Discussion re Pure Renko strategy

GraHal · 2020-02-25T10:10:02+00:00

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 150

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03/18/2020 at 9:16 PM #122504 quote

Paul
Participant

Master

tested new version, backtest results compared to same code demo live. Big difference.
Screenshot-2020-03-18-at-21.12.27.jpg Screenshot-2020-03-18-at-21.12.08.jpg

03/19/2020 at 1:15 PM #122572 quote

Paul
Participant

Master

fifi743 wrote:
Good evening, There are two trailing stops so there must be different variables. example : trailingstoptype=1 newsl1 trailingstoptype=2 newsl2
Normally yes, but the idea is that only one trailing stop type is activated and used. In that case both variables can be the same I think.
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03/19/2020 at 7:18 PM #122615 quote

GraHal
Participant

Master

I see the eurusd is 0.9 spread … anybody tried any 1 sec version on eurusd?? I’m going to review my versions to see if they work on eurusd?

03/19/2020 at 7:27 PM #122617 quote

GraHal
Participant

Master

Hahaha … yeah see attached @ spread = 1, Box size = 10 Better still if you comment out the Flat before / after … images 3 and 4.
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Paul-8.jpg Paul-9.jpg Paul-10.jpg Paul-11.jpg

03/19/2020 at 8:11 PM #122624 quote

GraHal
Participant

Master

Ohhh Yesss … and we’re back in the Game!!!??? 🙂 🙂
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03/19/2020 at 8:26 PM #122626 quote
Paul
Participant

Master
It’s game on! better or worse?
```
atrtrail=averagetruerange[atrtrailingperiod]((close/1)*pipsize)
```
maybe no trailingstop, just a profittarget ?
03/19/2020 at 8:46 PM #122628 quote

GraHal
Participant

Master

Yeah … whatever brings the most consistent profits at least drawdown? As far as a scalper goes (which this is) it is more normal to get in and get out asap? Also I note a little peak on the equity curve for nearly all the trades … which if some of these MFE’s could be captured as profit so much the better?

03/19/2020 at 9:10 PM #122629 quote

fifi743
Participant

Master

From Line 26 Setting on multiple indices
renko-v2p-dji-1sec_mod-fifi-1.itf

03/19/2020 at 9:14 PM #122631 quote

Francesco
Participant

Veteran

@Grahal changed the boxsize to 10 but no position opened in the backtest. On which itf are you working on?

03/19/2020 at 9:20 PM #122632 quote

GraHal
Participant

Master

If you are asking me @Francesco …
Boxsize = 10*pipsize for EURUSD

03/19/2020 at 9:29 PM #122635 quote

Francesco
Participant

Veteran

Yes but it does not work for me don’t know why.. Would you like to share the code?

03/19/2020 at 9:54 PM #122637 quote
GraHal
Participant

Master
Try below on Line 16 … If below doesn’t work I will post the code.
```
once trailingstoptype =2 //3
```
03/19/2020 at 10:00 PM #122638 quote

Francesco
Participant

Veteran

Nothing to do, probably because i’m working on a different itf? Sorry i don’t want to bore you. I can test in on 200k also.

03/19/2020 at 10:22 PM #122639 quote

GraHal
Participant

Master

Yeah 200K bars test would benefit us all anyway.
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renko-v2p-dji-1sec_mod-fifi-2.itf

03/19/2020 at 10:45 PM #122645 quote

Francesco
Participant

Veteran

200k BTW: noticed that also fx pair went crazy high on spreads……
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