Renko automatic trading

• 12/31/2020 at 5:38 PM #155813
  ActuallyNM

  Hello,

  Still working on this code. Algorithm still stop with “The stop is too short because of the broker.”

  I have tested many trailing stops : 2,3,4 pips , error is still here.

  Any idea?

   

  Thanks to all,

   

  i using 17.1 renko box size.

  

  ActuallyNM

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  12/31/2020 at 10:42 PM #155826
  GraHal

  What is broker minimum stop loss  for the instrument you are trading?

  Try 15 or 20 pips?

  

  GraHal

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  01/01/2021 at 6:56 PM #155878
  ActuallyNM

  Thanks for your answer @GraHal

  10 pips minimum for my broker, but i have already configured 20 pips stop.

  I think maybe i have understand why my strategy stopped many times.

  This system apply conditionnal orders to trade : sell stop and buy stop.

  Sometimes, when the strategy tried to open position, the market is at this time at the same price as you can see in my book order.

  i say that because most of the the time the others orders worked, indeed they not are at the same price at this time for the stop order.

   

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  GraHal

  

  ActuallyNM

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  01/02/2021 at 3:14 AM #155891
  Paul

  a possible fix.

  backtest with mode=1 and slow timeframe

  if have good settings, set to mode 2 and on fast timeframe like 1s.

  code below not intend to have good results, but as layout. Needs additional criteria. Chart set to 5 min.

  defparam cumulateorders = false defparam preloadbars = 2000 defparam flatbefore = 090000 defparam flatafter = 215500 timeframe (default) //backtesting; slow timeframe chart = slow timeframe in code //live ; fast timeframe chart , slow timeframe in code once mode = 1 // [1]backtesting [2]live once tradetype = 2 // [1]long/short [2]long [3]short once positionsize = 1 once boxsize=30 timeframe (5 minutes,updateonclose) if openhour=9 then renkomax = round(close[12] / boxsize) * boxsize renkomin = renkomax - boxsize endif 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 // other conditions condbuy = 1 condsell= 1 timeframe (default) // entry conditions if mode=1 then // backtesting on slow timeframe if (tradetype=1 or tradetype=2) and condbuy then buy positionsize contract at renkoMax + boxSize stop endif if (tradetype=1 or tradetype=3) and condsell then sellshort positionsize contract at renkoMin - boxSize stop endif elsif mode=2 then // live on fast timeframe if (tradetype=1 or tradetype=2) and condbuy then if high > renkoMax + boxSize then buy positionsize contract at market endif endif if (tradetype=1 or tradetype=3) and condsell then if low < renkoMin - boxSize then sellshort positionsize contract at market endif endif endif timeframe (5 minutes,updateonclose) once trailingstop=1 if trailingstop then // once ts2sensitivity= 1 // if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low endif // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailstart2 = 0.1 //% start trailing profits from this point basepercent = 0.2 //20.0% profit percentage to keep when setting berakeven stepsize = 2 //10 pip chunks to increase percentage percentinc = 0.2 //10.0% percent increment after each stepsize chunk barnumber = 10 //10 add further % so trades don't keep running too long barpercent = 0.2 //10% add this additional percentage every barnumber bars roundto = 0 //-0.5 rounds lower, +0.4 higher, 0 defaults prt behaviour pricedistance = 10 * pipsize // minimun distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 profitpercent = basepercent //reset to desired default value tradebar = barindex trailstart = ((close/100)*trailstart2) / pipsize elsif longonmarket and ts2sensitivitylong > (tradeprice(1) + (y1 * pipsize)) then x1 = (ts2sensitivitylong - tradeprice(1)) / pipsize if x1 >= trailstart then diff1 = abs(trailstart - x1) chunks1 = max(0,round((diff1 / stepsize) + roundto)) profitpercent = basepercent + (basepercent * (chunks1 * percentinc)) barcount = barindex - tradebar if barcount mod barnumber = 0 then profitpercent = profitpercent + barpercent endif profitpercent = max(profitpercent[1],min(100,profitpercent)) y1 = max(x1 * profitpercent, y1) endif elsif shortonmarket and ts2sensitivityshort < (tradeprice(1) - (y2 * pipsize)) then x2 = (tradeprice(1) - ts2sensitivityshort) / pipsize if x2 >= trailstart then diff2 = abs(trailstart - x2) chunks2 = max(0,round((diff2 / stepsize) + roundto)) profitpercent = basepercent + (basepercent * (chunks2 * percentinc)) barcount = barindex - tradebar if barcount mod barnumber = 0 then profitpercent = profitpercent + barpercent endif profitpercent = max(profitpercent[1],min(100,profitpercent)) y2 = max(x2 * profitpercent, y2) endif endif endif timeframe (default) if trailingstop then if y1 then sellprice = tradeprice(1) + (y1 * pipsize) if abs(ts2sensitivitylong - sellprice) > pricedistance then if ts2sensitivitylong >= sellprice then sell at sellprice stop else sell at sellprice limit endif else sell at market endif endif if y2 then exitprice = tradeprice(1) - (y2 * pipsize) if abs(ts2sensitivityshort - exitprice) > pricedistance then if ts2sensitivityshort <= exitprice then exitshort at exitprice stop else exitshort at exitprice limit endif else exitshort at market endif endif endif set stop %loss 0.2 set target %profit 0.4 graphonprice renkoMax + boxSize graphonprice renkomin - boxsize

  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 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156

  defparam cumulateorders = false defparam preloadbars = 2000 defparam flatbefore = 090000 defparam flatafter  = 215500   timeframe (default)   //backtesting; slow timeframe chart = slow timeframe in code //live       ; fast timeframe chart , slow timeframe in code   once mode      = 1 // [1]backtesting [2]live once tradetype = 2 // [1]long/short  [2]long [3]short   once positionsize = 1   once boxsize=30   timeframe (5 minutes,updateonclose)   if openhour=9 then renkomax = round(close[12] / boxsize) * boxsize renkomin = renkomax - boxsize endif   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   // other conditions condbuy = 1 condsell= 1   timeframe (default)   // entry conditions if mode=1 then // backtesting on slow timeframe if (tradetype=1 or tradetype=2) and condbuy then buy positionsize contract at renkoMax + boxSize stop endif if (tradetype=1 or tradetype=3) and condsell then sellshort positionsize contract at renkoMin - boxSize stop endif elsif mode=2 then // live on fast timeframe if (tradetype=1 or tradetype=2) and condbuy then if high > renkoMax + boxSize then buy positionsize contract at market endif endif if (tradetype=1 or tradetype=3) and condsell then if low < renkoMin - boxSize then sellshort positionsize contract at market endif endif endif   timeframe (5 minutes,updateonclose)   once trailingstop=1 if trailingstop then // once ts2sensitivity= 1 // if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low endif // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then trailstart2   = 0.1 //%      start trailing profits from this point basepercent   = 0.2 //20.0%  profit percentage to keep when setting berakeven stepsize      = 2   //10     pip chunks to increase percentage percentinc    = 0.2 //10.0%  percent increment after each stepsize chunk barnumber     = 10  //10     add further % so trades don't keep running too long barpercent    = 0.2 //10%    add this additional percentage every barnumber bars roundto       = 0   //-0.5   rounds lower, +0.4 higher, 0 defaults prt behaviour pricedistance = 10 * pipsize // minimun distance from current price y1            = 0           //reset to 0 y2            = 0           //reset to 0 profitpercent = basepercent //reset to desired default value tradebar      = barindex trailstart    = ((close/100)*trailstart2) / pipsize elsif longonmarket and ts2sensitivitylong > (tradeprice(1) + (y1 * pipsize)) then x1 = (ts2sensitivitylong - tradeprice(1)) / pipsize if x1 >= trailstart then diff1         = abs(trailstart - x1) chunks1       = max(0,round((diff1 / stepsize) + roundto)) profitpercent = basepercent + (basepercent * (chunks1 * percentinc)) barcount      = barindex - tradebar if barcount mod barnumber = 0 then profitpercent = profitpercent + barpercent endif profitpercent = max(profitpercent[1],min(100,profitpercent)) y1 = max(x1 * profitpercent, y1) endif elsif shortonmarket and ts2sensitivityshort < (tradeprice(1) - (y2 * pipsize)) then x2 = (tradeprice(1) - ts2sensitivityshort) / pipsize if x2 >= trailstart then diff2         = abs(trailstart - x2) chunks2       = max(0,round((diff2 / stepsize) + roundto)) profitpercent = basepercent + (basepercent * (chunks2 * percentinc)) barcount      = barindex - tradebar if barcount mod barnumber = 0 then profitpercent = profitpercent + barpercent endif profitpercent = max(profitpercent[1],min(100,profitpercent)) y2 = max(x2 * profitpercent, y2) endif endif endif   timeframe (default)   if trailingstop then if y1 then sellprice = tradeprice(1) + (y1 * pipsize) if abs(ts2sensitivitylong - sellprice) > pricedistance then if ts2sensitivitylong >= sellprice then sell at sellprice stop else sell at sellprice limit endif else sell at market endif endif if y2 then exitprice = tradeprice(1) - (y2 * pipsize) if abs(ts2sensitivityshort - exitprice) > pricedistance then if ts2sensitivityshort <= exitprice then exitshort at exitprice stop else exitshort at exitprice limit endif else exitshort at market endif endif endif   set stop %loss 0.2 set target %profit 0.4   graphonprice renkoMax + boxSize graphonprice renkomin - boxsize

   

   

   

   

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  eckaw

  

  Paul

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  01/03/2021 at 3:42 AM #156039
  eckaw

  Hi @Paul

  Thanks for posting your renko template. I’m interested in your approach to backtest in a larger timeframe and then run it in a shorter timeframe. I like the idea of using stop orders for backtest and buy at market for trading on short term trading.  However I don’t understand how the trailing stop works in backtest vs real trading on shorter timeframes. Surely the trailing stop works differently on 5 minute timeframe vs 1 second timeframe? How can the 5min backtest be relevant in terms of the trailing stop when changing to 1 / 5 or 10 second timeframe?

  

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  01/03/2021 at 1:00 PM #156074
  Paul

  eckaw wrote:

  How can the 5min backtest be relevant in terms of the trailing stop when changing to 1 / 5 or 10 second timeframe

   

  The difference comes because the 5 minute bars are read at the closing of that bar, then the “candle data” is known.

  Calculation of the exit lines should be the same as on a 1s timeframe live as to 5m timeframe backtest. That’s why the first part of the trailingstop has the slow timeframe and uses updateonclose.

  The 1/5/10 second timeframe is much more responsive and a quick exit is more guaranteed.

  So the second part is on a fast timeframe, because as soon as it hits the exit level, you want to get out. Even if it’s rejected because of the stop&limit order and the minimum order distance, it exits next (i.e. second) bar at market and the result will be about the same as the backtest which exits on stop/limit.

   

   

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  Paul

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  01/07/2021 at 1:53 PM #156747
  孫榗溢

  @eckaw, sir I want to know how to set up for the SL point, cause this code run with IG, call out  strategy failed related with the SL setup , IG min. SL is set as 10 point

  

  孫榗溢

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