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// Main code : Nneless Renko DJI 1M v1 ML1 Cycle Limit Reset -
// Orig a 1 Min system (no ML), then 1 Month (no ML) and then 1 Month with ML and now Daily with ML
// The 30 x capital was a test to break the system.
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//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
Capital = 10000 + strategyprofit //Current profit made by the closed trades of the running strategy.
N = 30*Capital / Close //30
//ValueX for the Renko Stop Loss.
//Heuristics Algorithm 1 Start
If (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) Then
optimise = optimise + 1
EndIf
//Settings 1
StartingValue = 10 //10 Stop Loss
ResetPeriod = 0.5 //0.5 Specify no of months after which to reset optimisation
Increment = 5 //20
MaxIncrement = 10 //10 Limit of no of increments either up or down
Reps = 2 //Number of trades to use for analysis //2
MaxValue = 150 //150 //Maximum allowed value
MinValue = increment //Minimum allowed value
once monthinit = month
once yearinit = year
If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then
ValueX = StartingValue
WinCountB = 0
StratAvgB = 0
BestA = 0
BestB = 0
monthinit = month
yearinit = year
EndIf
once ValueX = StartingValue
once PIncPos = 1 //Positive Increment Position
once NIncPos = 1 //Negative Increment Position
once optimise = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit)
once Mode1 = 1 //Switches between negative and positive increments
//once WinCountB = 3 //Initialize Best Win Count
//GRAPH WinCountB coloured (0,0,0) AS "WinCountB"
//once StratAvgB = 4353 //Initialize Best Avg Strategy Profit
//GRAPH StratAvgB coloured (0,0,0) AS "StratAvgB"
If optimise = Reps Then
WinCountA = 0 //Initialize current Win Count
StratAvgA = 0 //Initialize current Avg Strategy Profit
HeuristicsCycle = HeuristicsCycle + 1
For i = 1 to Reps Do
If positionperf(i) > 0 Then
WinCountA = WinCountA + 1 //Increment Current WinCount
EndIf
StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*Close)*-1)*-1)
Next
StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit
//Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1"
//Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2"
//Graph StratAvgA*-1 as "StratAvgA"
//once BestA = 300
//GRAPH BestA coloured (0,0,0) AS "BestA"
If StratAvgA >= StratAvgB Then
StratAvgB = StratAvgA //Update Best Strategy Profit
BestA = ValueX
EndIf
//once BestB = 300
//GRAPH BestB coloured (0,0,0) AS "BestB"
If WinCountA >= WinCountB Then
WinCountB = WinCountA //Update Best Win Count
BestB = ValueX
EndIf
If WinCountA > WinCountB and StratAvgA > StratAvgB Then
Mode1 = 0
ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode1 = 1 Then
ValueX = ValueX - (Increment*NIncPos)
NIncPos = NIncPos + 1
Mode1 = 2
ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode1 = 1 Then
ValueX = ValueX + (Increment*PIncPos)
PIncPos = PIncPos + 1
Mode1 = 1
ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode1 = 2 Then
ValueX = ValueX + (Increment*PIncPos)
PIncPos = PIncPos + 1
Mode1 = 1
ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode1 = 2 Then
ValueX = ValueX - (Increment*NIncPos)
NIncPos = NIncPos + 1
Mode1 = 2
EndIf
If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then
If BestA = BestB Then
ValueX = BestA
Else
If reps >= 10 Then
WeightedScore = 10
Else
WeightedScore = round((reps/100)*100)
EndIf
ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win%
EndIf
NIncPos = 1
PIncPos = 1
ElsIf ValueX > MaxValue Then
ValueX = MaxValue
ElsIf ValueX < MinValue Then
ValueX = MinValue
EndIF
optimise = 0
EndIf
// Heuristics Algorithm 1 End
//Renko Definitions
boxSize = 100 // Orig 110
//StartingValue = 10 //10 Stop Loss
//ResetPeriod = 0.5 //0.5 Specify no of months after which to reset optimisation
//Increment = 5 //20
//MaxIncrement = 10 //10 Limit of no of increments either up or down
//Reps = 2 //Number of trades to use for analysis //2
//MaxValue = 150 //150 //Maximum allowed value
//MinValue = increment //Minimum allowed value
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
c1 = renkoMax + boxSize
c2 = renkoMin - boxSize
// Conditions to enter long positions
If c1 then
Buy N CONTRACT at renkoMax + boxSize stop
EndIf
// Conditions to enter short positions
If c2 then
Sellshort N CONTRACT at renkoMin - boxSize stop
EndIf
// Stops and targets
//SET STOP PLOSS ValueX //Orig 75
Set stop trailing ValueX//100
SET TARGET PPROFIT 500 //Orig 150
GRAPH ValueX coloured(0,255,0)
.
