Discussion re Pure Renko strategy

• 02/26/2020 at 1:19 PM #120558
  Francesco

  Btw the paul’s last version works very good on nikkei spread 5.
  But huge drawdown.

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  02/26/2020 at 1:22 PM #120559
  nonetheless

  Optimized performance with fairly conservative MM added … dream on!

  

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  02/26/2020 at 1:23 PM #120562
  Paul

  @nonetheless nice interesting find! I see is long & short on one bar. Is that a problem for daily bars?

  maybe split the strategy long & short

  and i.e. if in longposition exit also when short criteria is met.

   

  

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  02/26/2020 at 1:30 PM #120563
  Francesco

  @nonetheless your backtest is without tick by tick?

  

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  02/26/2020 at 1:49 PM #120569
  nonetheless

  Francesco wrote:

  your backtest is without tick by tick?

  Damn, I knew there’d be something wrong with it! Tick by tick is supposedly available from Aug 2010 but the most it will give me is from 2016.

  Still semi-ok, but not nearly as good (MM is off) … so frustrating!

  

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  02/28/2020 at 4:54 PM #120773
  GraHal

  Bet you wish your Trades were Hot like Mine (from the song! 🙂 ) … see attached 🙂

  All in the last 3 days!

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  02/28/2020 at 5:17 PM #120775
  nonetheless

  Wow, that is hot! Gotta reload that one. Well done for persevering!

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  03/10/2020 at 12:08 PM #121672
  Paul

  don’t seem much interest in this, but in demo it’s awesome!

  Grahal you’re still working on this?

   

  

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  03/10/2020 at 12:26 PM #121677
  GraHal

  Paul wrote:

  Grahal you’re still working on this?

  Not working on it, but I’ve had 2 versions on Forward Test since 25 Feb … attached are the results.

  Lot size is 1 x $2 Contract, so halve the profit for near-direct comparison with 1 x £1 Contract SB.

  Still good though even through all this turmoil in the markets?

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  03/10/2020 at 2:02 PM #121697
  nonetheless

  I did a bit of work on the 1m version but couldn’t find much that improved it. The win% can be higher just by raising the stop loss, but then the draw down is so much worse. Seems to work best with lots of small losses. These are the only changes i made (position size is 1 x $2)

  ctime=hour>=1 and hour<=20 if ctime then buy positionsize CONTRACT at renkoMax + boxSize stop sellshort positionsize CONTRACT at renkoMin - boxSize stop endif // Stops and targets SET STOP %LOSS .2 SET TARGET %PROFIT 1.5

  1 2 3 4 5 6 7 8 9

  ctime=hour>=1 and hour<=20 if ctime then buy positionsize CONTRACT at renkoMax + boxSize stop sellshort positionsize CONTRACT at renkoMin - boxSize stop endif   // Stops and targets SET STOP %LOSS .2 SET TARGET %PROFIT 1.5

   

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  03/10/2020 at 2:32 PM #121707
  nonetheless

  I did notice that with the 15m (longer back test) the best box size for the DOW was def 100; presently on the 1m TF it’s 110 but that may need to change if looking further back.

  

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  03/10/2020 at 2:55 PM #121712
  GraHal

  nonetheless wrote:

  presently on the 1m TF it’s 110 but that may need to change if looking further back.

  A good candidate for JuanJ Heuristics and then box size can change ‘on the fly’ … going forward?

  

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  03/10/2020 at 2:58 PM #121713
  Paul

  @grahal Stop orders like in this code are perhaps not reliable for entry, because it’s too close to the entry-criteria I think. Maybe change it to market orders. But indeed Heuristics would be a good candidate!

  

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  03/10/2020 at 3:01 PM #121714
  Paul

  A small stoploss would be better, no weekend or no overnight.

  Here’s a pic from results so far. But I have to say, backtest-demo-live all difference. I come back to this later.

  (left pic backtest, right pic demo)

  

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  03/10/2020 at 3:15 PM #121718
  Paul

  for testing

  

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