Discussion re Pure Renko strategy

• 04/17/2020 at 3:44 PM #126579
  eckaw

  The screenshot was from Demo Live £1 lot size, however since this morning I am now running it “Real Live” with £0.2 lot size. So far 2 winning trades which matches my demo live test.

  I am also testing since this morning a daily optmisation but letting each strategy run for 1 week. So splitting the strategy into 5, mon-fri, and running daily optmisation the evening before the day it goes live. So Renko-Tuesday.itf will be optimised on Monday evening and reoptimised 7 days later. Tuesday evening I’ll optimise Renko-Wednesday.itf and so on. I’ll let you know how that goes..

  Daily optimsation has shown better results with different box sizes but the fixed settings has proven to work better for me (so far)

  I use box size 50 and renko type 1, run in 5 seconds (not 10s as mentioned above)

  No changes to the original code (I think) but posting my verison here for reference.

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  04/17/2020 at 3:47 PM #126582
  eckaw

  @GraHal

  Yesterday wasn’t too bad 😉 but there was a big loss there too.

  

  eckaw

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  04/17/2020 at 4:12 PM #126590
  Francesco

  Applied machine learning on 2.3pR version, and results are AWESOME.
  I will try today to apply it on every version and on every timeframe in order to find the best one 🙂

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  04/17/2020 at 4:14 PM #126592
  GraHal

  eckaw wrote:

  I’ll let you know how that goes..

  Yes please … that will be well interesting an useful.

  I got the S10 TF version going good now … backtest attached.

  PS

  Even better (2nd image) with the settings shown for Renko Type = 2 and Box size = 95.

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  GraHal

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  04/17/2020 at 4:25 PM #126602
  Francesco

  First good version, 10sec.

  Position size: 0.2

  It only works between 8.00 to 21.00 in order to use just the lowest spreads available for DOW.

  As you can see from the equity curve, the first day the system took a lot of trades in order to better optimize the machine learning algorithm values following my istructions; then, the system started to work normally with costant gains and trades.
  So in a live trading optic, should be better to run it before 8am and not during the day, that could bring to losses.

  I confirm that ML could be the best thing to fit into these short TF systems.

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  04/17/2020 at 4:33 PM #126607
  Francesco

  In addiction, still thinking in a live trading optic, I’d run a new system every Sunday evening: “sacrifice” the Monday in order to let the system better optimize itself, and taking gains the rest of the week; closing it Friday evening and starting a new one on Sunday again.

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  04/17/2020 at 4:41 PM #126611
  Paul

  maybe simulated trading between certain times or the first day to let the heuristic engine determine the values and then go live.

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  04/17/2020 at 4:51 PM #126614
  GraHal

  Francesco wrote:

  First good version, 10sec.

  Will you be sharing your first good version?

  Is there no way to avoid the ‘first day sacrifice’!? Poor System! 🙂

  Why not optimise the settings before you set it going?

  Above is what I did when I got a few ML Systems working. We could even do a walk forward and use the settings for starting value etc from the latest IS period … least then the System kicks off with a fighting chance?  Or even just use settings from a normal 10k bars optimisation?

  Is above what you do or do you guess / finger in the air for starting value etc?

  Just asking / just saying! 🙂

  

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  04/17/2020 at 4:58 PM #126617
  Paul

  probably you had so many trades the first day, because the start values are way off the ideal ones.

  What about taking the last values of your backtest, and put them in as starting values, or only slightly less.

  

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  04/17/2020 at 5:48 PM #126632
  Francesco

  I just talked about some random ideas in order to stimulate brainstorming, sacrificing some systems 🙂

  Heres the valuex (renko type) and valuey (boxsize) that i’ve used on the 2.3pr 10sec.

  P.S.: Reset periods are just randoms

  valuex

  // Heuristics Algorithm Start If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 1 ResetPeriod = 0.5 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 1 //Limit of no of increments either up or down Reps = 6 //Number of trades to use for analysis MaxValue = 3 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments //once WinCountB = 3 //Initialize Best Win Count //GRAPH WinCountB coloured (0,0,0) AS "WinCountB" //once StratAvgB = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB coloured (0,0,0) AS "StratAvgB" If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit For i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2" //Graph StratAvgA*-1 as "StratAvgA" //once BestA = 300 //GRAPH BestA coloured (0,0,0) AS "BestA" If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf //once BestB = 300 //GRAPH BestB coloured (0,0,0) AS "BestB" If WinCountA >= WinCountB Then WinCountB = WinCountA //Update Best Win Count BestB = ValueX EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm End

  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

  // Heuristics Algorithm Start   If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif   StartingValue = 1 ResetPeriod = 0.5 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 1 //Limit of no of increments either up or down Reps = 6 //Number of trades to use for analysis MaxValue = 3 //Maximum allowed value MinValue = increment //Minimum allowed value   once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments //once WinCountB = 3 //Initialize Best Win Count //GRAPH WinCountB coloured (0,0,0) AS "WinCountB" //once StratAvgB = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB coloured (0,0,0) AS "StratAvgB"   If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit   For i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2" //Graph StratAvgA*-1 as "StratAvgA" //once BestA = 300 //GRAPH BestA coloured (0,0,0) AS "BestA" If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf //once BestB = 300 //GRAPH BestB coloured (0,0,0) AS "BestB" If WinCountA >= WinCountB Then WinCountB = WinCountA  //Update Best Win Count BestB = ValueX EndIf   If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf   If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF   Optimize = 0 EndIf   // Heuristics Algorithm End

  valuey

  // Heuristics Algorithm 2 Start If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 20 ResetPeriod2 = 12 //Specify no of months after which to reset optimization Increment2 = 5 MaxIncrement2 = 5 //Limit of no of increments either up or down Reps2 = 1 //Number of trades to use for analysis MaxValue2 = 100 //Maximum allowed value MinValue2 = increment //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //Switches between negative and positive increments //once WinCountB2 = 3 //Initialize Best Win Count //GRAPH WinCountB2 coloured (0,0,0) AS "WinCountB2" //once StratAvgB2 = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB2 coloured (0,0,0) AS "StratAvgB2" If Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA2 = StratAvgA2/Reps2 //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1-2" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2-2" //Graph StratAvgA2*-1 as "StratAvgA2" //once BestA2 = 300 //GRAPH BestA2 coloured (0,0,0) AS "BestA2" If StratAvgA2 >= StratAvgB2 Then StratAvgB2 = StratAvgA2 //Update Best Strategy Profit BestA2 = ValueY EndIf //once BestB2 = 300 //GRAPH BestB2 coloured (0,0,0) AS "BestB2" If WinCountA2 >= WinCountB2 Then WinCountB2 = WinCountA2 //Update Best Win Count BestB2 = ValueY EndIf If WinCountA2 > WinCountB2 and StratAvgA2 > StratAvgB2 Then Mode = 0 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 1 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 1 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode2 = 1 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 2 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 EndIf If NIncPos2 > MaxIncrement2 or PIncPos2 > MaxIncrement2 Then If BestA2 = BestB2 Then ValueY = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End

  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

  // Heuristics Algorithm 2 Start If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 20 ResetPeriod2 = 12 //Specify no of months after which to reset optimization Increment2 = 5 MaxIncrement2 = 5 //Limit of no of increments either up or down Reps2 = 1 //Number of trades to use for analysis MaxValue2 = 100 //Maximum allowed value MinValue2 = increment //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //Switches between negative and positive increments //once WinCountB2 = 3 //Initialize Best Win Count //GRAPH WinCountB2 coloured (0,0,0) AS "WinCountB2" //once StratAvgB2 = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB2 coloured (0,0,0) AS "StratAvgB2" If Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA2 = StratAvgA2/Reps2 //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1-2" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2-2" //Graph StratAvgA2*-1 as "StratAvgA2" //once BestA2 = 300 //GRAPH BestA2 coloured (0,0,0) AS "BestA2" If StratAvgA2 >= StratAvgB2 Then StratAvgB2 = StratAvgA2 //Update Best Strategy Profit BestA2 = ValueY EndIf //once BestB2 = 300 //GRAPH BestB2 coloured (0,0,0) AS "BestB2" If WinCountA2 >= WinCountB2 Then WinCountB2 = WinCountA2  //Update Best Win Count BestB2 = ValueY EndIf If WinCountA2 > WinCountB2 and StratAvgA2 > StratAvgB2 Then Mode = 0 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 1 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 1 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode2 = 1 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 2 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 EndIf If NIncPos2 > MaxIncrement2 or PIncPos2 > MaxIncrement2 Then If BestA2 = BestB2 Then ValueY = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End

   

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  04/17/2020 at 9:19 PM #126648
  dnystrom

  Sorry for my newbie-question but how do i implement Francescos mashinelearning Valuex and ValueY in to the 2.3 version of the system?

  So exciting following these threads with your genius codes, hope to someday be able to contribute with something as well. Wish you all a nice weekend!

  

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  04/17/2020 at 9:56 PM #126651
  Francesco

  I’m everything but not a genius coder 🙂
  I’m still a newbie but reading everyday the forum since months and doing hundreds of tests on the platform i’m starting learing something. It becomes fun and fascinating especially when you are surrounded by the people of this section that works everyday for new challenges with strong motivations.

  Btw, if you want the answer to your question and start learning something, you can study this topic https://www.prorealcode.com/topic/machine-learning-in-proorder/ and you will easily understand in few pages how to implement the ML in the code.

  

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  04/17/2020 at 10:04 PM #126652
  eckaw

  Today “Real Live” results. Positionsize 0.2.

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  eckaw

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  04/17/2020 at 10:10 PM #126655
  Paul

  nice! how many % or points did you set the stoploss?

  

  Paul

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  04/17/2020 at 10:39 PM #126662
  eckaw

  Maxloss was set to 1 – does this part of the code act as a stop loss? I didn’t add a ‘set stop loss x’ code and wasn’t sure so I was watching the screen when the trades were on 🙂

  It seems to be the entry is not perfect, but it’s probably very difficult to achieve that on this timeframe. However, it has a high win rate so it often ends up in profit as can be seen in my previous demo forward-test.

  A tight stop loss will definatly see less wins. I don’t know how we can resolve this without adding too many parameters to the strategy. I was looking into oscillators on different timeframes, and voss predictive filter, but haven’t yet found anything that works well.

  Any ideas?

  

  eckaw

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