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Is this strategy a good one?
Started:December 9th, 2013 (02:10 AM) by sangam Views / Replies:3,390 / 47
Last Reply:October 17th, 2016 (09:39 AM) Attachments:2

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Is this strategy a good one?

Old December 10th, 2013, 08:22 AM   #21 (permalink)
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sangam View Post
Hey, Thanks for an informative reply!

To answer your questions:
1. My strategy does not use any parameters that need to be input. Its entirely indicator based.
2. It uses 3 Indicators and predefined time intervals.
3. I'm using a variation of renko charts. With limit orders.
4. There is a set target for winning trades. For losing, there is an algorithm to detect trend reversal. And there is a hard stop which is placed at the Low of previous reversal or 2 point (picking the smaller one).

I will definitely read up a lot more on renko bar types and understand them better. From what I see on the charts, my strategy is doing exactly what I want it to do. My code reflects my manual trading technique.

I need to work on money management for the strategy. I am quite busy and haven't gotten the time. Will work during the winter break and I'll post my results.


1. If you use indicators then those indicators have parameters. So do you mean that you are using default settings for the indicators or have you set them to be something else? Do you ever change the settings of the indicators.
2. Indicators and predefined time intervals. I have no clue what you mean by that.
3. As I said in my original post exotic bar types can be very very misleading. I've only seen one renko bar type that isn't. So, which one are you using? I will say again, if you use an exotic bar type you are asking for trouble and you MUST know exactly how it's builds the bar. If you don't then your strategy will not be successful. That is a fact and not just me talking.
4. Then it looks like your stop is not working. Your performance report shows the biggest winner and biggest loser as 10 ticks.

Bottom line is this, @Big Mike made a suggestion to you to review the last webinar and you said you did but still you fail to follow the guidance provided in that video. So, there really isn't anything I can do to help until you do so.

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Old December 10th, 2013, 09:15 AM   #22 (permalink)
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sangam View Post
Also, my orders are all limit order, so that ought to remove slippage, right?

Even your losing trades exit with limit orders?

Are you assuming that limits orders are filled when touched, or only after price penetration?

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Old December 10th, 2013, 12:56 PM   #23 (permalink)
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MWinfrey View Post
3. As I said in my original post exotic bar types can be very very misleading. I've only seen one renko bar type that isn't. So, which one are you using? I will say again, if you use an exotic bar type you are asking for trouble and you MUST know exactly how it's builds the bar. If you don't then your strategy will not be successful. That is a fact and not just me talking.

Yeah, when I saw he mentioned he's using Renko bars, that was a big red flag for me. There are hundreds of posts here talking about the weaknesses of backtesting with Renko bars. Their backtests are deceptive. I stay away from using Renko bars for that reason.

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Old December 10th, 2013, 01:33 PM   #24 (permalink)
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shodson View Post
Yeah, when I saw he mentioned he's using Renko bars, that was a big red flag for me. There are hundreds of posts here talking about the weaknesses of backtesting with Renko bars. Their backtests are deceptive. I stay away from using Renko bars for that reason.

I use them but I know where the issues are because I've taken the time to understand how they are built. So, they pose no problem for me. BetterRenko does not suffer from the same issues either. but at the same time I've learned how to back test unirenko as well. Unless you spend the time figuring out how they work , it's a hopeless situation for sure.

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Old December 10th, 2013, 09:32 PM   #25 (permalink)
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MWinfrey View Post
1. If you use indicators then those indicators have parameters. So do you mean that you are using default settings for the indicators or have you set them to be something else? Do you ever change the settings of the indicators.
2. Indicators and predefined time intervals. I have no clue what you mean by that.
3. As I said in my original post exotic bar types can be very very misleading. I've only seen one renko bar type that isn't. So, which one are you using? I will say again, if you use an exotic bar type you are asking for trouble and you MUST know exactly how it's builds the bar. If you don't then your strategy will not be successful. That is a fact and not just me talking.
4. Then it looks like your stop is not working. Your performance report shows the biggest winner and biggest loser as 10 ticks.

Bottom line is this, @Big Mike made a suggestion to you to review the last webinar and you said you did but still you fail to follow the guidance provided in that video. So, there really isn't anything I can do to help until you do so.

1. There are 7 parameters if you want to count the number of indicator values I use. I don't change any of them. I did a lot of optimizations about 6 months back to pick the values that I wanted and those are my default values.
2. The entry logic uses Indicator values to check whether my setup exists or not. And It also checks whether it is that time of the day or not when I want to trade. Ex. If I only want to trade between 9:30 - 10:30, then thats my predefined daily time interval that I would trade at.
3. I am currently using unirenko but I use limit orders. I understand how the bar works but I am not familiar with its performance in backtest. I did read a few threads here and decided to use limit orders to eliminate slippage.
4. My largest losing trade is 10 ticks, which is my hard stop. I have smaller losing trades because I also have an exit strategy that detects trend reversal - opposite of my entry setup. Sorry I confused you by saying I had a hard stop at 2 points. Its actually 10 ticks for GC and 2points for ES ($100).

Regarding Big Mike's comment, I have been following his webinars for quite some time. And I did not mean to ignore him. I have yet to get an elite membership as it is required to watch the last one. I have watched most of the webinar's available to me.

What would you recommend to read up to understand backtesting with unirenko?


@kevinkdog, I do not have limit orders for exit strategy. Thanks for pointing that out. And I also don't know how to backtest with price penetration. I didn't think it would be an issue because when I look at the chart, the target is hit 3-4 ticks before the High.

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Old December 10th, 2013, 11:08 PM   #26 (permalink)
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Old December 11th, 2013, 02:13 AM   #27 (permalink)
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Itchymoku View Post
Ground hogs day thread

Can you tell me how to find it please?

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Old December 11th, 2013, 02:36 AM   #28 (permalink)
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sangam View Post
What would you recommend to read up to understand backtesting with unirenko?

Almost all automated trading threads are Elite, so you don't have access to them.

Short answer -- immediately stop wasting your time with anything to do with a Renko based bar and a backtest.

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Old December 11th, 2013, 02:36 AM   #29 (permalink)
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look I don't think I've ever seen a consistent system with 77% accuracy in all my time here on the forums. I wish there was a system like this but it simply doesn't exist. I say ground hogs day thread because I see these threads often where a new trader back tests on renko bars and sees these amazing gains on fast moving instruments like GC. But you seem smart and by no means let this discourage you from further testing trading systems. Most of us have made this same mistake. I know I have!

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Old December 11th, 2013, 06:27 AM   #30 (permalink)
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sangam View Post
1. There are 7 parameters if you want to count the number of indicator values I use. I don't change any of them. I did a lot of optimizations about 6 months back to pick the values that I wanted and those are my default values.
2. The entry logic uses Indicator values to check whether my setup exists or not. And It also checks whether it is that time of the day or not when I want to trade. Ex. If I only want to trade between 9:30 - 10:30, then thats my predefined daily time interval that I would trade at.
3. I am currently using unirenko but I use limit orders. I understand how the bar works but I am not familiar with its performance in backtest. I did read a few threads here and decided to use limit orders to eliminate slippage.
4. My largest losing trade is 10 ticks, which is my hard stop. I have smaller losing trades because I also have an exit strategy that detects trend reversal - opposite of my entry setup. Sorry I confused you by saying I had a hard stop at 2 points. Its actually 10 ticks for GC and 2points for ES ($100).

Regarding Big Mike's comment, I have been following his webinars for quite some time. And I did not mean to ignore him. I have yet to get an elite membership as it is required to watch the last one. I have watched most of the webinar's available to me.

What would you recommend to read up to understand backtesting with unirenko?


@kevinkdog, I do not have limit orders for exit strategy. Thanks for pointing that out. And I also don't know how to backtest with price penetration. I didn't think it would be an issue because when I look at the chart, the target is hit 3-4 ticks before the High.

I am answering in the same order you asked.

1. Even though you never change them, you did at one time. You went through the optimization of 7 parameters. With that many parameters I can almost guarantee your strategy is curve fitted.

2. No problem with anything here.

3. Limit orders are fine for back testing but when you forward test you will very likely see some differences in your strategy performance. Others have already mentioned the problems using renko as well as me. You probably won't listen to us but you really need to steer clear of renko of any type for back testing. However, run your strategy on live data for several days or just open up your hours to test it in a live market for the whole time you are watching it. After it takes a few trades, open another chart with the numbers of days as your live chart. Load your strategy on it and compare the trades on this historic data with the live trades. If your strategy is working correctly the historic trades will be the same as your live trades except for slippage. I won't make any comments about it but you will either convince yourself one way or the other that your strategy is doing what it's supposed to be doing.

There are no articles on back testing unirenko that I know of because unirenko isn't back testable in it's current form. However, your comparison of live and historic trades will convince you one way or the other regardless what all of us are telling you.

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