Renko automatic trading
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I expect the problem is with the trail
123//trailing stop functiontrailingstart = 13 //15.7 //trailing will start @trailinstart points profittrailingstep = 2.9 //trailing step to move the "stoploss"if it starts at 13 points but adds 2.9 to the open it’s too close to the 10 minimum.
But there’s a bigger problem, see attached 6 month backtest. These 10 sec algos almost never work for any length of time.
(this is snucke’s MySystem1 – I renamed it)
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@eckaw Thank you for all the work!
@DjungelJarl Hey I actually meet the same issue as you do.Runs well on live but will constantly crash on demo. I have an IG account.
I believe it’s to do with the stops as you said. Sometimes, on my demo account, the (guaranteed) stops have to be at least 1% when it’s maybe 10-12 on my live account. No idea why though
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Another update, I tried it with the Machine Learning snippet of @juanj and leaving most of the settings at default produced slightly better results than using the latest optimized value of Period2 = 9.
The code that was inserted:
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108// Heuristics Algorithm StartIf onmarket[1] = 1 and onmarket = 0 Thenoptimize = optimize + 1EnDifStartingValue = 9ResetPeriod = 1 //Specify no of months after which to reset optimizationIncrement = 1MaxIncrement = 4 //Limit of no of increments either up or downReps = 6 //Number of trades to use for analysisMaxValue = 100 //Maximum allowed valueMinValue = 1 //Minimum allowed valueonce monthinit = monthonce yearinit = yearIf (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) ThenValueX = StartingValueWinCountB = 0StratAvgB = 0BestA = 0BestB = 0monthinit = monthyearinit = yearEndIfonce ValueX = StartingValueonce PIncPos = 1 //Positive Increment Positiononce NIncPos = 1 //Neative Increment Positiononce Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit)once Mode = 1 //Switches between negative and positive increments//once WinCountB = 3 //Initialize Best Win Count//GRAPH WinCountB coloured (0,0,0) AS "WinCountB"//once StratAvgB = 4353 //Initialize Best Avg Strategy Profit//GRAPH StratAvgB coloured (0,0,0) AS "StratAvgB"If Optimize = Reps ThenWinCountA = 0 //Initialize current Win CountStratAvgA = 0 //Initialize current Avg Strategy ProfitFor i = 1 to Reps DoIf positionperf(i) > 0 ThenWinCountA = WinCountA + 1 //Increment Current WinCountEndIfStratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1)NextStratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit//Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1"//Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2"//Graph StratAvgA*-1 as "StratAvgA"//once BestA = 300//GRAPH BestA coloured (0,0,0) AS "BestA"If StratAvgA >= StratAvgB ThenStratAvgB = StratAvgA //Update Best Strategy ProfitBestA = ValueXEndIf//once BestB = 300//GRAPH BestB coloured (0,0,0) AS "BestB"If WinCountA >= WinCountB ThenWinCountB = WinCountA //Update Best Win CountBestB = ValueXEndIfIf WinCountA > WinCountB and StratAvgA > StratAvgB ThenMode = 0ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 ThenValueX = ValueX - (Increment*NIncPos)NIncPos = NIncPos + 1Mode = 2ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 ThenValueX = ValueX + (Increment*PIncPos)PIncPos = PIncPos + 1Mode = 1ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 ThenValueX = ValueX + (Increment*PIncPos)PIncPos = PIncPos + 1Mode = 1ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 ThenValueX = ValueX - (Increment*NIncPos)NIncPos = NIncPos + 1Mode = 2EndIfIf NIncPos > MaxIncrement or PIncPos > MaxIncrement ThenIf BestA = BestB ThenValueX = BestAElseIf reps >= 10 ThenWeightedScore = 10ElseWeightedScore = round((reps/100)*100)EndIfValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win%EndIfNIncPos = 1PIncPos = 1ElsIf ValueX > MaxValue ThenValueX = MaxValueElsIf ValueX < MinValue ThenValueX = MinValueEndIFOptimize = 0EndIfgraph valuex// Heuristics Algorithm Endp2 = valueXPeriod2 is later set to p2, as this is the variable to be optimized.
See attachments for the difference in result over the last days. Unfortunately I only have access to 200k backtesting bars though.
@juanj Fantastic work with the Machine Learning!1 user thanked author for this post.
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