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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03/10/2020 at 6:00 PM #121747

GraHal

nonetheless wrote:

all worse

My suggestion re 2 seconds etc was not related to better performance.

I was a suggestion that BT might more closely align with FT re trade entry and exit times etc … on a 2 second TF?

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03/10/2020 at 6:12 PM #121748

nonetheless

@Grahal — be sure to change flatbefore to 080000 for the UK

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GraHal

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03/10/2020 at 6:25 PM #121749

GraHal

Using V2p …

Trade entry at 17:10:25 on SB on FT was Long.

Trade entry at 17:10:25 on SB on BT was Short. (see attached)

Trade entry at 17:10:25 on CFD on FT was Long.

Trade entry at 17:10:25 on CFD on BT was Long.

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03/10/2020 at 7:00 PM #121753

Paul

@GraHal I don’t have a clue why that is. Even running 2 strategies side by side in live demo, exactly the same, are not always the same on entry. (one get’s activated, the other not). That’s one reason I posted the strategy.

pff sometimes it’s hard to follow because it goes so quick!

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03/10/2020 at 7:02 PM #121754
GraHal
I checked 3 x Trades …

CFD FT & BT and SB FT Platforms executed at the same time.

SB BT Platform executed several minutes different from above!??

SB BT Platform executes more trades / for longer than at 1. above. (see attached for trade executed at 17:53:36).
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03/10/2020 at 7:07 PM #121756

GraHal

Paul wrote:

2 strategies side by side in live demo, exactly the same, are not always the same on entry.

This is why I have put one Strategy on CFD and one on SB … because you will recall the Rejection message we get often, similar to … “Another trade is being executed at the same time, call IG if you want to discuss?”.

IG seemingly cannot handle 2 x trades on same instrument in same direction on same Platform?

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03/10/2020 at 7:23 PM #121757

Paul

Forgot about that! Yes it makes sense now. Thanks for reminding. Removed the v1p strategy. Now maybe it’s better to compare.

in the meantime.. money comes quickly, but also goes quickly!

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03/10/2020 at 7:57 PM #121758

GraHal

GraHal wrote:

SB BT Platform executed several minutes different from above!??

Trades executed on SB BT Platform has now moved into synchronisation with Trades executed on SB FT and CFD BT and FT Platform … for how long who knows??

Weirder and weirder??

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03/10/2020 at 8:19 PM #121760

nonetheless

I’m having some success running Paul’s 1sec v2 with boxsize 40 — worth a try. Also running it on the NAS with box 45 and SP500 boxsize 9, I’ll let you know how that goes…

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03/10/2020 at 8:29 PM #121762

Francesco

Guys are you also having low performances due to the market confusion in your demo portfolios or is everything as the same?

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03/10/2020 at 8:41 PM #121763

Paul

@grahal Very strange but it’s good to compare. Let’s get it working properly because it was good fun to watch!

v1p I stopped at around 550 profit

vp2 is in the pic. Somehow it stopped performing good, next step is to create a dynamic boxsize, depended on history performance with the heuristics engine or on an indicator

@nonetheless will check it out too.

@Francesco rest of my strategies didn’t have much action.

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03/10/2020 at 9:43 PM #121768

GraHal

Francesco wrote:

low performances due to the market confusion

YES! 🙂 🙁

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03/10/2020 at 10:16 PM #121771

Francesco

Ok

GraHal wrote:

Francesco wrote:

low performances due to the market confusion

YES! 🙂 🙁

Ok this is very comforting, because I started a new portfolio to test at the beginning of the month which seemed very promising but is behaving in a very strange way. Hopefully this period will pass as soon as possible.
Let’s look at the positive side, it will serve as a lesson for the future to understand when to limit the action of the algorithms in correspondence with similar events

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03/11/2020 at 6:56 PM #121867

Paul

my strategy stopped today at around 1pm. Doesn’t look good from the results I got.

ps. there needs a setting adjusted to allow more trades.

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03/12/2020 at 6:23 PM #121977

eckaw

Here are my results so far. Made a small loss yesterday but today is looking more promising. I also would be interested in finding out if the Heuristic method would work in terms of defining the optimum box size for different markets.

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Discussion re Pure Renko strategy

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