stops and targets
    SET STOP $TRAILING 12

    • Bard • 59 days ago #

      Because you’ve curve fitted the parameters. Try to look for a stable range of box size/trailing stop values.

      You can do this by dragging the optimised backytest results to the desktop and then drag the data into excel.
      Bring/drag the gain column over to the far right, select “gain” and “boxsize” (optimised parameter) and then use a scatter chart. If the values are scattered all over the place it’s unlikely to work but if you find a stable range of boxsize values that produce profits then it’s likely that the volatility/boxsize can be varied a little and still be profitable. Choose a mid value.

  6. Pinou De Rossi • 32 days ago #

    Bonjour.
    avez vous trouver une solution à ce code? merci

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