Discussion re Pure Renko strategy

• 02/25/2020 at 11:10 AM #120404
  GraHal

  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

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  //------------------------------------------------------------------------- // 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

   

   

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  GraHal

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  02/25/2020 at 11:58 AM #120416
  Paul

  maybe this?

  IF high > renkoMax + boxSize THEN renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize ELSIF low < renkoMin - boxSize THEN renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize ENDIF

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  IF high > renkoMax + boxSize THEN renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize ELSIF low < renkoMin - boxSize THEN renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize ENDIF

   

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  Bard, nonetheless, GraHal

  

  Paul

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  02/25/2020 at 12:19 PM #120422
  GraHal

  Hahaha … nice one Paul!

  Your change works (same profits etc) and System has NOT been rejected!

  Feeling guilty now that I didn’t persevere with the code.

  I had heard others on here mention While, Wend and the terms are on here under approved probuilder language documentation and so I doubted this would be the Issue, but seems it is!

  Now I can try my other forks piling up ready to be Forward Tested!

  Onward and Upward!

  Thank You
  Grahal

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  GraHal

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  02/25/2020 at 12:29 PM #120423
  nonetheless

  GraHal wrote:

  showing +£1.8K profit since October

  That is not too shabby at all, thanks to DocTrading (and also to Paul!) who did the heavy lifting…

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  nonetheless

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  02/25/2020 at 1:42 PM #120437
  GraHal

  @nonetheless it would make sense / logical to ask the Mods to change the name of this Topic to …

  Discussion re Pure Renko strategy

  https://www.prorealcode.com/prorealtime-trading-strategies/pure-renko-strategy/

  Also there may be ‘some mileage‘ in checking out the other two Renko Systems in the Library?

  I keep meaning to, but my self-build is limiting my time for a while, sorry.

  https://www.prorealcode.com/prorealtime-trading-strategies/renko-automated-trading-system/

  https://www.prorealcode.com/prorealtime-trading-strategies/renko-automated-trading-with-moving-average-on-candlesticks-chart/

   

  

  GraHal

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  02/25/2020 at 1:48 PM #120440
  Paul

  now wondering if it could be used on a higher timeframe. Couldn’t resist!  100k tested so far on 15 min dow, spread 3.1

  //------------------------------------------------------------------------- // main code : nneless renko dji 1m v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars = 1000 timeframe (default) boxsize = 100 once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif ctime=hour>=4 if ctime then buy 1 contract at renkomax + boxsize stop sellshort 1 contract at renkomin - boxsize stop else exitshort 1 contract at renkomax + boxsize stop sell 1 contract at renkomin - boxsize stop endif // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose) // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 7 // trailing stop atr relative distance once trailingstopshort = 4 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif timeframe (default) if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif // stops and targets set stop %loss 2 set target %profit 2 graphonprice renkomax + boxsize graphonprice renkomin - boxsize

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  //------------------------------------------------------------------------- // main code : nneless renko dji 1m v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars    = 1000   timeframe (default)   boxsize = 100   once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize   if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif   ctime=hour>=4   if ctime then buy 1 contract at renkomax + boxsize stop sellshort 1 contract at renkomin - boxsize stop else exitshort 1 contract at renkomax + boxsize stop sell 1 contract at renkomin - boxsize stop endif   // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose)   // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on once trailingstoplong     = 7    // trailing stop atr relative distance once trailingstopshort    = 4    // trailing stop atr relative distance   once atrtrailingperiod    = 14  // atr parameter value once minstop              = 10    // minimum trailing stop distance   // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif   timeframe (default)   if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif   // stops and targets set stop %loss 2 set target %profit 2   graphonprice renkomax + boxsize graphonprice renkomin - boxsize

   

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  Francesco, nonetheless

  

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  02/25/2020 at 2:08 PM #120447
  nonetheless

  GraHal wrote:

  it would make sense / logical to ask the Mods to change the name of this Topic to … Discussion re Pure Renko strategy

  Yes, absolutely … how do I go about that? I’m waving my arms but guess they can’t see me.

  

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  02/25/2020 at 2:11 PM #120448
  nonetheless

  Paul wrote:

  wondering if it could be used on a higher timeframe

  Hey, my thoughts exactly! The 1m TF always seemed wrong. Now it’s really starting to look interesting…

  

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  02/25/2020 at 2:19 PM #120450
  Francesco

  Make a statue to Paul thanks

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  02/25/2020 at 2:23 PM #120451
  GraHal

  nonetheless wrote:

  how do I go about that?

  
  @Vonasi or @RobertoGozzi might check out all the action on this Topic  and now – as OP – you are asking for the title to be changed, they may sort it for us?

  Now Paul is onboard I can see us having all sorts Renko versions in this Topic so Mods please …

  New Topic Required …

  Renko Systems

  

  GraHal

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  02/25/2020 at 9:15 PM #120503
  Paul

  there’s a bug at monday 00.00.00 where there shouldn’t be an entry. With the bug the results are better though.

  pics are with spread 100k & 200k

  //------------------------------------------------------------------------- // main code : nneless renko dji 15min v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars = 1000 timeframe (default) once bugfix=0 // [1] activate bugfix monday time 00.00.00 once boxsize = 100 once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif condbuy=1 condsell=1 ctime=hour>=3 if bugfix then if dayofweek=5[1] and (hour[1]=22 or hour[1]=21) then skipmondayfirsthour=0 else skipmondayfirsthour=1 endif else skipmondayfirsthour=1 endif if ctime then if skipmondayfirsthour then if condbuy then buy 1 contract at renkomax + boxsize stop endif if condsell then sellshort 1 contract at renkomin - boxsize stop endif endif endif // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose) // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 7 // trailing stop atr relative distance once trailingstopshort = 4 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif timeframe (default) if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif // stops and targets set stop %loss 2 set target %profit 2 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

  //------------------------------------------------------------------------- // main code : nneless renko dji 15min v1 //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889 defparam cumulateorders = false defparam preloadbars    = 1000   timeframe (default)   once bugfix=0 // [1] activate bugfix monday time 00.00.00   once boxsize = 100   once renkomax = round(close / boxsize) * boxsize once renkomin = renkomax - boxsize   if high > renkomax + boxsize then renkomax = renkomax + boxsize renkomin = renkomin + boxsize elsif low < renkomin - boxsize then renkomax = renkomax - boxsize renkomin = renkomin - boxsize endif   condbuy=1 condsell=1   ctime=hour>=3   if bugfix then if dayofweek=5[1] and (hour[1]=22 or hour[1]=21) then skipmondayfirsthour=0 else skipmondayfirsthour=1 endif else skipmondayfirsthour=1 endif   if ctime  then if skipmondayfirsthour then if condbuy then buy 1 contract at renkomax + boxsize stop endif if condsell then sellshort 1 contract at renkomin - boxsize stop endif endif endif   // trailingstop splitsed so it can run on higher timeframe timeframe (15 minutes,updateonclose)   // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on once trailingstoplong     = 7    // trailing stop atr relative distance once trailingstopshort    = 4    // trailing stop atr relative distance   once atrtrailingperiod    = 14  // atr parameter value once minstop              = 10    // minimum trailing stop distance   // trailingstop //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstarts = round(atrtrail*trailingstopshort) // if trailingstoptype then tgl =trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif endif   timeframe (default)   if trailingstoptype then if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif endif   // stops and targets set stop %loss 2 set target %profit 2   graphonprice renkomax + boxsize graphonprice renkomin - boxsize

   

   

   

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  Francesco, nonetheless, GraHal

  

  Paul

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  02/26/2020 at 11:52 AM #120545
  nonetheless

  Sadly the robustness test is a bust for this one. Odd because I had thought that Renko bars were time independent and that it might perform better than most. 🤔

  

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  02/26/2020 at 1:03 PM #120551
  GraHal

  Would be worth putting a link to your post above on Vonasi Robustness Tester Topic … he might have some useful observation re Renko and Robustness tests?

  

  GraHal

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  02/26/2020 at 1:05 PM #120552
  nonetheless

  Here’s an interesting development. Starting with the 1m version that @Grahal was running I added a trailing stop, tweaked the boxsize, stop and TP — ran it on daily TF for a 20 year back test.

  Very low % win but the stop loss is just .1% so it works even with lots of small losses. WF is as good as it gets, robustness checks out…

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  nonetheless

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  02/26/2020 at 1:10 PM #120555
  Francesco

  Can you also do the 21 5 and the 20 5 in order to look at the total average?

  

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