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Renko Bars Worth Using?


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Renko Bars Worth Using?

  #41 (permalink)
TravelingSalesmen
Tucson arizona
 
Posts: 31 since Jun 2018
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ellinas View Post
Hi,
I use SiProRenkoBars in my strategies (together with my indicators), all of them coded by me. I backtest only via Market replay. Other backtesting methods fail. The only problem with Market replay is that it takes long time to make a backtest. I usually spend 2-3 days to backtest (via Market replay) one(1) month back !!. However, the accuracy is 85-90% comparing with real-money trading. I attach a backtest file which which has been verified (with real-money trading) by 91%. The same range of accuracy I saw in the last 18 months back. I use NinjaTrader (NT7). Conclusion (IMO) : Use Market replay backtest method if you use any type of Renko Bars. Thanks .Attachment 264163

i just hope you have more data to back that strategy up because on first sight it looks way to good to be true. not that i care but i just wanted to let you know. im sure youve done your homework and everything and know all about it but still just wanted to point out that 39k of the 40k profit was all on the short side and that it was only a 1 month period with a total of 200 trades. have you done any live trading with it or have any more MR data?

if so great for you mate! and best of luck.

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  #42 (permalink)
ellinas
Cyprus, Nico
 
Posts: 33 since Mar 2019
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TravelingSalesmen View Post
i just hope you have more data to back that strategy up because on first sight it looks way to good to be true. not that i care but i just wanted to let you know. im sure youve done your homework and everything and know all about it but still just wanted to point out that 39k of the 40k profit was all on the short side and that it was only a 1 month period with a total of 200 trades. have you done any live trading with it or have any more MR data?

if so great for you mate! and best of luck.

Hi,
thanks for your replay.
Live trading with it ? Yes. Do I have more MR data on my strategy? Yes (1,5 year back). This strategy made me 140k/year appprox so far. I have also coded other (more advanced) strategies but these are being tested at the moment (I dont want to present them publicly). Have a nice day !

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  #43 (permalink)
 
KillerJukeBox's Avatar
 KillerJukeBox 
Dublin
 
Experience: Intermediate
Platform: Ninjatrader, Tastytrade
Broker: Ninjatrader Brokerage, IBKR, Tastytrade,
Trading: MNQ,MES. Stocks, Stock options
Posts: 84 since Oct 2018
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Hi Ellinas, I don't believe there is any advantage to market replay in comparison with setting resolution to high in the strategy analyzer.

The only difference between the two as far as I know is that level 2 order flow is not considered , so unless your strategy looks at L2, there shouldn't be any negative impact. This leads me to believe you have something configured wrong, you should check NT8 help section on the website .

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  #44 (permalink)
ellinas
Cyprus, Nico
 
Posts: 33 since Mar 2019
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KillerJukeBox View Post
Hi Ellinas, I don't believe there is any advantage to market replay in comparison with setting resolution to high in the strategy analyzer.

The only difference between the two as far as I know is that level 2 order flow is not considered , so unless your strategy looks at L2, there shouldn't be any negative impact. This leads me to believe you have something configured wrong, you should check NT8 help section on the website .

Hi KillerJukeBox,

thanks for your mesage.
1) I think what your "believe" is wrong. We are talking about Renko bars. Strategy analyzer (either in high resolution or not) fail because it gives very fake results. On the contrary MR does not need any degree of "resolution" simply because it repeats the real Market as it was in reality.
2) I dont use NT8, only NT7.
3) The issue here is not my strategy (and it wont). I presented some results of my strategy only in order to give a proof that MR - as a backtest method- is (in IMO) the most reliable backtest method when somebody (like me) uses in his strategy "Renko - type" bars. Besides, as I said, I have verified these MR results with my strategy's real-time trading and they are very close. Please read again my first post.
Thanks.

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  #45 (permalink)
tolyadzn
Berlin
 
Posts: 23 since Jan 2017
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There is a solution for a proper backtesting with ninjatrader. So you can get realistic solutions.

Use 1 Tick data for everything.
The primarily data series must be ignored in the script. With return;

So in the analyzer window you Need to select 1 Tick Data Series.

As second data series you also have to add 1 Tick data series.
And all next data series you can use for your strategy logic. But ordering and everything else must be based on 1 tick data series.


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  #46 (permalink)
ellinas
Cyprus, Nico
 
Posts: 33 since Mar 2019
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Hello tolyadzn,
thanks for your message.
The method you describe is well known, but it is not suitable for every strategy (using Renko-type bars). For example, there are many strategies which require ONLY ONE particular bar length (e.g.15 ticks) in order to be more profitable (e.g. when they calculate the max possible market noise elimination according to their logic), while they are not (or less) profitable if they apply to another bar series (e.g. 1 tick, etc). In all these cases this (and other similar) "indirect" backtest methods fail and, IMO, are less accurate than the only direct backtest method, the MR backtest method, which does not require any logic modification, is simple, accurate but it is very time consuming. Thanks -

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  #47 (permalink)
 
KillerJukeBox's Avatar
 KillerJukeBox 
Dublin
 
Experience: Intermediate
Platform: Ninjatrader, Tastytrade
Broker: Ninjatrader Brokerage, IBKR, Tastytrade,
Trading: MNQ,MES. Stocks, Stock options
Posts: 84 since Oct 2018
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ellinas View Post
Hi KillerJukeBox,

thanks for your mesage.
1) I think what your "believe" is wrong. We are talking about Renko bars. Strategy analyzer (either in high resolution or not) fail because it gives very fake results. On the contrary MR does not need any degree of "resolution" simply because it repeats the real Market as it was in reality.
2) I dont use NT8, only NT7.
3) The issue here is not my strategy (and it wont). I presented some results of my strategy only in order to give a proof that MR - as a backtest method- is (in IMO) the most reliable backtest method when somebody (like me) uses in his strategy "Renko - type" bars. Besides, as I said, I have verified these MR results with my strategy's real-time trading and they are very close. Please read again my first post.
Thanks.

I expected you were using a backtestable variant such as UniRenko. I'm aware of the downfalls of vanilla renko. I'm not doubting MR works for backtesting, but its more time consuming

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  #48 (permalink)
ellinas
Cyprus, Nico
 
Posts: 33 since Mar 2019
Thanks Given: 10
Thanks Received: 9

Hi again,
thanks for your message.
At the begining of my first post I wrote : "... I use SiProRenkoBars ...". That statement was very clear and I dont know why you had "expectation" that I was using UniRenko bars !...
On the other hand, I dont use the so called ... "backtestable" Renko-type bars. Because they loose much of the elimination of the market noise, which is their main desirable purpose of their creation and usage.
If you want to achieve your main (difficult) goals you have to sacrifice something.
Look at the various athletes participating in Olympic games; in order them to win the gold medal they sacrifice their whole lifetime.
To create a really wining trading strategy you must sacrifice plenty of your time if you want to see how really profitable is your strategy. You cannot have everything in this life !...
Thanks!

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  #49 (permalink)
tolyadzn
Berlin
 
Posts: 23 since Jan 2017
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You can calculate different size of bars and have only one bar size. The problem with that way, you can’t use such things like optimization of data series. You need to do it your own.

I have a strategy that also use Renko bars. I have used ninzarenko and programmed everything based on 1 tick. And i have Very realistic backtesting results, but i also use tick replay for my strategys.


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  #50 (permalink)
 Fripi 
Brussels Belgium
 
Experience: Beginner
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Trading: Futures
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ellinas View Post
Hi,
I use SiProRenkoBars in my strategies (together with my indicators), all of them coded by me...

Hi, this is a pretty old post but I'm interested if you're still using Renko bars, and if you still use your strategy you talked about here ?

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