Tip for backtesting on Renko charts - NinjaTrader Programming | futures io social day trading
futures io futures trading


Tip for backtesting on Renko charts
Updated: Views / Replies:17,154 / 42
Created: by gregid Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

Tip for backtesting on Renko charts

  #11 (permalink)
Elite Member
UK
 
Futures Experience: None
Platform: -
 
Posts: 155 since Aug 2010
Thanks: 12 given, 74 received

Yo!

I asked a question but Big Mike closed it and told me to ask it here, so here goes:

Before we start, a few things I'd like to point out:

- I know how renko bars are formed, I am not an idiot. Please don't just say that they can't be used in real time, because they can under most market conditions.

- I will not execute any strategy that evolves in NinjaTrader, so any Limit/Market order problems in the NinjaTrader backtesting language are not applicable. I have slippage under wraps too.

- As I mentiond in the original question, I will be (or at least try to) using tick (trade, Bid X Ask) data for a significant period (say 1yr backtest, 5yr out of sample). In all liklihood I will be doing this in Matlab. Any stategy that does evolve will work from Matlab througbh to TT (after I have trded it live for a while for sanity).

So, the question is "has anybody tried this?".

CPI

Reply With Quote
 
  #12 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

I have not tried it.

What language are you using for this strat?

Reply With Quote
 
  #13 (permalink)
Elite Member
UK
 
Futures Experience: None
Platform: -
 
Posts: 155 since Aug 2010
Thanks: 12 given, 74 received


Sorry Dude I don't understand - "what language"

??

Reply With Quote
 
  #14 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

Programming. Code.

Reply With Quote
 
  #15 (permalink)
Elite Member
UK
 
Futures Experience: None
Platform: -
 
Posts: 155 since Aug 2010
Thanks: 12 given, 74 received

Then it'll all be in Matlab I guess (that should be fun eh!)...

Oh wait, you mean like C#, Jave etc?

I'll probably get someone else to do all the TT / Matlab integration stuff. I'm not a programmer, see. I just want the data in renko so I can do all my trader-stuff before handing it over to the boffins!

Reply With Quote
 
  #16 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received


cpi65 View Post
Then it'll all be in Matlab I guess (that should be fun eh!)...


So, TT is the datafeed. What is the platform? Which ones support Matlab?

Reply With Quote
 
  #17 (permalink)
Elite Member
UK
 
Futures Experience: None
Platform: -
 
Posts: 155 since Aug 2010
Thanks: 12 given, 74 received


Zoethecus View Post
You planning on doing this yourself or hiring a consultant?

So, TT is the datafeed. What is the platform? Which ones support Matlab?

The basics I will do myself, because it is just a case of getting the data into matlab (I say that now, I have only really used matlab for econometrics etc so far, so I expect it to be a bit of a challenge).

Initially I will be using tick data so that won't come from TT, probably tickdataplus or somewhere. Then if I get somewhere I will get someone (mates of mine) to build up some simple program that uses TT data from Excel (i.e TT -> Excel (via RTD) -> Matlab based application -> My mince pies -> back into TT)

Then if we are still GOGOGO it'll go tt -> matlab -> Autotrader via COM (I think, I'm not a computer boff).

The computer bits of it I am not worried about, I've seen it done loads - its the strategy thats the important bit!!

Platform is X_Trader Pro

Reply With Quote
 
  #18 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

Is the strategy depended on Renko for success, or are you going to test other data series?

Reply With Quote
 
  #19 (permalink)
Elite Member
Ann Arbor, Michigan USA
 
Futures Experience: Advanced
Platform: TradeStation, Biocomp
Favorite Futures: TF
 
Posts: 19 since Aug 2010
Thanks: 61 given, 21 received

I have coded strategies for Renko Bars in Easy language, but the bottom line is that what you have to code, tick by tick, is a series of "bars" which extend up to one brick-size above and below the bricks shown on your chart, so they really are not "Renko" bricks which are to be intercepted by your "set target" and "set stops" but TICKS! You can plot the renko bricks, but where the price actually moves can be in the open spaced above and below the "open" and "close" (until triggering a new brick by exceeding or touching as well one level past the "high" or "low" of the prior bricks. Since a backtester built using "reserved words" gets wrong information given said highs and lows, it cannot "see" those phantom non-defined price moves above and below the plotted "bricks", and it will give outrageously wrong estimates of your actual real time trades. It is more a matter of the stop orders (stop loss) and target orders (limit) which will execute outside of the bricks in real time that make your actual coding have little to do with those simplified visual "bricks" on the chart.

So, my little programming adventure with Renko ran way overtime, and was really a tick based strategy which happened to use renko construction retrace and continuation "rules" to give trading bar close setups only, and tick by tick monitoring between those new setups for the stop and target hits, and the cancelling or resetting of the stop and limit orders whenever each new brick closed out and the new brick started forming. That "forming" could finish, or close, one size above the prior high, or one size below the prior low before it completed, and was ambiguous the entire time in between. The chart may look like Renko, but reality will not look like Renko. And the profit will not look like renko profit ...at least it was a big disappointment for me in the end, but not a total waste of time, either. Since I do not know the programming of Ninja Trader, I do not know how it handles "look inside bars". I do know that EasyLanguage does NOT do it at all, let alone properly with Renko charts, Point and figure charts, and line break charts and TradeStation says it (back testing properly) is not supported for those chart types..

So to sum it up, if your renko strategy is working properly in the back test, your hypothetical executions, if they involve stops or targets, can occur, as they would in real time, anywhere in a three brick range before you see one little completed setup brick appear on the chart.

Reply With Quote
The following 4 users say Thank You to Seberbach for this post:
 
  #20 (permalink)
Elite Member
UK
 
Futures Experience: None
Platform: -
 
Posts: 155 since Aug 2010
Thanks: 12 given, 74 received



Zoethecus View Post
Is the strategy depended on Renko for success, or are you going to test other data series?

Yeah, I need the renko data.

Reply With Quote

Reply



futures io > > > > > Tip for backtesting on Renko charts

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Backtesting on Renko Charts diverdan MultiCharts 25 October 29th, 2017 07:12 PM
What is the difference in the regular Renko charts and the Median Renko charts PamH NinjaTrader 17 February 21st, 2012 08:16 PM
Better Renko Charts fballesteros NinjaTrader 2 April 12th, 2011 04:00 PM
Renko Tick Backtesting cpi65 Traders Hideout 8 August 5th, 2010 08:41 PM


All times are GMT -4. The time now is 03:22 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.13 seconds with 20 queries on phoenix via your IP 54.226.172.30