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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04/02/2020 at 3:54 PM #124379

Francesco

But spread from 21 to 22 is 9.8 @Paul

Francesco
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04/02/2020 at 4:07 PM #124381

Paul

mmm….plenty of ideas! a preset price I don’t see it, time could be usefull & easy. The HH/LL have to think of a bit more. Maybe in an mtf setting?

I’ve nothing solid myself yet. Don’t like averages, but thought maybe start renko (re)calculation at crossing i.e. ma100 crosses over/under ma200. That’s easy too.

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GraHal

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04/02/2020 at 8:30 PM #124403

eckaw

This strategy seems to work really well with daily optimasation and only trading between 13:30 – 16:00 UK time. During this time there is high volatility. I tested 14:30 – 16:00 but had less good results in both forward testing and back testing. I think it would be great to build in some kind of volatility filter that would only trade if certain amount of volatility (maybe in a higher TF?) meets the criteria. It’s obvious, but it seems to work less well in choppy markets and when there isn’t a lot of volume.

I’m considering that Nicolas “Volatility scalper indicator” https://www.prorealcode.com/prorealtime-indicators/volatility-scalper-indicator/ could be a good contender.

Any thoughts on this?

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04/02/2020 at 8:35 PM #124404

Dr Manhattan

I optimized at 14 today. I have added time > 140000 and time < 180000 for buy/sell. I have renkotype 1 and box size 100. 🙂 tomorrow probably something different 😛

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04/02/2020 at 9:11 PM #124405

nepu77

Very interessting System .. I think i will try to combinate it with my Indicator. It is very simmilar …

But your´s is profitable and my not

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04/02/2020 at 9:34 PM #124411

fifi743

Good evening,
A link may be of interest.

https://ovo.cz/products/offline-charts-for-mt4/point-original-bars/

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eckaw

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04/02/2020 at 10:00 PM #124412

GraHal

Dr Manhattan wrote:

I optimized at 14 today. I have added time > 140000 and time < 180000 for buy/sell. I have renkotype 1 and box size 100.

So how did it do from 140000 to 180000?

Be useful for us all if you could post results please?

GraHal
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04/02/2020 at 10:38 PM #124414

MAKSIDE

@Eckaw,

About Volatility scalper indicator, i think it’s interesting .. maybe another topic for new strat…

I quickly tested another strategy with it on 1S UT / DJI 2$ / spread 2, linked to long MM and volatility time of DJI, trailing stop (875$ on 1 day.. bullish only for the moment.. )

I don’t know for the moment if it’s good or not.. but maybe there is a way to have gain quickly.. or not 😉 ..

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04/03/2020 at 8:28 AM #124428

GraHal

MAKSIDE wrote:

maybe another topic for new strat

Be good if you raised a new Topic and post the code for the results you showed … looks interesting, could be our new 1 sec System? 🙂

PS what is UT an abbreviation for … seems to be the new term for TF?? 🙂

GraHal
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04/03/2020 at 9:59 AM #124438

nonetheless

Here’s a small contribution to the ongoing Renko project, added SuperTrend on 1m TF

Attached is comparison with renko-v3.2-dji-10-secV2.itf

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GraHal

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04/03/2020 at 9:59 AM #124441

MAKSIDE

@Grahal

Sure, i will open new topic about that

yes, … Ut for TimeFrame.. It’s a french vocabulary… 😉

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04/03/2020 at 10:42 AM #124449

GraHal

nonetheless wrote:

added SuperTrend on 1m TF

Wow … loads better on 1 sec TF (compared to 10sec) All settings same as in your .itf

GraHal
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04/03/2020 at 11:28 AM #124461

nonetheless

For 1 sec, better is SuperTrend on 30sec TF (7,5)

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GraHal

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04/03/2020 at 2:23 PM #124488

MrCool

Hi guys, quite new on this forum so just a noobie at the moment. But wouldn’t it be great with a trand follow indicator on a higher TF to check if the trend is up or down. Then change the box size after that. For example if the trend is up we want to make it easier to go long because it going more up then down in a up trend. And reverse if down trend.

Also got a question, trying out Renko v2.3pR dji S1 mod fifi with insane results after put it on yesterday. If I should put the exact same code on in the weekend, would it give me the same results next week? I mean because of the renko.

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04/03/2020 at 3:11 PM #124496

MAKSIDE

@MrCool

maybe try to multiply value of trend indicator * x, in order to have the new value of boxsize, and for a simple calculation

another solution would be to use HullMA for confluence and to minimze latency

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