Nicolas Renko System

• 12/12/2016 at 9:40 AM #18290
  Mark

  Hi,

  I have been studying the concept of the Renko system,

  I am interested in adopting this system but with money management/position sizing incorporated into it. Is this something that can be achievable with this type of system? I am trying to add it but struggling to code the position sizing.

   

  Mark

  

  Mark

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  12/15/2016 at 10:01 AM #18554
  Nicolas

  Position sizing/money management can be incorporated into any automated trading strategies you’ll find into the Library. The lot sizing is only a variable that adjust dynamically to your profit and loss with its own calculation.

  I believe you are talking about this renko trading strategy: http://www.prorealcode.com/prorealtime-trading-strategies/renko-automated-trading-with-moving-average-on-candlesticks-chart/

  So please find below the modified code with the money management position sizing:

  defparam cumulateorders = false REM Money Management Capital = 10000 Risk = 0.01 StopLoss = 10 // Could be our variable X REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) bsize = 20 //renko size in points mmperiod = 20 //moving average period orderstime = 300 //minimum seconds between 2 orders boxsize = bsize*pipsize once topprice = close once bottomprice = close - boxsize*pipsize*2 if(close > topprice + boxsize*2) THEN topprice = close bottomprice = topprice - boxsize*2 barclose=topprice ELSIF (close < bottomprice - boxsize*2) THEN bottomprice = close topprice = bottomprice + boxsize*2 barclose = bottomprice ELSE topprice = topprice bottomprice = bottomprice ENDIF mm = average[mmperiod](barclose) if barclose=barclose[1] then mmRENKO = mmRENKO[1] else mmRENKO = mm endif if barclose crosses over mmRENKO AND ABS(time-lasttime)>orderstime then BUY PositionSize SHARES AT MARKET EXITSHORT AT MARKET lasttime=time endif if barclose crosses under mmRENKO AND ABS(time-lasttime)>orderstime then SELLSHORT PositionSize SHARES AT MARKET SELL AT MARKET lasttime=time endif

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  defparam cumulateorders = false   REM Money Management Capital = 10000 Risk = 0.01 StopLoss = 10 // Could be our variable X   REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   bsize = 20 //renko size in points mmperiod = 20 //moving average period orderstime = 300 //minimum seconds between 2 orders   boxsize = bsize*pipsize   once topprice = close once bottomprice = close - boxsize*pipsize*2   if(close > topprice + boxsize*2) THEN topprice = close bottomprice = topprice - boxsize*2 barclose=topprice ELSIF (close < bottomprice - boxsize*2) THEN bottomprice = close topprice = bottomprice + boxsize*2 barclose = bottomprice ELSE topprice = topprice bottomprice = bottomprice ENDIF   mm = average[mmperiod](barclose)   if barclose=barclose[1] then mmRENKO = mmRENKO[1] else mmRENKO = mm endif   if barclose crosses over mmRENKO AND ABS(time-lasttime)>orderstime then BUY PositionSize SHARES AT MARKET EXITSHORT AT MARKET lasttime=time endif   if barclose crosses under mmRENKO AND ABS(time-lasttime)>orderstime then SELLSHORT PositionSize SHARES AT MARKET SELL AT MARKET lasttime=time endif

  Not tested, but should work as intend. Please give feedback.

   

  

  Nicolas

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  01/04/2017 at 5:11 PM #19845
  Mark

  Hi Nicolas,

  This works for me, thank you

  

  Mark

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