Discussion re Pure Renko strategy

• 03/12/2020 at 7:42 PM #121991
  Francesco

  No one is working trying to convert the strategy on higher timeframes? Maybe we can share ideas i would like to support it, it seems very interesting but i think will never put on live a strategy with 1 sec

  

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  03/12/2020 at 8:36 PM #122005
  Paul

  maybe what can be tested is trading the equity curve

  if performance falls, stop live trading, but keep counting fake trade results.

  If the fake results pick up, start trading live again.

   

  @Francesco second timeframe appears to be excellent to iron out the shortcomings and fix those. Later on I go back to a slower timeframe.

  Today anyway was a great day, but I’am not so sure if the results hold, when trading a much smaller range.

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  03/12/2020 at 8:58 PM #122006
  GraHal

  Paul wrote:

  f performance falls, stop live trading, but keep counting fake trade results. If the fake results pick up, start trading live again.

  Good idea as I have a few times today thought … I’ll put this live on Lot size 0.2 as it is doing so well then it goes through a losing phase! 🙂  But still in profit overall!

  If it wasn’t for the “broker does not know the status of your last order” System Stop then I would have 5 or 6 versions running at the same time and pick the best!

   

  

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  03/14/2020 at 11:52 PM #122154
  Paul

  Found a code from Nicolas and adopted it slightly to fit this strategy. It slows it down on 200k bars though.

  i.e. Can be used to trade only in the trend

  //moving average once usema=1 if usema then once priceMAperiod=14 count=0 sum=0 lastbox=0 for i = 0 to barindex do if renkomax[i]<>lastbox then lastbox=renkomax[i] count=count+1 median=((renkomax[i]+renkomin[i])/2) sum=sum+median if count=priceMAperiod+1 then sum=sum-last last=median break // endif endif next once avg=undefined if last<>last[1] then avg = sum/priceMAperiod endif graphonprice avg as "average renko" endif

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  //moving average once usema=1 if usema then once priceMAperiod=14 count=0 sum=0 lastbox=0 for i = 0 to barindex do if renkomax[i]<>lastbox then lastbox=renkomax[i] count=count+1 median=((renkomax[i]+renkomin[i])/2) sum=sum+median if count=priceMAperiod+1 then sum=sum-last last=median break // endif endif next once avg=undefined if last<>last[1] then avg = sum/priceMAperiod endif graphonprice avg as "average renko" endif

  there was always something off with the “dynamic box”. Removed the +/- 1.

  boxsize=25 // 5 to 35 boxdiff=0 // -5 to 5 if dynamicbox then if close>close[1] and close[1]>close[2] then boxsize=boxsize+boxdiff elsif close<close[1] and close[1]<close[2] then boxsize=boxsize-boxdiff endif endif

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  boxsize=25 // 5 to 35 boxdiff=0  // -5 to 5   if dynamicbox then if close>close[1] and close[1]>close[2] then boxsize=boxsize+boxdiff elsif close<close[1] and close[1]<close[2] then boxsize=boxsize-boxdiff endif endif

   

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  Paul

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  03/15/2020 at 2:00 PM #122169
  Paul

  it’s based on code what’s already used to determine performance.

  Takes the last completed trade result from a long (green) or short (red) and plot’s it as 1 for a win and -1 for a loss.

  Not sure yet if it could be usefull.

  if (longperf>longperf[2]) then previouslong=1 elsif (longperf<longperf[2]) then previouslong=-1 else previouslong=0 endif if (shortperf>shortperf[2]) then previousshort=1 elsif (shortperf<shortperf[2]) then previousshort=-1 else previousshort=0 endif graph previouslong coloured(0,200,0) as "long result (1=win;-1=loss)" graph previousshort coloured(200,0,0) as "short result (1=win;-1=loss)"

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  if (longperf>longperf[2]) then previouslong=1 elsif (longperf<longperf[2]) then previouslong=-1 else previouslong=0 endif if (shortperf>shortperf[2]) then previousshort=1 elsif (shortperf<shortperf[2]) then previousshort=-1 else previousshort=0 endif   graph previouslong coloured(0,200,0) as  "long result  (1=win;-1=loss)" graph previousshort coloured(200,0,0) as "short result (1=win;-1=loss)"

   

  

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  03/15/2020 at 3:23 PM #122181
  GraHal

  Paul wrote:

  Not sure yet if it could be usefull.

  If anybody can … you can Paul!

  I’m sold on these 1 second Systems …. loved it last week, so interesting due to loads trades!

  And with the DJi up and down by 1oo points and more in 1 min the 1 Sec TF could be the way to go!?

  Btw I found Hour > 3 and Hour < 23 giving consistent good results re times to trade.

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  nonetheless, Paul

  

  GraHal

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  03/16/2020 at 4:06 PM #122258
  Paul

  GraHal wrote:

  If it wasn’t for the “broker does not know the status of your last order” System Stop then I would have 5 or 6 versions running at the same time and pick the best!

  When trying different positionsizes.  like 1 contract, 1,01 etc  I’am testing currently. Doesn’t seem to work though?

  Interesting is the south african 40 to test too, in the timezone with the lowest spread.

  Still backtest difference from the forward demo test, even with the fixes I tried.

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  Paul

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  03/16/2020 at 4:36 PM #122267
  Paul

  same strategy in forward demo test

  one 0.27 positionsize, other 0.28. Rest is the same.

  

  Paul

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  03/16/2020 at 5:39 PM #122274
  fifi743

  Hi .
  I don’t understand this
  It is not a comparison.

  myindex + nbbarlimit

  if rule1 and myindex + nbbarlimit and mylimitshort > 0 and not shortonmarket then sellshort positionsize contract at market endif

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  if rule1 and myindex + nbbarlimit and mylimitshort > 0  and not shortonmarket then sellshort positionsize contract at market endif

   

   

  

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  03/16/2020 at 6:35 PM #122279
  Paul

  Good evening Fifi,

  The code comes from the prorealtime manual on page 11.

  You can set the validity length of limit and stop orders.

  The following example shows how it is possible to create a limit order with a validity set to a specific number of bars by using variables. The code places a buy limit order at the close price of the bar on which a moving- average crossover occurred. This limit is valid for 10 bars after the bar of the crossing. If it is not executed during these 10 bars, it is cancelled.

  // Definition of the validity length of the order ONCE NbBarLimit = 10 MM20 = Average[20](close) MM50 = Average[50](close) // If MM20 crosses over MM50, we define 2 variables "MyLimitBuy" and "MyIndex" containing the close price at that time and the index of the bar of the cross. IF MM20 CROSSES OVER MM50 THEN MyLimitBuy = close MyIndex = Barindex ENDIF IF BarIndex >= MyIndex + NbBarLimit THEN MyLimitBuy = 0 ENDIF // Place an order at the price MyLimitBuy valid as long as this variable is greater than 0 and we are not in a long position. // Remember: MyLimitBuy is greater than 0 for the 10 bars after the bar of the crossing. IF MyLimitBuy > 0 AND NOT LongOnMarket THEN BUY 1 SHARES AT MyLimitBuy LIMIT ENDIF

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  // Definition of the validity length of the order ONCE NbBarLimit = 10 MM20 = Average[20](close) MM50 = Average[50](close) // If MM20 crosses over MM50, we define 2 variables "MyLimitBuy" and "MyIndex" containing the close price at that time and the index of the bar of the cross. IF MM20 CROSSES OVER MM50 THEN MyLimitBuy = close MyIndex = Barindex ENDIF IF BarIndex >= MyIndex + NbBarLimit THEN MyLimitBuy = 0 ENDIF // Place an order at the price MyLimitBuy valid as long as this variable is greater than 0 and we are not in a long position. // Remember: MyLimitBuy is greater than 0 for the 10 bars after the bar of the crossing. IF MyLimitBuy > 0 AND NOT LongOnMarket THEN    BUY 1 SHARES AT MyLimitBuy LIMIT ENDIF

  In case the order was not executed, it is possible to replace the expired buy limit order with a buy at market price order. This could be done by adding the following code to the previous one:

  IF MyIndex + NbBarLimit AND MyLimitBuy > 0 AND NOT LongOnMarket THEN BUY 1 SHARES AT MARKET ENDIF

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  IF MyIndex + NbBarLimit AND MyLimitBuy > 0 AND NOT LongOnMarket THEN    BUY 1 SHARES AT MARKET ENDIF

   

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  Paul

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  03/16/2020 at 6:45 PM #122281
  fifi743

  I do not know where you are in the updates.
  here’s mine

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  Francesco, Paul, GraHal

  

  fifi743

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  03/16/2020 at 6:47 PM #122284
  GraHal

  Link to Paul’s post above added as Log 200 here …

  Snippet Link Library

   

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  fifi743

  

  GraHal

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  03/16/2020 at 8:10 PM #122290
  fifi743

  Right above the trailling stop, I put this code.

  if longonmarket and barindex<=myindex + nbbarlimit and strategyprofit>strategyprofit+(close-positionprice)*round(COUNTOFLONGSHARES/positionsize) then trailingstoptype=0 else trailingstoptype=1 endif if shortonmarket and barindex>=myindex + nbbarlimit and strategyprofit>strategyprofit+(positionprice-close)*round(COUNTOFSHORTSHARES/positionsize) then trailingstoptype=0 else trailingstoptype=1 endif

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  if longonmarket and barindex<=myindex + nbbarlimit and strategyprofit>strategyprofit+(close-positionprice)*round(COUNTOFLONGSHARES/positionsize) then trailingstoptype=0 else trailingstoptype=1 endif if shortonmarket and barindex>=myindex + nbbarlimit and strategyprofit>strategyprofit+(positionprice-close)*round(COUNTOFSHORTSHARES/positionsize) then trailingstoptype=0 else trailingstoptype=1 endif

   

  

  fifi743

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  03/16/2020 at 8:36 PM #122293
  Paul

  Thanks I will included it! Working on last part.

  I’ve 2 different versions, one with the code in the manual above, other normal approach.

  If using nnbarlimit=1 then both systems have the same result, as it should be.

   

  Also 3 ways to calculate the boxes. pfff and an attempted fix to run correctly.

   

   

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  Paul

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  03/16/2020 at 9:51 PM #122295
  Paul

  Renkoboxes default uses close, I experimented with totalprice & Heiken Ashi.

  Removed dynamic box. It added nothing good enough.

   

  results are with spread 2.4 between 8am and 22pm.

  Original renko based on “close” with boxsize_25, 6k

  renko based on “Heiken Ashi” with boxsize__ 20, 10k

  more important I still see differences between live & active orders from the backtest. Maybe because I’am running different versions. Tomorrow I will stick to one.

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  nonetheless, Francesco, GraHal, fifi743

  

  Paul

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