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renko backtest/optimization results magicly changing...


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renko backtest/optimization results magicly changing...

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  #1 (permalink)
fortaleza + ceara/brazil
 
 
Posts: 23 since Jun 2014
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Hello!

Well, I'm gonna be direct. I have made a optimization. The best results gave me this:



Then, If I just change Percent to Points... see what happens:





And if I run a backtest with the parameters that the optimization gave me, the result is $2546 instead of $3534 shown in the optimization. Does anyone knows why this happens? And should I trust the backtest results? Seeing it in the charts, its quite accurate. I only use limit orders, so there's no problems with slippage or sort.

Thanks!

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  #2 (permalink)
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Exotic bar type backtests (renko, etc) do not work and are worthless. Do some searching, this has been discussed a million times on futures.io (formerly BMT).

Mike

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  #3 (permalink)
fortaleza + ceara/brazil
 
 
Posts: 23 since Jun 2014
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Big Mike View Post
Exotic bar type backtests (renko, etc) do not work and are worthless. Do some searching, this has been discussed a million times on futures.io (formerly BMT).

Mike

Thanks, Mike. I'll try with minute bars.

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Well results differ of course, because points and percentage shapes boxes differently. It would create same boxes only if pps change equaled pct change, eg from $100. Theres nothing wrong with it. Setting boxes is the basic of Renko.

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johndee View Post
Well results differ of course, because points and percentage shapes boxes differently. It would create same boxes only if pps change equaled pct change, eg from $100. Theres nothing wrong with it. Setting boxes is the basic of Renko.

That's not why the backtests are invalid.

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johndee View Post
Well results differ of course, because points and percentage shapes boxes differently. It would create same boxes only if pps change equaled pct change, eg from $100. Theres nothing wrong with it. Setting boxes is the basic of Renko.

Renko may or may not be good to trade with, but the bars mess up the backtest engine and produce unreliable results on automated backtests. It's not about how the bars are formed, or how they would be used by a real trader, it's about the backtest mechanism itself.

A search will show the amount of time that has been spent on this issue over the years. It's pretty solid.

And it's got nothing to do with Renko trading, one way or another.

Bob.

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