Discussion re Pure Renko strategy

• 05/06/2020 at 4:58 PM #130283
  GraHal

  Franro wrote:

  but its stopping sometimes and I dont know why

  What stop message is IG showing you?

  Usually the Renko’s stop due to Stop Loss being less than minimum stop allowed by IG?

  

  GraHal

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  05/06/2020 at 5:20 PM #130285
  Franro

  Well I havent checked I though prorealtime did that.

  

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  05/06/2020 at 5:39 PM #130289
  Paul

  I got that problem too. Posted in an existing (old) topic this problem. No info at the rejected/canceled  tab. Annoying, since it makes the results unstable.

  

  Paul

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  05/06/2020 at 6:24 PM #130295
  Franro

  Im running 1s on both demo and live they are doing so many different trades. Sometimes live doesnt take the trade demo does and vice versa. Thats wierd.

  

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  05/07/2020 at 2:31 AM #130363
  Paul

  This is what i’am testing. It provided some nice profits before, now it doesn’t look good in a backtest.

  Goal is more to have consistent opening-trades from the backtest & live.

  I removed a few lines which defined renkomax/min and didn’t expect it would work but it did.

  //------------------------------------------------------------------------- // Hoofd code : Renko dji 5s A3.1 //------------------------------------------------------------------------- defparam cumulateorders = false defparam preloadbars = 1000 defparam flatbefore = 080000 defparam flatafter = 173000 once tradetype = 1 // [1]long&short;[2]long;[3]short boxsizeL=40 boxsizeS=30 // strategy ctime= time>=080000 and time<150000 if close > renkomax + boxsizeL and not (close < renkomin - boxsizeS) then renkomax = renkomax + boxsizeL renkomin = renkomin + boxsizeL endif if close < renkomin - boxsizeS and not (close > renkomax + boxsizeL) then renkomax = renkomax - boxsizeS renkomin = renkomin - boxsizeS endif // conditions condbuy=high > (renkomax + boxsizeL) condbuy=condbuy and open<>close and low<>close and open<>high condsell=low < (renkomin - boxsizeS) condsell=condsell and open<>close and high<>close and open<>low // entry if ctime then If (tradetype=1 or tradetype=2) then if condbuy and not longonmarket then buy 1 contract at market endif endif if (tradetype=1 or tradetype=3) then if condsell and not shortonmarket then sellshort 1 contract at market endif endif endif // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once steps = 0.1 // set to 0 to ignore steps once minatrdist= 1.0 once atrtrailingperiod = 14 // atr parameter once minstop = 10 // minimum trailing stop distance once sensitivityts = 0 // [0]close;[1]high/low if trailingstoptype then if barindex=tradeindex then trailingstoplong = 3 // trailing stop atr distance trailingstopshort = 3 // trailing stop atr distance else if longonmarket then if newsl>0 then if trailingstoplong>minatrdist then if newsl>newsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif endif if shortonmarket then if newsl>0 then if trailingstopshort>minatrdist then if newsl<newsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 tgl=round(atrtrail*trailingstoplong) tgs=round(atrtrail*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close newsl=0 endif // if sensitivityts then sensitivitytslong=high sensitivitytsshort=low else sensitivitytslong=close sensitivitytsshort=close endif // if longonmarket then maxprice=max(maxprice,sensitivitytslong) 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,sensitivitytsshort) 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 // if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market //when stop is rejected endif endif endif // if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market //when stop is rejected endif endif endif endif set stop %loss .4

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  //------------------------------------------------------------------------- // Hoofd code : Renko dji   5s A3.1 //-------------------------------------------------------------------------   defparam cumulateorders = false defparam preloadbars    = 1000 defparam flatbefore     = 080000 defparam flatafter      = 173000   once tradetype        = 1 // [1]long&short;[2]long;[3]short   boxsizeL=40 boxsizeS=30   // strategy ctime= time>=080000 and time<150000   if close > renkomax + boxsizeL  and not (close < renkomin - boxsizeS) then renkomax = renkomax + boxsizeL renkomin = renkomin + boxsizeL endif if close < renkomin - boxsizeS and not (close > renkomax + boxsizeL) then renkomax = renkomax - boxsizeS renkomin = renkomin - boxsizeS endif   // conditions condbuy=high > (renkomax + boxsizeL) condbuy=condbuy and open<>close and low<>close and open<>high   condsell=low < (renkomin - boxsizeS) condsell=condsell and open<>close and high<>close and open<>low   // entry if ctime then If (tradetype=1 or tradetype=2) then if condbuy and not longonmarket then buy 1 contract at market endif endif if (tradetype=1 or tradetype=3) then if condsell and not shortonmarket then sellshort 1 contract at market endif endif endif   // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on   once steps     = 0.1             // set to 0 to ignore steps once minatrdist= 1.0   once atrtrailingperiod    = 14   // atr parameter once minstop              = 10   // minimum trailing stop distance   once sensitivityts        = 0    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 3   // trailing stop atr distance trailingstopshort    = 3   // trailing stop atr distance else if longonmarket then if newsl>0 then if trailingstoplong>minatrdist then if newsl>newsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif endif   if shortonmarket then if newsl>0 then if trailingstopshort>minatrdist then if newsl<newsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 tgl=round(atrtrail*trailingstoplong) tgs=round(atrtrail*trailingstopshort)   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close newsl=0 endif // if sensitivityts then sensitivitytslong=high sensitivitytsshort=low else sensitivitytslong=close sensitivitytsshort=close endif // if longonmarket then maxprice=max(maxprice,sensitivitytslong) 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,sensitivitytsshort) 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 // if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market //when stop is rejected endif endif endif // if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market //when stop is rejected endif endif endif endif   set stop %loss .4

   

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  Paul

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  05/07/2020 at 9:30 AM #130394
  GraHal

  Paul wrote:

  Goal is more to have consistent opening-trades from the backtest & live.

  Do you start the System on both Backyest and Live at same time?

  If No … might differences between Backtest  and Live be due to brick size being counted / measured from different starting points??

  

  GraHal

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  05/07/2020 at 9:42 AM #130395
  Paul

  yeah understand what y’re saying and you are right. This version is a bit different and give me somewhat hope 🙂 Here’s today so far.

  What I see now in the screenshot, left it’s defined as exit at 9.06.55 and on the right as entry. Why is that?  There was no market position before that.

  

  Paul

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  05/07/2020 at 10:12 AM #130407
  Francesco

  @Paul why did u decided to operate between that time frame? Higher volatility or what?

  

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  05/07/2020 at 10:12 AM #130408
  Franro

  Are there someone who is running anyone of thoose renko strategys and getting good results?

  

  Franro

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  05/07/2020 at 10:26 AM #130412
  Paul

  @Francesco  biggest reason is different market behaviour as to when the market opens. When it opens its seems harder to get good results, maybe indeed one cause is volatility.

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  Paul

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  05/12/2020 at 2:49 PM #131320
  Franro

  @Paul You still getting good results out there in the jungle? 😀

  

  Franro

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  05/12/2020 at 9:52 PM #131398
  Paul

  Hi Franro

  It’s tough. Yesterday I did, today not so much!

  With removing some parts defining “once” the renkoboxes, It seems to have stable results for the entry live compared to the backtest (when the system wasn’t stopped). That was the goal.

  It’s running from 26 april and still +/-500 profit. While it doesn’t show in the backtest, for the moment it didn’t break down completely, which is often the case on fast timeframes.

  But it’s not good enough.  New idea’s are welcome!

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  Paul

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  05/14/2020 at 2:58 PM #131672
  Paul

  profits are gone. A really bad day!

  Still every entry is the same as the entry in the backtest. So maybe there’s a basis for ML.

   

  

  Paul

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  05/15/2020 at 4:31 PM #131796
  AlgoAlex

  I wanna share my own version of an automated renko system: it’s a breakout system based on a Nicolas’ code and using ATR trailing stop seen here.

  These are the result in live demo and in the first week of real account, on Dow 5s…

   

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  05/19/2020 at 12:42 PM #132269
  Paul

  There doesn’t seem much interest in a fast timeframe anymore.

  One part in your code I didn’t like and that’s using the average renkobox. Somehow it slows down backtesting a lot or is doesn’t load. I removed that part.

  I inserted a breakeven do lower the maximum losses and the more recent atr trailingstop. Maybe somehow pivots can be used here. Thanks for posting your version!

   

   

  

  Paul

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