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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
 
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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 
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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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  #103 (permalink)
 FastNCurious 
saint louis MO
 
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I am giving up on renko and tick charts for now. tick charts are a little too noisy and renko look so beautiful but the slippage is just way too much to be considered tradable for now. I am going to stick to testing with time based charts for now. I am going back to the basics. I really have so much testing to do it seems daunting. For now I will stick with daily, weekly and greater than 360 min charts. I find that the less trading going on the better the strategies perform with my simplistic strategy ideas. Simple is best.

I will be testing with MultiOpt mainly from now on.

The idea of the week is to test simple momentum across all symbols and various time frames ( Weekly, daily, 720, 560, 480, and 360 min charts). The Exit is where I will focus my coding attention because the exit is often where the strategy succeeds or fails.

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  #104 (permalink)
 kevinkdog   is a Vendor
 
 
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FastNCurious View Post
I am giving up on renko and tick charts for now. tick charts are a little too noisy and renko look so beautiful but the slippage is just way too much to be considered tradable for now. I am going to stick to testing with time based charts for now. I am going back to the basics. I really have so much testing to do it seems daunting. For now I will stick with daily, weekly and greater than 360 min charts. I find that the less trading going on the better the strategies perform with my simplistic strategy ideas. Simple is best.

I will be testing with MultiOpt mainly from now on.

The idea of the week is to test simple momentum across all symbols and various time frames ( Weekly, daily, 720, 560, 480, and 360 min charts). The Exit is where I will focus my coding attention because the exit is often where the strategy succeeds or fails.

Yes, Renko bars are neat, but backtesting is almost always misleading with them.

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  #105 (permalink)
 SMCJB 
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The idea of using 'price based bars' and not 'time based bars' is alluring but I've never looked at it due to all the warnings Kevin gives around backtesting them. I've never heard anybody mention point and figure. Are the concerns the same with that?

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  #106 (permalink)
 kevinkdog   is a Vendor
 
 
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SMCJB View Post
The idea of using 'price based bars' and not 'time based bars' is alluring but I've never looked at it due to all the warnings Kevin gives around backtesting them. I've never heard anybody mention point and figure. Are the concerns the same with that?

Unfortunately yes. I developed a killer algo years ago for P&F. "Too good to be true" part of me said.

I need to listen to that part of me ALWAYS!

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  #107 (permalink)
 FastNCurious 
saint louis MO
 
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I created an amazing backtest with the most simple algo for renko only to find it was an epic fail with real time trades in sim. Once I figured out that the backtest trades weren’t calculated the way the real time price action occurred I found at best a breakeven strat with no slippage or commissions.

I have not played with point and figure charts at all. So I would not know

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  #108 (permalink)
 kevinkdog   is a Vendor
 
 
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FastNCurious View Post
I created an amazing backtest with the most simple algo for renko only to find it was an epic fail with real time trades in sim. Once I figured out that the backtest trades weren’t calculated the way the real time price action occurred I found at best a breakeven strat with no slippage or commissions.

I have not played with point and figure charts at all. So I would not know

Somewhere in this forum - I just looked but could not easily find it - another user described some tests he ran and how he was (and was not) able to get accurate backtests. Maybe you will have better luck searching than I did.

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  #109 (permalink)
 FastNCurious 
saint louis MO
 
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kevinkdog View Post
Somewhere in this forum - I just looked but could not easily find it - another user described some tests he ran and how he was (and was not) able to get accurate backtests. Maybe you will have better luck searching than I did.

I could be wrong but the thread you are speaking of is referred to if you scroll up on my journal. I read through it quickly but in general the idea of buying or selling short at this bar close is really the only way I know how to back test properly now using renkos.

I do want to find a way to use them in the future but I would need more data.

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  #110 (permalink)
 ShadowFox 
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kevinkdog View Post
Somewhere in this forum - I just looked but could not easily find it - another user described some tests he ran and how he was (and was not) able to get accurate backtests. Maybe you will have better luck searching than I did.

Yes I shared my code for accurate backtesting on renko+ bars. I ran a strategy live for a few months on NQ that matched backtests very well. I too found the limited data a concern. 6 months was not sufficient for my comfort. Also, if you scroll up a few posts I had a hell of a time with repainting if the start date changed. Renko bars are built from start to finish and if the start changes even 1 tick the whole chart changes. You may have a one bar shorter trend with a wick or a one bar longer drawdown. Try to backtest that and not get angry

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