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Renko Strategy Easylanguage code share


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Renko Strategy Easylanguage code share

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  #1 (permalink)
San Antonio, TX
 
 
Posts: 16 since Apr 2020
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Hi,

I am trying to develop a simple Renko trading strat on TradeStation. Has this code already been shared, or would someone mind sharing it with me. : ) Hate to ask but I'm chasing my tail a little bit trying to get it done. As you can see I'm a beginner with EasyLanguage.

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  #2 (permalink)
Hamburg Germany
 
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jkepha,

are you looking for ways to apply a strategy to Renko charts directly or do you intend to compute a Renko logic within your code?

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ABCTG

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  #3 (permalink)
San Antonio, TX
 
 
Posts: 16 since Apr 2020
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Hi ABCTG,

I'm not completely sure. I spoke to a developer and they mentioned it's better to create the Renko bars by creating a range chart with 1 tick bars. So I might use that. Either one to be honest.

Thanks,
Jkepha

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  #4 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
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I know this response is a little lates, but did you ever get a good answer on this? I have a little experience with Renko and strategies, and can provide some best practices.

~vmodus

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  #5 (permalink)
San Antonio, TX
 
 
Posts: 16 since Apr 2020
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Hi,

Yep. I figured it out. Currently running strategy. Backtest was phenomenal. We'll see how it trades live. I welcome any advice on trading with Renkos!

Thanks,
Ryan


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  #6 (permalink)
Bogota
 
 
Posts: 4 since Jul 2020
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jkepha View Post
Hi,

I am trying to develop a simple Renko trading strat on TradeStation. Has this code already been shared, or would someone mind sharing it with me. : ) Hate to ask but I'm chasing my tail a little bit trying to get it done. As you can see I'm a beginner with EasyLanguage.


jkepha View Post
Hi,

Yep. I figured it out. Currently running strategy. Backtest was phenomenal. We'll see how it trades live. I welcome any advice on trading with Renkos!

Thanks,
Ryan


Hi, im trying to build in Renko too, i just read you figured it out. Can you help me?

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  #7 (permalink)
Syracuse, NY
 
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renkos give great backtest....but thats not the way they work in realtime.....ex...if your bar size is 5 set slippage to 5...probably 5.4..to get a true or somewhat true backtest....as to the way its going to work realtime....the problem with renkos...is that ...if the price jumps 2-3 ticks the renko bars are created....but the price was never there....so when your backtest looks at the bars....it pick one of those bars that the price was never at......another problem.....why backtesting renkos gives you bad information....but do some testing...but the slippage equal to the bar size is very important....now your backtest may not look as good.....

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  #8 (permalink)
Bogota
 
 
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jpache View Post
Hi, im trying to build in Renko too, i just read you figured it out. Can you help me?

Can you help me? With a simple order in Easy Language??

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  #9 (permalink)
Bogota
 
 
Posts: 4 since Jul 2020
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jpache View Post
Hi, im trying to build in Renko too, i just read you figured it out. Can you help me?


jkepha View Post
Hi,

Yep. I figured it out. Currently running strategy. Backtest was phenomenal. We'll see how it trades live. I welcome any advice on trading with Renkos!

Thanks,
Ryan


Can you help me with easy language and the use of renko?

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  #10 (permalink)
Legendary Market Wizard
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loantelligence View Post
renkos give great backtest....but thats not the way they work in realtime.....ex...if your bar size is 5 set slippage to 5...probably 5.4..to get a true or somewhat true backtest....as to the way its going to work realtime....the problem with renkos...is that ...if the price jumps 2-3 ticks the renko bars are created....but the price was never there....so when your backtest looks at the bars....it pick one of those bars that the price was never at......another problem.....why backtesting renkos gives you bad information....but do some testing...but the slippage equal to the bar size is very important....now your backtest may not look as good.....

I concur. TradeStation does not offer a Renko bar with wicks, as other charting software does (MultiCharts and Sierra Charts, both of which I use). If you take the same strategy and put it on a chart in MultiCharts, but with wicks turned on and phantom bars turned off, you will get a much better picture of how well your strategy backtests.

Also watch out for those phantom bars. If a price gaps up (on a time based chart), that will not be reflected in TradeStation. There are artificial bars that TradeStation (the phantom bars) uses to fill in the gaps.

One additional note: tick data (used in Renko chart building) is only available back 6 months with TradeStation. That is typically too short of a time to adequately backtest a strategy, regardless of the number of trades generated. This is what I have learned in my trading, but also comes from Kevin Davey (trader, writer and strategy writing teacher... a/k/a @kevinkdog around here).

I strongly suggest running your test in simulation first and comparing your Strategy Report (what you expect) against the Trade Manager Analysis. If they are not matching within at least 90%, then you may have problems.

Renko backtests look great at first blush, but they rarely match reality because of what @loantelligence describes. I don't want to rain on your parade, but you will save a lot of money by verifying that your orders match in sim against your strategy report, at the very least, before trying to go live.

We do trade a couple of strategies live on Renko charts, but getting to that point was not pretty.

~vmodus

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