I use Renko bars religiously in all my strategies, and here is what I've found works for me after many many horrid automated trading experiences. Account killers and 10's of thousands of dollars of losses. But Keep reading, I do this for a living now.....
1. Write your strat - (I like the idea of limits orders mentioned above)
2. Back-test. (2 or 3) tick slippage so you don't get too excited.
3. Genetic Optimization
now here is where it really gets important -----
4. Learn how to properly do walk forward optimization. I cannot stress this enough. And not just once - learn your strategies' ratio of Optimization Period and Test Period. Especially with a strat involving a lot of parameters. And limit dynamic params as much as possible. Know what your indicators are doing as only optimize the absolutely necessary prams. This is the only chance you'll get an out of sample test without a live market.
5. If you are still happy - you MUST do Monte Carlo simulations. This is the most under utilized tool and prob the most important thing NT has for testing. You WANT your strategies to run in noisy unexpected markets and fail. Read everything you can about how this works behind the scenes so you do it properly. And ALWAYS remove at least 5-10% of your best and worse trades. If that probability curve if out of whack, go back to the drawing board.
6. If things still check out - download a couple years of market replay and let er rip all night. This is the closest thing you'll get to building the bars likea live feed does (it's not, but close).
7. Then test in realtime - as this is really the only way to make sure your logic is solid (other than with actual $$)
8. repeat #4-5 every Sunday in volatile markets if you have too. Especially if you're trading craziness like the GC.
Look, I may be completely wrong..lol. But the workflow above works for me financially (after losing for eh, 8 years now, I'm finally in the black). Again, 4 and 5 - are an absolute must.
Also, if you're new at this, learn that your risk management & exit strategy code is more important that your entry signal. And don't always use trails --- think bigger. Especially with Renkos. The options are endless, Depending on market conditions i utilize 6 exit strats (beyond a set tick or $$ profit take)
1. EMA Trail
2. https://futures.io/download/ninjatrader-7/indicators/1207-download.html?view Fat Tails awesome super trend trail.
3. I have a custom MA that adapts to fake reversals - and exit when the slope changes <- this is my prize winner
4. Fast markets i use the slope change of this beauty anaZeroLagHATEMA again thank you @Fat Tails
5. For longer holds i'll use the trend change of my Adaptive Laguerre filter <- this rocks.
6. and sometimes anaADXVMA. and again @Fat Tails you rock.
(I'm actually almost finished with a chart trader add on that utilizes these seamlessly - i'll post when finished but it's a ton of code and I'm finally testing on the live markets)
Of course, proper entries are important, but if you're not netting a 3+ profit factor, you'll eventually blow your account. I've done it too many times.
There is my 2 cents for the for the eve - time to grab a beer.
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I have found that submitting market orders, via EnterLong() or EnterShort() in backtesting yields a different result than EnterLongLimit(Close),"Buy") on the same backtest. When the exit strategy is to exit on conditions on the Renko chart, these appear to be ignored; and the entry and exit appears on the same Renko bar. Using EnterLong(), however, these enter on the new bar, as highlighted by others in this thread, and the rules appear to be followed.
What is a work-around for this in live testing? Live testing with the EnterLong()- ExitLong() sees eventual order rejections due to market movements within the Renko bar (Buy stops below the market/ sell stops above the market)...How could one then submit market orders on Renko charts in live testing without this occurring? Otherwise, how could one submit limit orders in strategy testing without also exiting on the same entry Renko bar?