Renko trading system (very general, applicable e.g. for DAX 15 min chart) goes long when at least 2 upbricks appear after a downtrend of 2 bricks or more goes short when 2 downbricks appear after an uptrend of 2 bricks or more.
“bricksize” is the length of a Renko brick in points and be modified (line 3).
“BIfirst” is the first bar in the chart that defines the position of all other Renko bricks. Can be left out, but can makes a big difference.
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defparam cumulateorders = false bricksize = 22 BIfirst = 1 n = 1 If barindex >= BIfirst then ONCE upbrick = close ONCE downbrick = close - bricksize buysignal = 0 shortsignal = 0 IF close >= upbrick + bricksize THEN newbricksup = (round(((close - upbrick) / bricksize) - 0.5)) diffup = newbricksup * bricksize downbrick = downbrick + diffup upbrick = upbrick + diffup totalbricksup = totalbricksup + newbricksup totalbricksdown = 0 If (totalbricksup[1] = 0 OR totalbricksup[1] = 1) AND totalbricksup >= 2 then buysignal = 1 endif ELSIF close <= downbrick - bricksize THEN newbricksdown = (round(((downbrick - close) / bricksize) - 0.5)) diffdown = newbricksdown * bricksize upbrick = upbrick - diffdown downbrick = downbrick - diffdown totalbricksdown = totalbricksdown + newbricksdown totalbricksup = 0 If (totalbricksdown[1] = 0 OR totalbricksdown[1] = 1) AND totalbricksdown >= 2 then shortsignal = 1 endif ENDIF endif If buysignal = 1 then buy n contracts at market endif If shortsignal = 1 then sellshort n contracts at market endif set stop ploss 120 |
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Looks great.
Have you tested it in demo?
Looks good, but perhaps is not. Try to vary the box size first and look at the variation of the results. Of course, everything will depend on a suitable box size. But is there such a thing ?
(Sorry, I tried to upload an optimization report as .jpg, but it always says : http upload error. Don’t know why.)
Then, take a good box size and vary the first bar of the chart that defines the position of the first Renko box and therefore of all other Renko boxes for the whole chart for all times. You will see that the result depends enormously on the exact position of the first Renko box ! Renko trading alone is therefore a lot of chance, and not reliable, in my opinion. May be it can be combined with other indicators and entry/exit conditions, but I have not tried.
I was just interested whether trading with Renko charts is really as great as the charts superficially look like, and apparently it is not.
Can anyone please tell me, why a cannot upload any attachments ? Most of the time, I get an error message (http error).
I’m sorry, upload of attachments is actually not possible in the comments.
hi Verdi, nice try…I’ve developed a similar strategy but got poor profit factor…what’s yours?
The profit factor depends very much on the brick size AND on the position of the first bar of the chart, in which the position of all following bricks is fixed. Therefore, the profit factor can be very different. In the example shown above (DAX 15 min chart, start on 1/1/2014, 24 h timescale), for a brick size of 18, the profit factor is 1.40 (total 12.517 DAX points), for a brick size of 22 the profit factor is 1.25 (total result 7.706 DAX points). The first brick is located in the first bar of 2014, when you put it elsewhere, you will get different results.
Profit
Profit in %
Number of Positions
Winning Trades in %
Profit / Position
brick size
12.610,2000
+12,61%
916
+40,94%
13,7666
17
12.517,3000
+12,52%
830
+41,98%
15,0811
18
12.114,2000
+12,11%
1072
+39,96%
11,3006
15
12.107,0000
+12,11%
990
+41,01%
12,2293
16
11.419,5000
+11,42%
714
+41,80%
15,9937
21
9.785,1000
+9,79%
1321
+38,03%
7,4073
13
9.614,9000
+9,61%
752
+41,94%
12,7858
20
9.497,1000
+9,50%
812
+41,43%
11,6959
19
8.062,8000
+8,06%
1204
+38,94%
6,6967
14
7.822,2000
+7,82%
574
+41,46%
13,6275
25
7.706,9000
+7,71%
692
+41,47%
11,1371
22
7.277,7000
+7,28%
1479
+37,44%
4,9207
12
7.030,8000
+7,03%
648
+42,44%
10,8500
23
6.948,4000
+6,95%
433
+39,49%
16,0471
31
6.694,8000
+6,69%
1655
+36,86%
4,0452
11
6.596,8000
+6,60%
515
+40,19%
12,8093
28
6.469,1000
+6,47%
632
+42,09%
10,2359
24
6.415,5000
+6,42%
329
+38,30%
19,5000
38
5.870,0000
+5,87%
529
+40,83%
11,0964
27
5.414,0000
+5,41%
567
+41,98%
9,5485
26
5.341,1000
+5,34%
463
+38,44%
11,5359
30
5.255,5000
+5,26%
344
+36,05%
15,2776
37
4.884,6000
+4,88%
1865
+36,86%
2,6191
10
4.624,6000
+4,62%
300
+36,67%
15,4153
42
4.571,7000
+4,57%
491
+40,12%
9,3110
29
4.486,2000
+4,49%
390
+37,95%
11,5031
35
4.318,8000
+4,32%
432
+37,50%
9,9972
32
4.243,9000
+4,24%
331
+36,86%
12,8215
39
4.096,8000
+4,10%
2775
+36,16%
1,4763
7
3.812,0000
+3,81%
2409
+36,14%
1,5824
8
3.727,8000
+3,73%
406
+38,18%
9,1818
34
3.568,2000
+3,57%
374
+36,90%
9,5406
36
3.506,5000
+3,51%
289
+33,91%
12,1332
43
3.473,1000
+3,47%
2101
+37,10%
1,6531
9
3.376,8000
+3,38%
326
+37,12%
10,3583
40
2.798,3000
+2,80%
431
+37,59%
6,4926
33
2.756,0000
+2,76%
287
+34,15%
9,6028
44
2.304,9000
+2,30%
318
+34,91%
7,2481
41
1.095,5000
+1,10%
273
+31,87%
4,0128
46
960,2000
+0,96%
3301
+35,20%
0,2909
6
835,6000
+0,84%
255
+32,68%
3,2769
49
624,2000
+0,62%
3970
+35,05%
0,1572
5
296,5000
+0,30%
255
+31,50%
1,1627
50
15,9000
+0,02%
263
+33,21%
0,0605
48
-36,3000
-0,04%
276
+30,55%
-0,1315
47
-1.807,2000
-1,81%
4810
+35,43%
-0,3757
4
-2.289,9000
-2,29%
297
+31,65%
-7,7101
45
-3.860,4000
-3,86%
7888
+33,62%
-0,4894
2
-5.570,2000
-5,57%
6088
+34,00%
-0,9149
3
-7.223,4000
-7,22%
10776
+32,67%
-0,6703
1
Hi to all, please try to test on 1 febrary to 15 febrary 2016…..
Hi, I tested this strategy on Spot Gold with a brick size of 20 on the weekly timeframe with ProTester and manually. (Reverse 5 lots after a swing of two bricks over 10 years) The problem is I got very different results. Based on the ProTester results I will not trade the strategy, but based on the results of the manually test I can’t wait.
Maybe I don’t understand the strategy because of my poor programming skills. What I am looking for is an automated strategy which reverse a trade of a specific lot size after two reversed bricks of an adjustable fixed size. The intention is to be always in the market with the strategy. Is this the right strategy for this?
Because the renko chart construction begin at the first price of the loaded history. So you obviously get different results if you have an history of just more or less 1 or 2 bars loaded.
I am learning to code. I try to understand these lines newbricksup = (round(((close – upbrick) / bricksize) – 0.5))
diffup = newbricksup * bricksize
downbrick = downbrick + diffup
upbrick = upbrick + diffup
totalbricksup = totalbricksup + newbricksup
totalbricksdown
Could you eventually explain? Could we introduce also a condition to be above ou under a moving average of 20? Thank a lot.