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Incorrect trading signals using renko bars on data stream 2


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Incorrect trading signals using renko bars on data stream 2

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  #1 (permalink)
Ottawa, Ontario
 
 
Posts: 1 since Feb 2015
Thanks: 1 given, 1 received

Hi. I am trying to create a simple automated trading signal that uses a renko chart on data stream 2 to generate signals at the close of a full renko bar, and then enter/exit trades on a time based bar chart on data stream 1. Nothing fancy, just trying to learn how to do this sort of thing. Backtesting on the code I have created indicates that it "works", but testing in real-time is another story. It seems to be entering trades before a full renko bar on data stream 2 has actually closed. In my settings, I have intrabar order generation off. Can anyone point out where I am going wrong. The code is as follows:

[IntrabarOrderGeneration = false] ;

Condition1 = close of data2 > open of data2 and close[1] of data2 < open[1] of data2 ;
Condition2 = close of data2 < open of data2 and close[1] of data2 > open[1] of data2 ;

If CurrentBar > 1 and BarStatus(1) of data2 = 2 and condition1 and marketposition = 0 then begin
Buy ( "LE" ) next bar at market ;
end ;

If CurrentBar > 1 and BarStatus(1) of data2 = 2 and condition2 and marketposition > 0 then begin
Sell ( "LX" ) next bar at market ;
end ;

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  #2 (permalink)
Hamburg Germany
 
Experience: Advanced
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mattyham,

your code might use BarStatus incorrectly.


Quoting 
BarStatus(DataNum)

Where: DataNum - a numerical expression specifying the data number of the series

If DataNum is not specified, a value for the current data series will be returned.

The print reserved word might be helpful for you to evaluate the internal values of variables and reserved word within your code.


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ABCTG

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  #3 (permalink)
Seattle
 
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Just wondering if you have had any luck with this problem. I’m having the same isssue where my strategy is taking trades prior to the close of bar when using Renko. Works great when a Renko Bar forms on the first time interval but not when the bar goes beyond the first iteration.

I have this thread on the topic:




For backtest you will need to use (buy this bar on close). I might also suggest setting up a bid/ask series so that the trades happen at the correct price else they will occur at the Renko Bar price and not the underlying market price.

GuppyDRV

Just saw that you have an underlying data series which might solve the price issue if it’s the same time interval as the Renko! This will get you close, however a bid/ask for precise backtest is always advisable!

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