Discussion re Pure Renko strategy
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edit : new topic from https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/
According to IG Status Page … all trading platforms are now sorted!! See attached.
This Renko code is the only code I am still getting Rejects / Stoppages on (up to now anyway!?).
Only major difference I can see between this System and my others is the use of While, Wend? Maybe While. Wend has recently become a non-approved term anymore??
@Nonetheless would it be easy for you to re-code without While, Wend? I know the code is a DocTrading code so maybe it not easy for you either?If one of our coding wizards might be able to help it would be much appreciated?
Below is the code of the System that is showing +£1.8K profit since October (see attached).
//------------------------------------------------------------------------- // Main code : Nneless Renko DJI 1M v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 // 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 = 110 //50 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 PLOSS 75 SET TARGET PPROFIT 150now wondering if it could be used on a higher timeframe. Couldn’t resist! 100k tested so far on 15 min dow, spread 3.1//------------------------------------------------------------------------- // main code : nneless renko dji 1m v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars = 1000 timeframe (default) boxsize = 100 once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif ctime=hour>=4 if ctime then buy 1 contract at renkomax + boxsize stop sellshort 1 contract at renkomin - boxsize stop else exitshort 1 contract at renkomax + boxsize stop sell 1 contract at renkomin - boxsize stop endif // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose) // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 7 // trailing stop atr relative distance once trailingstopshort = 4 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif timeframe (default) if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif // stops and targets set stop %loss 2 set target %profit 2 graphonprice renkomax + boxsize graphonprice renkomin - boxsizenonetheless and Francesco thanked this postthere’s a bug at monday 00.00.00 where there shouldn’t be an entry. With the bug the results are better though. pics are with spread 100k & 200k//------------------------------------------------------------------------- // main code : nneless renko dji 15min v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars = 1000 timeframe (default) once bugfix=0 // [1] activate bugfix monday time 00.00.00 once boxsize = 100 once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif condbuy=1 condsell=1 ctime=hour>=3 if bugfix then if dayofweek=5[1] and (hour[1]=22 or hour[1]=21) then skipmondayfirsthour=0 else skipmondayfirsthour=1 endif else skipmondayfirsthour=1 endif if ctime then if skipmondayfirsthour then if condbuy then buy 1 contract at renkomax + boxsize stop endif if condsell then sellshort 1 contract at renkomin - boxsize stop endif endif endif // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose) // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 7 // trailing stop atr relative distance once trailingstopshort = 4 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif timeframe (default) if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif // stops and targets set stop %loss 2 set target %profit 2 graphonprice renkomax + boxsize graphonprice renkomin - boxsizeGraHal, nonetheless and Francesco thanked this postSadly the robustness test is a bust for this one. Odd because I had thought that Renko bars were time independent and that it might perform better than most. 🤔Here’s an interesting development. Starting with the 1m version that @Grahal was running I added a trailing stop, tweaked the boxsize, stop and TP — ran it on daily TF for a 20 year back test. Very low % win but the stop loss is just .1% so it works even with lots of small losses. WF is as good as it gets, robustness checks out…Paul thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/25/2020 |
| Status: | Active |
| Attachments: | 149 files |
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