Discussion re Pure Renko strategy

GraHal · Tue, 25 Feb 2020 10:10:02 +0000

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

This topic has 345 replies, 24 voices, and was last updated 4 years ago by bertrandpinoy.

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04/01/2020 at 9:19 AM #124205

GraHal

Florian wrote:

Do you recommend optimizing the RENKO SIZE and RENKO TYPE variables every day?

My observations are that one day can be quite different (ATR, reaction to rises / falls etc etc) than the next so, with 1 sec, 5 sec, 10 sec TF’s, a daily optimise can do no harm (unless proven to degrade performance)?

Remember there are 86,400 bars of 1 second in a 24 hour period … you would surely re-optimise a 1 hour system after 14 years (86,400 trading hours)??

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04/01/2020 at 10:37 AM #124220

fifi743

Good morning, sir,
And if you use this filter by adjusting

T

LimitBas et LimitHaut

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04/01/2020 at 9:03 PM #124287

eckaw

@fifi743 – how do you apply that filter to the strategy? I tried but I’m not sure I understand it fully.

I wonder if it would be possible to define the box size in a separate indicator that gets called in the strategy. This way one could optimise daily and amend the box size without having to stop and start the strategy. Would that be possible in PRT at all? I’ve searched the forum but can’t find a suitable solution.

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04/01/2020 at 9:28 PM #124288

Francesco

@Paul why did you put 9-22 as timeframe for the strategies? We’re from the same timezone it should be 8-21

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04/01/2020 at 9:57 PM #124289

GraHal

eckaw wrote:

This way one could optimise daily and amend the box size without having to stop and start the strategy. Would that be possible in PRT at all?

Gold Star for inititative / a good idea … but I’m 99.9% sure it’s not possible! 🙂

Sounds like it would be by the Call Function, but I think the Auto-System copies a Called Indicator within itself (not the best way of describing it).

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04/01/2020 at 10:22 PM #124290

Florian

@grahal, today I tried to optimize the variables at the opening of Wall Street in 10 seconds and 1 second the version: Renko-v2.3pR-dji-S1-mod-fifi. I had good results in 10 seconds.
and You ?

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04/01/2020 at 10:34 PM #124291

GraHal

Florian wrote:

I had good results in 10 seconds.

Hey great! I’ll have to try it tomorrow now you’ve said that!.

I seem to always be too busy / overwhelmed with too many tasks … I’m in preliminary stages of building a house, but it’s like pushing a snowball uphill due to coronavirus and folks not being in work etc etc.

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04/02/2020 at 10:04 AM #124326

GraHal

Florian wrote:

I had good results in 10 seconds.

Attached are my results from the System not optimised since 31 March at 15:00 so how do they compare with your results on your System optimised just before DJI Open yesterday 1 April??

My results are on 1 Sec TF.

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04/02/2020 at 12:35 PM #124342

MAKSIDE

Hi Grahal,

is it the result on live account ? few months ago i still had unexpected stops with IG platform using renko strategies.. maybe it’s resolved with renko /proorder..

So, i try to get the same result with 200kbars but i don’t have the same.. based on Renko-v2.3pR-dji-S1-mod-fifi

maybe the spread ? currently, it’s set to 2.4

thx

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04/02/2020 at 12:42 PM #124343

GraHal

MAKSIDE wrote:

is it the result on live account

Yes Demo Live Forward Test.

MAKSIDE wrote:

i don’t have the same

You would only get the same if you start and finish at same time as my results (2 posts above) and (as you mention) use spread the same as in Live.

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04/02/2020 at 12:55 PM #124345

MAKSIDE

Sure Grahal.. 😉 thx

i will check with 1s UT.. i always have doubts about such small units of time with IG platform.

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04/02/2020 at 1:10 PM #124346

Florian

@GRAHAL

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04/02/2020 at 1:42 PM #124358

GraHal

Can’t spot a single trade at similar times even?

Unusual that you got 2 x $500 ish gains and I got 2 x $500 ish losses??

But it goes to show there are plenty of profitable entry points on 1 second TF??

If you post your version (that gave the results you posted) then I will post the differences (compared to my version) on here … it be a useful exercise for all to see.

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04/02/2020 at 3:40 PM #124374

Paul

@Francesco no special reason. It just had my preference at that time.

GraHal wrote:

Can’t spot a single trade at similar times even?

Maybe we should create a criteria when renko’s are being calculated, so it’s the same for everyone and not depended on the first bar on the chart?

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04/02/2020 at 3:47 PM #124378

GraHal

Ha I was just about to say something similar, although my proposal is more clunky! 🙂

If we have backtested a Renko System then we need to wait until a trade has JUST closed or opened and immediately start the System going on Forward Test.

If we just set it going kinda randomly compared to the Backtest then the 2 Systems (BT and FT) would never get back in sync!

Your idea is better Paul (as usual!) … I have a hunch that starting at a HH or LL may produce good results??

But I guess starting at a certain time would be easier?

Or even from a pre-set Price??

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Discussion re Pure Renko strategy

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