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.

Tagged: renko

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03/18/2020 at 9:16 PM #122504

Paul

tested new version, backtest results compared to same code demo live. Big difference.

Paul
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03/19/2020 at 1:15 PM #122572

Paul

fifi743 wrote:

Good evening,

There are two trailing stops so there must be different variables.

example :

trailingstoptype=1

newsl1

trailingstoptype=2

newsl2

Normally yes, but the idea is that only one trailing stop type is activated and used.

In that case both variables can be the same I think.

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fifi743

Paul
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03/19/2020 at 7:18 PM #122615

GraHal

I see the eurusd is 0.9 spread … anybody tried any 1 sec version on eurusd??

I’m going to review my versions to see if they work on eurusd?

GraHal
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03/19/2020 at 7:27 PM #122617

GraHal

Hahaha … yeah see attached @ spread = 1, Box size = 10

Better still if you comment out the Flat before / after … images 3 and 4.

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Francesco, Paul

GraHal
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03/19/2020 at 8:11 PM #122624

GraHal

Ohhh Yesss … and we’re back in the Game!!!??? 🙂 🙂

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03/19/2020 at 8:26 PM #122626

Paul

It’s game on!

better or worse?

atrtrail=averagetruerange[atrtrailingperiod]((close/1)*pipsize)

1

atrtrail=averagetruerange[atrtrailingperiod]((close/1)*pipsize)

maybe no trailingstop, just a profittarget ?

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03/19/2020 at 8:46 PM #122628

GraHal

Yeah … whatever brings the most consistent profits at least drawdown?

As far as a scalper goes (which this is) it is more normal to get in and get out asap?

Also I note a little peak on the equity curve for nearly all the trades … which if some of these MFE’s could be captured as profit so much the better?

GraHal
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03/19/2020 at 9:10 PM #122629

fifi743

From Line 26
Setting on multiple indices

fifi743
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03/19/2020 at 9:14 PM #122631

Francesco

@Grahal changed the boxsize to 10 but no position opened in the backtest. On which itf are you working on?

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03/19/2020 at 9:20 PM #122632

GraHal

If you are asking me @Francesco …

Boxsize = 10*pipsize for EURUSD

GraHal
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03/19/2020 at 9:29 PM #122635

Francesco

Yes but it does not work for me don’t know why.. Would you like to share the code?

Francesco
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03/19/2020 at 9:54 PM #122637

GraHal

Try below on Line 16 …

If below doesn’t work I will post the code.

once trailingstoptype =2 //3

1

once trailingstoptype =2 //3

GraHal
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03/19/2020 at 10:00 PM #122638

Francesco

Nothing to do, probably because i’m working on a different itf?

Sorry i don’t want to bore you. I can test in on 200k also.

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03/19/2020 at 10:22 PM #122639

GraHal

Yeah 200K bars test would benefit us all anyway.

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Francesco

GraHal
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03/19/2020 at 10:45 PM #122645

Francesco

200k

BTW: noticed that also fx pair went crazy high on spreads……

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Discussion re Pure Renko strategy

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