Discussion re Pure Renko strategy

GraHal · Tue, 25 Feb 2020 10:10:02 +0000

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

This topic has 345 replies, 24 voices, and was last updated 3 years ago by bertrandpinoy.

Tagged: renko

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03/30/2020 at 5:12 PM #123991

GraHal

Margins have dropped also!!

Ohhh Yesss!! 🙂

GraHal
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03/31/2020 at 1:45 PM #124075

Paul

Most of the time the strategy doesn’t work. Are there any new idea’s on this?

Paul
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03/31/2020 at 2:31 PM #124079

Francesco

Paul wrote:

Most of the time the strategy doesn’t work. Are there any new idea’s on this?

Your v3 is not working properly on backtests? I made some modifications on your v2 and it worked in the last days backtesst.. but don’t know what to expect for the future.

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03/31/2020 at 2:55 PM #124084

Paul

letting the demo run in sync & profitable with the backtest is very difficult.

and if the range in small at that moment, you buy at the high & sellshort at the low.

(it’s like buying at the top of the higher bollingerband and then it retraces back to lower band where the stoploss is about.)

Paul
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03/31/2020 at 2:56 PM #124085

GraHal

I think at TF = 1 sec we need to optimise every day.

Also on attached … Trailing Stop Type 2 killed it stone dead (big losses) but with TS Type 2 rem’d out … it lives again! 🙂

Spread = 6 on attached.

GraHal
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03/31/2020 at 3:27 PM #124094

GraHal

Wow … wish I’d put it Real Live … over £200 in less than 20 mins! 🙂

GraHal
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03/31/2020 at 4:04 PM #124104

eckaw

@GraHal

I have also been testing these 1sec and 10sec renko strategies with daily optimisation, but I haven’t figured out at what time it would be best to optimise the boxsize and renkotype. At what time do you think it’s best to optmize: at the end of day for next day, middle of the trading day, or morning?

eckaw
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03/31/2020 at 4:23 PM #124107

Paul

here’s something to play with. 3 versions for the dow 10 sec.

First was to remove the nnbarlimit. The default is now the same as nnbarlimit=1.

From there it was a bit easier to setup.

default, V (angle) and V2 (pente) (from vectorial dax)

if results are there in the backtest, in live demo it is still dubious.

spread has to be set in the backtest engine, regardless if using the option in the code.

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Paul
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03/31/2020 at 4:42 PM #124113

GraHal

eckaw wrote:

At what time do you think it’s best to optmize

I hadn’t come to any conclusion based on results.

But on a hunch I reckon 14:15 ish … ready for the 14:30 open on Wall Street?

We could even test that theory … using backtesting, but setting specific times and then do a Forward Test on OOS data?

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03/31/2020 at 5:01 PM #124115

Paul

Here are results. 200k on 10 sec dow in the backtest.

You can see the losses on this day in the backtest and compare it to the demo.

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Paul
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03/31/2020 at 5:32 PM #124123

GraHal

HAHA … well good to see the Trailing Stop working and they both got out just where I would have pulled the Trigger on a manual trade!

Either you’ve had an unlucky session Paul … or my 1st 2 trades are beginners luck!!?? 🙂

“Massive Thank You Paul”

for sharing your hard work with us all!

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GraHal
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03/31/2020 at 5:44 PM #124125

Paul

haha! I saw it happening after posting here. Thought how could that be? Try to warn you all and then results come? 🙂 We will see!

I like the fast ts too. Can’t beat that manually consistently I guess!

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03/31/2020 at 9:40 PM #124174

GraHal

GraHal wrote:

TF = 1 sec we need to optimise every day.

I might have been lucky again today … 4 out of 4 trades all good!?

GraHal
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03/31/2020 at 10:35 PM #124182

Florian

Bravo @Grahal! You have a lucky star! 🙂

GOOD NIGHT

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03/31/2020 at 10:42 PM #124185

Florian

@GRAHAL, Do you recommend optimizing the RENKO SIZE and RENKO TYPE variables every day? Strongly PRT V11, with the table option we can have an optimization of the variables in real time ! 🙂

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