Discussion re Pure Renko strategy
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- This topic has 345 replies, 24 voices, and was last updated 4 years ago by bertrandpinoy.
Tagged: renko
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05/06/2020 at 4:58 PM #130283
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?
05/06/2020 at 5:20 PM #13028505/06/2020 at 5:39 PM #13028905/06/2020 at 6:24 PM #13029505/07/2020 at 2:31 AM #130363This 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.
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156//-------------------------------------------------------------------------// Hoofd code : Renko dji 5s A3.1//-------------------------------------------------------------------------defparam cumulateorders = falsedefparam preloadbars = 1000defparam flatbefore = 080000defparam flatafter = 173000once tradetype = 1 // [1]long&short;[2]long;[3]shortboxsizeL=40boxsizeS=30// strategyctime= time>=080000 and time<150000if close > renkomax + boxsizeL and not (close < renkomin - boxsizeS) thenrenkomax = renkomax + boxsizeLrenkomin = renkomin + boxsizeLendifif close < renkomin - boxsizeS and not (close > renkomax + boxsizeL) thenrenkomax = renkomax - boxsizeSrenkomin = renkomin - boxsizeSendif// conditionscondbuy=high > (renkomax + boxsizeL)condbuy=condbuy and open<>close and low<>close and open<>highcondsell=low < (renkomin - boxsizeS)condsell=condsell and open<>close and high<>close and open<>low// entryif ctime thenIf (tradetype=1 or tradetype=2) thenif condbuy and not longonmarket thenbuy 1 contract at marketendifendifif (tradetype=1 or tradetype=3) thenif condsell and not shortonmarket thensellshort 1 contract at marketendifendifendif// trailing atr stoponce trailingstoptype = 1 // trailing stop - 0 off, 1 ononce steps = 0.1 // set to 0 to ignore stepsonce minatrdist= 1.0once atrtrailingperiod = 14 // atr parameteronce minstop = 10 // minimum trailing stop distanceonce sensitivityts = 0 // [0]close;[1]high/lowif trailingstoptype thenif barindex=tradeindex thentrailingstoplong = 3 // trailing stop atr distancetrailingstopshort = 3 // trailing stop atr distanceelseif longonmarket thenif newsl>0 thenif trailingstoplong>minatrdist thenif newsl>newsl[1] thentrailingstoplong=trailingstoplongelsetrailingstoplong=trailingstoplong-stepsendifelsetrailingstoplong=minatrdistendifendifendifif shortonmarket thenif newsl>0 thenif trailingstopshort>minatrdist thenif newsl<newsl[1] thentrailingstopshort=trailingstopshortelsetrailingstopshort=trailingstopshort-stepsendifelsetrailingstopshort=minatrdistendifendifendifendif//atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000tgl=round(atrtrail*trailingstoplong)tgs=round(atrtrail*trailingstopshort)if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) thenmaxprice=0minprice=closenewsl=0endif//if sensitivityts thensensitivitytslong=highsensitivitytsshort=lowelsesensitivitytslong=closesensitivitytsshort=closeendif//if longonmarket thenmaxprice=max(maxprice,sensitivitytslong)if maxprice-tradeprice(1)>=tgl*pointsize thenif maxprice-tradeprice(1)>=minstop thennewsl=maxprice-tgl*pointsizeelsenewsl=maxprice-minstop*pointsizeendifendifendif//if shortonmarket thenminprice=min(minprice,sensitivitytsshort)if tradeprice(1)-minprice>=tgs*pointsize thenif tradeprice(1)-minprice>=minstop thennewsl=minprice+tgs*pointsizeelsenewsl=minprice+minstop*pointsizeendifendifendif//if longonmarket thenif newsl>0 thensell at newsl stopendifif newsl>0 thenif low crosses under newsl thensell at market //when stop is rejectedendifendifendif//if shortonmarket thenif newsl>0 thenexitshort at newsl stopendifif newsl>0 thenif high crosses over newsl thenexitshort at market //when stop is rejectedendifendifendifendifset stop %loss .42 users thanked author for this post.
05/07/2020 at 9:30 AM #130394Goal 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??
05/07/2020 at 9:42 AM #130395yeah 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.
05/07/2020 at 10:12 AM #13040705/07/2020 at 10:12 AM #13040805/07/2020 at 10:26 AM #13041205/12/2020 at 2:49 PM #13132005/12/2020 at 9:52 PM #131398Hi 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!
1 user thanked author for this post.
05/14/2020 at 2:58 PM #13167205/15/2020 at 4:31 PM #13179605/19/2020 at 12:42 PM #132269There 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!
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