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Renko charts | Live versus Backtest


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Renko charts | Live versus Backtest

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  #1 (permalink)
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Hello all,

I'm working with Renko charts in Ninja. I've substantially read past posts on this topic, and understand these points have been somewhat discussed before, however I'm not not very clear -
  1. Since backtesting bid/ask doesn't work in Ninja (big time bug), is using market orders with 1 tick of slippage per fill acceptable?
  2. My backtest trades are VERY DIFFERENT than my live trades, however the statistics are similar. Market replay and live are the same. Is this a problem? It seems to just pick a random tick off the bat. I get the impression that NT curve fits Renko backtests based on the best open tick point, although this is unconfirmed
  3. After heavily analyzing the charts, it looks like Ninja does not play games with backtesting Renko charts, an issue that has been discussed substantially before.
  4. Most importantly... I have several systems that work well in Renko charts, however using just raw Renkos (buy on green, sell on red) still work the best with the right brick sizes, albeit smaller profit factors, the average trades are very large and drawdowns very minimum. What's the problem with this?




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Renko = false Open. Will never work in a backtest using that as the primary dataseries.

You can use Better Renko as a more/mostly accurate replacement, or you can use a secondary 1-range dataseries for order execution, which is an advanced topic.

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Okay nice...

I've spent allot of time working on different systems that go on top of Renko bars to improve their performance. Two of them work very well. I'll go ahead and post these in one of the elite forums here today if they haven't already been built and shared already. I've noticed as the brick size increases, the profit factor increases and the draw down decreases. With good filters, one can reduce the brick size while keeping a similar profit factor as a high brick size, which equates to a significantly smaller draw down.

Also on the Ninja back testing - is it fair enough to use one tick of slippage on market orders since limit orders don't work currently in back tests?

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patbateman View Post
Okay nice...

I've spent allot of time working on different systems that go on top of Renko bars to improve their performance. Two of them work very well. I'll go ahead and post these in one of the elite forums here today if they haven't already been built and shared already. I've noticed as the brick size increases, the profit factor increases and the draw down decreases. With good filters, one can reduce the brick size while keeping a similar profit factor as a high brick size, which equates to a significantly smaller draw down.

Also on the Ninja back testing - is it fair enough to use one tick of slippage on market orders since limit orders don't work currently in back tests?

Thanks, I look forward to seeing your different systems. I have played with Renko and always loved the simplicity, but wasted lots of time testing ideas through backtesting thinking it was so good an approach. If you want to test using the Renko, you should always Forward test live on the market or at a minimum us "Replay" in NT which is Tick based.

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I compared market replay to live data, and it is nearly identical... I always run systems live on Sim101 and a demo account I have setup with my broker on their servers (basically a live trading account without cash - for maximum realism), but it is very time consuming.

I'll make a thread in the Elite Circle this afternoon (shortly) with code... maybe we can get some other elites to toss in their ideas and come out with some real progress.

My biggest issue is the reliability of NT Renko. It's unclear if backtesting NT Renko automatically picks the best open tick point (curve fit) - although I can't get NT support to confirm this, it seems like this is true based off of the numerous past comments, as well as Mike's post above. Using "raw" Renko bricks seems like a very reliable method by itself, but it seems too easy to be true, and all of the other comments around here would probably say if it were a viable system. Brick sizes above 6 work well in terms of consistent daily net profit, and sizes 12 and above have nice profit factors and fair enough constancy. I noticed that while profit factors increase with brick size, maximum time to recover is a parabola, minimizing at a 9 tick brick size on almost all contracts. Larger brick sizes also drawdown more often.

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patbateman View Post
I compared market replay to live data, and it is nearly identical... I always run systems live on Sim101 and a demo account I have setup with my broker on their servers (basically a live trading account without cash - for maximum realism), but it is very time consuming.

I'll make a thread in the Elite Circle this afternoon (shortly) with code... maybe we can get some other elites to toss in their ideas and come out with some real progress.

My biggest issue is the reliability of NT Renko. It's unclear if backtesting NT Renko automatically picks the best open tick point (curve fit) - although I can't get NT support to confirm this, it seems like this is true based off of the numerous past comments, as well as Mike's post above. Using "raw" Renko bricks seems like a very reliable method by itself, but it seems too easy to be true, and all of the other comments around here would probably say if it were a viable system. Brick sizes above 6 work well in terms of consistent daily net profit, and sizes 12 and above have nice profit factors and fair enough constancy. I noticed that while profit factors increase with brick size, maximum time to recover is a parabola, minimizing at a 9 tick brick size on almost all contracts. Larger brick sizes also drawdown more often.

My feeling is if you are worried about ticks with a strategy on Renko, don't use backtesting as I have seen strange things (sometimes seems like it used the average value of the bar for entry/exit points). If you have trades open for long periods of time where you are trying to take 50+ ticks in a strategy, Renko backtesting might give you a good idea how it works.

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Alright, I imported the BetterRenko and will also check out the other renko types. I apologize for being basic about these questions, but I just want to be clear before I keep going forward with strategy development in renko charts :



NT Renko seems to have big problems with backtests versus live - mainly due to the opening position. Should I expect better renko to have the same backtest and live charts?



And lastly, is it fair to use market orders with one tick of slippage on betterRenko?

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Care to share what results you got from switching to better renko?

Thanks!

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