Discussion re Pure Renko strategy

Forums ProRealTime English forum ProOrder support Discussion re Pure Renko strategy

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Viewing 15 posts - 211 through 225 (of 346 total)
  • #124913

    @MAKSIDE yes I tried that, but it didn’t go anywhere. I will’ve a look again.

    #124943

    I’ve been trying to apply ATR code to dynamically adjust the boxsize with little success. I tried optimising the strategy to 500 ticks (on the 10s version) and it prooved to be succesful in the short term with a very small box size.

    So I tried to apply the Volatility Breakout Indicator (https://www.prorealcode.com/prorealtime-indicators/volatility-breakout-indicator/) to enter long only when it’s above the upper channel in timeframe 100seconds and vice verca for short conditions.

    It seems to be that a small box size doesn’t work most of times as the price quickly retraces and gest stopped out, however from my backtest it looks like it could work when applying this indicator. Maybe this is a way to always use a small box size and having minimum drawdown? Although the % of winning trades are lower than 50% it seems that the losses are small (as momentum is no our side) and the gains are high.

    I will test this on demo tomorrow – it would be amazing if we could have a set box size that worked all the time!

     

     

    #124947

    Sorry first time posting code here.. I clicked the insert prt function but it appears to have been entered incorrectly.

    #124949

    I tidied it up. Sometimes that happens.

    #124977

    I added hourly optimised renko boxsizes. Good idea?

     

    #124979

    hourly optimised renko boxsizes. Good idea?

    Only time will tell? 🙂

    We need to Forward Test 2 Systems side by side … one with hourly box opti and one without … I’ve done just that! 🙂

    Is box size that critical that we need the value after the decimal point? (curve fitting to the extreme?? 🙂  Also be easier and quicker for opti without decimal values?

     

     

    #124982

    @GraHal

    Yes indeed! It’s probably over optimised. I wonder also if it’s better to optimise only from yesterdays price action or if it’s good to take a 4 day period. Whilst the maket is so volatile it might be better to optimise against a shorter period? What’s your thougths on this?

    #124985

    I reckon best to use maximum data available (4 days) but to optimise every day at 14:00 ish UK time  (before DJI open) .

    Then optimised values will be up with latest price action, but also will take into account the last 4 days price action

    #124990

    @eckaw interesting, curious how it performs today!

    My focus is on less parameters.

    I.e. below

    Still it gave me parameters long and/or short and period. That period I use range*10 now.

    Maybe it doesn’t make sense, but it can work for the dax too.

    One thing for sure. No point optimising with 1.6/2.4 spread. If it’s gonna be profitable, it has to be at 6!

    2 users thanked author for this post.
    #125059

    during the test with renko  / TF 1s, i saw difference between backtest and demo this afternoon

    do you have an idea about the huge difference in the numbers of late candles regarding the last exit ? orange cross/backtest ,  red cross/demo IG

    thanks

    #125106

    Yes, probably the entryprice is worse in the live demo that you had in the backtest. Did you have it with spread 6?

     

    #125118

    @ Paul

    thanks

    yes, probably the entryprice. For spread it was set to 6

     

    #125128

    2nd cause could be the trailing stop, if using the fast one. While it works good overall, sometimes it behaves inconsistent, regardless of entryprice.

     

    1 user thanked author for this post.
    #125276

    here’s an inconsistency today.

    short at the same time, backtest sells lower and gets out on trailing stop with small profit.

    live demo short sells higher=better and no trailingstop is activated and results in a small loss.

    Especially because the entryprice is better in the live demo makes it hard to understand why no ts is activated.

    edit; Switched trailing-stops. Same results hopefully better consistency.

    #126489

    I’m having very bad results on every version of the strategy. What about you guys?

Viewing 15 posts - 211 through 225 (of 346 total)

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