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Tip for backtesting on Renko charts
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Tip for backtesting on Renko charts

  #21 (permalink)
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Seberbach View Post
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.

Yo!

Interesting to hear about your experience in TradeStation. The strategy does not use set stop or limit orders, but generates market orders to open and close under the circumstances I specify. I have traded it in real time and it is perfectly possible, it's the backtesting bit thats a pain because I need the data in a granular format to get Renko bars that would have been created if i was walking it forward.

CPI

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  #22 (permalink)
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cpi65 View Post
Yeah, I need the renko data.


cpi65 View Post
I need the data in a granular format to get Renko bars that would have been created

Which instrument? How much tick data do you need?

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  #23 (permalink)
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Big Mike View Post
Which instrument? How much tick data do you need?

Mike

Yo Big Mike!

For the instrument, well I would obviously test each contract before it trades, but for the strategy to be implemented properly it needs to be a tight market with plenty of depth - because, say, I need to avoid contracts that could move by more than a renko box size without a single print on the tape "under normal market conditions" (obv. I am not going to trade it over NFP and so on), that is one of the problems with Renko on compressed data using close prices.

So I guess I am looking at FESX, FGBL, ES and ZN. Not all at one though LOL!

How much data? Well as much as I can get really, but should really go back before august 2007 (sub-prime writedowns, remember those LOL!).

Peace Out!

CPI

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  #24 (permalink)
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Better Renko

I created a new bar type called BetterRenko, and there is a new thread for it here. It should solve backtesting issues with Renko.

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  #25 (permalink)
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aslan View Post
I created a new bar type called BetterRenko, and there is a new thread for it here. It should solve backtesting issues with Renko.


Yo aslan you get cracking on those renko's don't you!! But why so many?

I am picking my way through Renko's in matlab... they are already included in the financial toolbox but not really in the way I want to use them. And anyway, the edge is in the numbers, not in the graphs!!

I like to start from scratch



CPI

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  #26 (permalink)
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aslan View Post
I created a new bar type called BetterRenko, and there is a new thread for it here. It should solve backtesting issues with Renko.

I don't know about solving, but every strat I tested that was glowingly profitable with Renkos is now a net loser with this. Can't say I'm the least bit surprised.

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  #27 (permalink)
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Zoethecus View Post
I don't know about solving, but every strat I tested that was glowingly profitable with Renkos is now a net loser with this. Can't say I'm the least bit surprised.

Perhaps expose would be better than solve? lol

Your results are exactly what I would expect. Everyone trys Renko, and is certain the grail has been uncovered, only to loss when they go live. If you can find a strat that works with BetterRenko, then it should match when you go live. At least that is the theory.

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  #28 (permalink)
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aslan View Post
Perhaps expose would be better than solve? lol

Your results are exactly what I would expect. Everyone trys Renko, and is certain the grail has been uncovered, only to loss when they go live. If you can find a strat that works with BetterRenko, then it should match when you go live. At least that is the theory.

Yo!

Say fella's, you are all pretty pessimistic when it comes to Renko, huh!

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  #29 (permalink)
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cpi65 View Post
Say fella's, you are all pretty pessimistic when it comes to Renko, huh!

Not at all. I love Renko's for what they are good at, which is removing noise and showing real swings. They are horrible for backtesting if you are not real careful, and I was really trying to fix that issue so they could be used for that as well.

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  #30 (permalink)
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aslan View Post
Not at all. I love Renko's for what they are good at, which is removing noise and showing real swings. They are horrible for backtesting if you are not real careful, and I was really trying to fix that issue so they could be used for that as well.

Yeah, I know the renko's you get in most charts are dodgy for backtesting, thats why I'm building my own (in matlab)

Good luck bro! I'll see you on the other side!

Race ya!

CPI

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