Machine Learning in ProOrder ProRealTime

• 04/24/2020 at 11:04 AM #127762
  fifi743

  Write as below

  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

  1 2 3 4 5 6 7 8 9 10 11

  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

   

  1 user thanked author for this post.

  GraHal

  

  fifi743

  Participant

  Topics: 9

  Replies: 851

  Been thanked: 401 times
  04/24/2020 at 11:08 AM #127766
  GraHal

  Here we are @Bard … see above help from Fifi … it might solve some of your mysteries re change in results etc?

  Let us know if it helps?

  PS

  I even found a while back that a System was repeatedly getting rejected and when I replaced While and Wend the System worked fine!

  So I reckon we need to avoid / replace While and Wend whenever we see it in code??

  1 user thanked author for this post.

  fifi743

  

  GraHal

  Participant

  Topics: 204

  Replies: 8401

  Been thanked: 2042 times
  04/24/2020 at 11:12 AM #127767
  fifi743

  First image with while and the second one without

  1 user thanked author for this post.

  GraHal

  

  fifi743

  Participant

  Topics: 9

  Replies: 851

  Been thanked: 401 times
  04/24/2020 at 11:48 AM #127776
  Bard

  Thanks for the code Vonasi, I must be doing something wrong because I cannot get the Nonetheless VRT turned off system, to match the system results that I have with no VRT code in it.
  Have I misread your VRT on/off instructions? :–
  This code below is in the Nonetheless version and gives a profit of £201k. My non VRT version gives a profit of £55k. Cheers.

  Code to turn off VRT so as to get exact same results as Non VRT System

  //DEFPARAM FLATAFTER = 210000 RobustnessTest = 0 StartDate = 0//20000101 //Qty = 10 //Random = 3 Qty = q //(go to opt variables and set q b/w 2 and 10 ) Random = r //(go to opt variables r b/w 1 and 10) once j = 0 once flag = 1 if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif if flag = -1 then j = j - 1 if j = 0 then j = j + random flag = 1 endif endif tradeon = 0 if opendate >= startdate then if barindex mod qty = 0 or barindex mod qty = j then tradeon = 1 endif endif if not RobustnessTest then tradeon = 1 endif //Money Management

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41

  //DEFPARAM FLATAFTER = 210000   RobustnessTest = 0   StartDate = 0//20000101 //Qty = 10 //Random = 3 Qty = q    //(go to opt variables and set q b/w 2 and 10 ) Random = r //(go to opt variables r b/w 1 and 10)   once j = 0 once flag = 1   if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif   if flag = -1 then j = j - 1 if j = 0 then j = j + random flag = 1 endif endif   tradeon = 0 if opendate >= startdate then if barindex mod qty = 0 or barindex mod qty = j then tradeon = 1 endif endif if not RobustnessTest then tradeon = 1 endif   //Money Management

   

  

  Bard

  Participant

  Topics: 131

  Replies: 809

  Been thanked: 99 times
  04/24/2020 at 12:07 PM #127777
  nonetheless

  fifi743 wrote:

  Write as below

  Thanks Fifi – very helpful as always! – but this is now duplicating work already done at the beginning of the Pure Renko strategy thread. See #120416

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  04/24/2020 at 12:14 PM #127780
  Bard

  Afternoon @Fifi, and @GraHal, I got the While and Wend from a GraHal post on the first page of the Pure Renko Forum which was based on DocTrading’s version of Renko here: https://www.prorealcode.com/prorealtime-trading-strategies/pure-renko-strategy/

  I got far worse results when I took While/Wend out and used Paul’s simplified version: https://www.prorealcode.com/topic/discussion-re-pure-renko-strategy/#post-120416

  Pls see £/$ Monthly screens. (I still laugh at how I couldn’t get the 1 min Renko to make money so I thought they must mean 1 month because look at the great results)! Note: This is not tick by tick results. Please my next post on how much tick by tick data PRT supplies courtesy of Anton at IG Index.

  Could you please explain what the code with While/Wend does? I looked it up when I first came across it and found this example:

  While : Wend (used in Renko System)

  Syntax While <expression> ... Wend Description Wend will loop until the <expression> becomes false. A good point to keep in mind with a While test is that if the first test is false, then the program will never enter the loop and will skip this part. A Repeat loop is executed at least once, (as the test is performed after each loop). With the Break command it is possible to exit the While : Wend loop during any iteration, with the Continue command the end of the current iteration may be skipped. Example b = 0 a = 10 While a = 10 b = b+1 If b=10 a=11 EndIf Wend This program loops until the 'a' value is <> (not equal to) 10. The value of 'a' becomes 11 when b=10, the program will loop 10 times. https://www.purebasic.com/documentation/reference/while_wend.html So... 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 //75 Set stop trailing ValueX//100 SET TARGET PPROFIT 500 //Orig 150 https://www.prorealcode.com/topic/discussion-re-pure-renko-strategy/#post-120404

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62

  Syntax While <expression>   ... Wend   Description Wend will loop until the <expression> becomes false. A good point to keep in mind with a While test is that if the first test is false, then the program will never enter the loop and will skip this part. A Repeat loop is executed at least once, (as the test is performed after each loop).   With the Break command it is possible to exit the While : Wend loop during any iteration, with the Continue command the end of the current iteration may be skipped.   Example   b = 0   a = 10   While a = 10     b = b+1     If b=10       a=11     EndIf   Wend This program loops until the 'a' value is <> (not equal to) 10. The value of 'a' becomes 11 when b=10, the program will loop 10 times.   https://www.purebasic.com/documentation/reference/while_wend.html   So...   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 //75 Set stop trailing ValueX//100 SET TARGET PPROFIT 500 //Orig 150   https://www.prorealcode.com/topic/discussion-re-pure-renko-strategy/#post-120404

   

  

  Bard

  Participant

  Topics: 131

  Replies: 809

  Been thanked: 99 times
  04/24/2020 at 12:16 PM #127783
  Bard

  PRT Tick By Tick Data Lengths from an IG Index email this morning:

  “Below is a breakdown of the Historical data limits on Prorealtime:

  Tick data; (Tick by tick, 1 minute, 2 minute and 3 minute): 2 days.

  Intraday data: 5 minutes and up to but not including 60 minute time-frames: 1 month.

  Hourly views will have: 3 months.

  Daily view: as much data as possible.”

  1 user thanked author for this post.

  GraHal

  

  Bard

  Participant

  Topics: 131

  Replies: 809

  Been thanked: 99 times
  04/24/2020 at 12:27 PM #127786
  Vonasi

  Bard wrote:

  Have I misread your VRT on/off instructions? :–

  The code you posted looks the same as mine. Have you tried starting from fresh – import the code from nonetheless’ post and add the robustness test switch code. This will eliminate any chance that you messed up the code somehow with all the // in and out.

  1 user thanked author for this post.

  Bard

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  04/24/2020 at 12:48 PM #127791
  fifi743

  Bard wrote:

  PRT Tick By Tick Data

  I’ve back-tested this strategy tick by tick with no problem.
  I think and I stress your code has a problem.

   

  1 user thanked author for this post.

  Bard

  

  fifi743

  Participant

  Topics: 9

  Replies: 851

  Been thanked: 401 times
  04/24/2020 at 12:59 PM #127797
  Bard

  Typed in my IG Index password as “Renko.” I think I might need to take a break from Renko ML algos for a while… 😃

  1 user thanked author for this post.

  GraHal

  

  Bard

  Participant

  Topics: 131

  Replies: 809

  Been thanked: 99 times
  04/24/2020 at 1:03 PM #127798
  fifi743

  // 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

  1 2 3 4 5 6 7 8 9

  // 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

  This is what blocks us to have tick by tick 200 000 unité to be replaced by below

  // Conditions to enter long positions If c1 then Buy N CONTRACT at market EndIf // Conditions to enter short positions If c2 then Sellshort N CONTRACT at market EndIf

  1 2 3 4 5 6 7 8 9

  // Conditions to enter long positions If c1 then Buy N CONTRACT at market EndIf   // Conditions to enter short positions If c2 then Sellshort N CONTRACT at market EndIf

   

   

  1 user thanked author for this post.

  Bard

  

  fifi743

  Participant

  Topics: 9

  Replies: 851

  Been thanked: 401 times
  04/24/2020 at 1:44 PM #127804
  nonetheless

  Doesn’t work for me. Still getting the tbt error warning (tested on DJ daily) with or without While/Wend

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  04/24/2020 at 1:55 PM #127805
  fifi743

  The following works for me

  

  fifi743

  Participant

  Topics: 9

  Replies: 851

  Been thanked: 401 times
  04/24/2020 at 2:12 PM #127810
  GraHal

  Backtested Fifi code above on 100,000 Daily bars … results attached.

  Goes back to 1971!

  No Tick by Tick warning etc.

  EDIT / PS

  Same on H4, H1, M15 … No Tick by Tick warning etc.

  On M5 … it blows my account .. but that is the values I used! 🙂

  1 user thanked author for this post.

  fifi743

  

  GraHal

  Participant

  Topics: 204

  Replies: 8401

  Been thanked: 2042 times
  04/24/2020 at 2:23 PM #127812
  GraHal

  GraHal wrote:

  but that is the values I used!

  Maybe it’s not my values … do you get M1ML1 to make profit Fifi on the 1 min TF?

  If Yes can you post results please?

  EDIT / PS

  M1ML1 takes an insane number of trades with every box size from 5 to 150.

  Must not be working correctly??

  

  GraHal

  Participant

  Topics: 204

  Replies: 8401

  Been thanked: 2042 times
• Author
  Posts