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Robots Unleashed - a beginners algotrading journey


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Robots Unleashed - a beginners algotrading journey

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  #101 (permalink)
 ShadowFox 
CO/USA
 
Experience: Intermediate
Platform: TradeStation, Multicharts
Trading: Stocks, Futures
 
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Posts: 78 since Jun 2020
Thanks: 46 given, 95 received


FastNCurious View Post
I realize now that TS backtest with renko is bogus unless you code your strat to fill orders on close of current bar instead of open of next bar.

I developed a few renko strategies that have accurate backtests with Tradestation. I shared the code on this forum somewhere. I will dig it up tomorrow and share here.

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  #102 (permalink)
 ShadowFox 
CO/USA
 
Experience: Intermediate
Platform: TradeStation, Multicharts
Trading: Stocks, Futures
 
ShadowFox's Avatar
 
Posts: 78 since Jun 2020
Thanks: 46 given, 95 received

Here it is. I found this to be very accurate. What concerned me about renko bars is the current bar is completely dependant on the first bar. If you change the start time at all you might have a completely different chart. Imagine backtesting for a week then reloading the data and the chart is different . I found I needed to manually set the start time and not change it. When I needed to move the startdate I would have to find a date that kept the chart the same (only have 6 months of data to build this type of chart in Tradestation). Anyway I didn't like how finicky the system was. I check up on it every now and then and it has been profitable but I have no interest in touching it at the moment.

EDIT: DON'T FORGET SLIPPAGE. Depending on your order type at least. For ES I would add 2 ticks each way for a market order.


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