Why is backtesting so unreliable?

nonetheless · Tue, 22 Oct 2019 13:57:03 +0000

I’ve developed a few codes that appear to be successful in backtesting, but whenever I run them in demo nothing comes close to that kind of profit. I adapted the following from the Pure Renko Strategy posted by Doctrading. This version is designed for the DJI 5min chart on UK time and shows incredible results – 75% wins over 17 months with only 3 losing days. Well, you know what they say about things that sound too good to be true. Run it live and it loses money every day. Same story with other seemingly successful codes I’ve developed. I’d be very curious to know why there should be such a huge discrepancy. Thanks in advance for any enlightenment. // 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 = 13 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 $TRAILING 12

This topic has 20 replies, 3 voices, and was last updated 2 years ago by Nicolas.

Tagged: backtest, backtesting, oos, renko, wf

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02/25/2020 at 10:41 AM #120398

GraHal

nonetheless wrote:

Maybe I should take another look at it…

You should!

I have the brick size at 125 on the DJI M1 TF … it was regularly making money!

With some of your tweaks (Trailing Stop maybe?) I reckon it could be even better?

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02/25/2020 at 2:39 PM #120462

GraHal

That should have read … New Topic Title Required please Mods

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02/25/2020 at 2:39 PM #120463

robertogozzi

Created a new topic.

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GraHal

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04/24/2022 at 9:43 PM #192165

pp_playaflamenca

About Renko graphics:

Let me ensure the problem with Renko graphics it’s not they´re re-painting at all?

I’m not completely sure about that.

Thanks

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04/25/2022 at 8:58 AM #192173

GraHal

What problem you experiencing?

Renko grahpics don’t repaint … unless maybe you have something weird in your code?

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04/25/2022 at 10:12 AM #192187

Nicolas

Renko charts in PRT are not “repainting” if you use a 1-tick chart, in order for the renko bricks construction to use the most precise price.

You can’t use renko charts in automatic trading with ProOrder. In order to use them in ProOrder, I know this marketplace product is accurately recreating the same exact renko charts as the one from the platform, and as a custom indicator you can use in automated trading: https://market.prorealcode.com/product/prt-renko/

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GraHal

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Why is backtesting so unreliable?

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