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How to backtest Renko?

  • #61
  • Mar 28, 2011 3:28am Mar 28, 2011 3:28am
There is a simpler way of backtesting renko charts on Metatrader 4 which is also compatible with various trading simulators for this platform.
No need for copying or renaming of any files - the following video demonstrates this:

Inserted Video
NiX - click my profile & visit my website
  • #62
  • Apr 8, 2011 10:43am Apr 8, 2011 10:43am
Folks
I have a question

I use Commercial Renko Script with following setting, but the results on foreward testing are not the same as backtesting. I know that results on back-test, forward test demo, and foreward test real are different. But if they are different in a range of 20% it is acceptable and we can optimize our strategy to improve.

My Renko Settings are:
Bar Range : 10
Time Frame: 2
Max Bars: 200000
Rescale for 5 Digits Broker: true
Show wicks : true
Anchor Price : 0.0
Backtest mode: false

With above settings simple moving average EA shows good results but the create a renko chart with BACKTESTMODE=true the EA results are drastic.

My question are:
1. Should we use Wick of not
2. Why should we use Backtest mode if the indicators are on close price.
3. For 10-Pip Renko what is the optimal StopLoss before the bar is reverse.

Appreciate help on above question.
  • #63
  • Apr 9, 2011 4:11am Apr 9, 2011 4:11am
Quoting forexzak
Folks
I have a question

I use Commercial Renko Script with following setting, but the results on foreward testing are not the same as backtesting. I know that results on back-test, forward test demo, and foreward test real are different. But if they are different in a range of 20% it is acceptable and we can optimize our strategy to improve.

My Renko Settings are:
Bar Range : 10
Time Frame: 2
Max Bars: 200000
Rescale for 5 Digits Broker: true
Show wicks : true
Anchor Price : 0.0
[b]Backtest...

Hi Forexzak,

If you ask the developer - Michal - I'm certain he will be able to answer your questions.
I use his CRB bars & - the new ones, not the old ones - and his Instant Order Scripts & he's been really helpful with my issues.
You could try to contact him thru mqlservice.com "at" gmail.com.

Cheers
Chris
  • #64
  • Apr 11, 2011 9:22am Apr 11, 2011 9:22am
Quoting nix
There is a simpler way of backtesting renko charts on Metatrader 4 which is also compatible with various trading simulators for this platform.
No need for copying or renaming of any files - the following video demonstrates this:

http://www.youtube.com/watch?v=WVBQdjBwstc
Belongs in the commercial forum...
Old Benjamin was right
  • #65
  • Apr 12, 2011 6:51am Apr 12, 2011 6:51am
Quoting elocdes
Hi Forexzak,

If you ask the developer - Michal - I'm certain he will be able to answer your questions.
I use his CRB bars & - the new ones, not the old ones - and his Instant Order Scripts & he's been really helpful with my issues.
You could try to contact him thru mqlservice.com "at" gmail.com.

Cheers
Chris
Thanks Chris
I will and Michal is very kind and help always. I did not contact him for this matter yet, I will
  • #66
  • Apr 13, 2011 4:49am Apr 13, 2011 4:49am
i find backtesting on renko very unreliable.

last thursday i made +512 pips on EURUSD with my EA.

then i backchecked it a day later and i was minus 78 pips.
ofcourse spread could be different when tested. but still that is a huge difference compared to my live test.

anyway to do a really good test. should first need good tickdata. so that is my next step. getting good tickdata.
  • #67
  • Apr 23, 2011 8:49am Apr 23, 2011 8:49am
I agree too that Renko Backtesting is highly unreliable. I used two scripts both commercial ones.

One with copying M1 files in folder and creating renko chart as M5 the other one one with creating Renko charts with another script that creates as EURUSD10r, EURUSD20r, etc.


Same logic I tested on the Simple video method on this forum, both gives different results.
  • #68
  • May 2, 2011 12:47pm May 2, 2011 12:47pm
Hello. Many of us are having similar questions. There is still great value in backtesting if just to optimize parameters -- stop loss, trailing stop, etc. If you get answers from Michael, please share them Doesn't make sens for everybody to ask him the same questions. Thanks for sharing.
Quoting forexzak
Folks
I have a question

I use Commercial Renko Script with following setting, but the results on foreward testing are not the same as backtesting. I know that results on back-test, forward test demo, and foreward test real are different. But if they are different in a range of 20% it is acceptable and we can optimize our strategy to improve.

My Renko Settings are:
Bar Range : 10
Time Frame: 2
Max Bars: 200000
Rescale for 5 Digits Broker: true
Show wicks : true
Anchor Price : 0.0
Backtest mode: false...
  • #69
  • May 3, 2011 7:36am May 3, 2011 7:36am
Quoting forexzak
I agree too that Renko Backtesting is highly unreliable. I used two scripts both commercial ones.

One with copying M1 files in folder and creating renko chart as M5 the other one one with creating Renko charts with another script that creates as EURUSD10r, EURUSD20r, etc.


Same logic I tested on the Simple video method on this forum, both gives different results.
Same happened with me also. Two different Results. May be Developers of the scripts can better answer that. However, Michal advice for backtesting using his Script is to make backtest mode to TRUE. This way open price for the bar which is under formation do not change and give you more precise results. However, in forward testing the price action is in realtime and ticks are real not created ones. Therefore, forward testing is a better way with Renko.
  • #70
  • May 3, 2011 9:51am May 3, 2011 9:51am
Quoting aktur
Forward test is always way to go even when backtest has 90% modeling quality. And then, after forward testing on demo I would advise to forward test it on real mini account. This again give probably different results than demo forward testing.
Forward testing is in the end the only way to test an EA. That said, if the results from forward testing match the results from back testing it's awesome

I have a question about the possibly different results on a demo and a real account. it shouldn't happen, right? Unless you are assuming foul play on the broker side.
  • #71
  • May 3, 2011 11:26pm May 3, 2011 11:26pm
Re: MT4 Brokers

I posted an interesting video on my blog recently Forex Elite showing the plugins available for brokers to use with metatraders. In my experience it is very different between demo and live accounts. Usually there is a lag time of a few seconds when you want to open and close your order on a live account, then you don't get the price you want. (Only if it works in there favor though)

Personally after spending tons of time with mt4, I got fed up with these limitations and moved to Ninjatrader. It can be a long journey from your great looking backtested results to actually trading profitably.

A gift for people that have been trying renko, do some searches for Median Renko, it plots the bars a bit differently which in my opinion makes it much smoother and easier to manage risk to reward.
  • #72
  • May 6, 2011 1:44pm May 6, 2011 1:44pm
Quoting forexzak
I agree too that Renko Backtesting is highly unreliable. I used two scripts both commercial ones.
One of the users here asked me to post backtesting vs. live resluts for my renko plug-in. For this purpose I've done a weekly forward test on a small live account using my renko EA and I've also run a backtest on the weeks data to compare the results:

The live result screenshot:
http://www.the-forex-strategy.com/renko/live.gif

The backtest screenshot:
http://www.the-forex-strategy.com/renko/backtest.gif

The test is done from 2011.05.01 (from the red vertical line)

Trades are open on a new renko brick (when specific setup conditions are met) and are closed in various ways (both during an uncompleted renko brick and on close of brick - depending on the dynamic exit conditions).

A setting of BarType=2 was used when I performed the test & backtest plus I've also set the backtesting spread to 2 pips for EURUSD, because this is the average spread for IBFX.

It is very important to note that renko brick formation (inner candle price action) is randomly generated so backtesting will never be 100% accurate on MT4 since this platform does not store tick-by-tick data. This also applies to backtesting on regular time frames!

However, as you can see from the attached results this is still sufficient in order to evaluate an automated trading system on past data.

Here are the balance charts:
Live:
http://www.the-forex-strategy.com/re...ement_live.gif
Backtest:
http://www.the-forex-strategy.com/re...tegyTester.gif

The EA placed 6 live trades on EURUSD over the past week and as you can clearly see for the charts above the backtest also placed 6 almost identical trades (see attached Statement & Strategy Tester report).

The EA uses a multi layer MM routine which influences lot sizes among a few things, so the results should be compared using pip loss/gain rather than the profits obtained via variable lots.

Here is the comparison table:
http://www.the-forex-strategy.com/renko/table.gif

Conclusion:
As you can see the total difference between the backtest and forward test is very small 6,5 pips and looks almost identical by charts. This is mostly due to variable spread, slippage and trading lag found during live (not demo) trading.

The attachments include the weekly live statement plus the backtest results.
Attached File(s)
File Type: pdf Statement.pdf   53 KB | 1,266 downloads
File Type: pdf StrategyTester.pdf   44 KB | 1,630 downloads
NiX - click my profile & visit my website
  • #73
  • May 9, 2011 6:55am May 9, 2011 6:55am
Quoting nix
One of the users here asked me to post backtesting vs. live resluts for my renko plug-in. For this purpose I've done a weekly forward test on a small live account using my renko EA and I've also run a backtest on the weeks data to compare the results:

The live result screenshot:
http://www.the-forex-strategy.com/renko/live.gif

The backtest screenshot:
http://www.the-forex-strategy.com/renko/backtest.gif

The test is done from 2011.05.01 (from the red vertical line)

Trades are open on a new renko brick (when specific...

Nix, it was needed to have a test like that, Many Thanks for your efforts,
  • #74
  • May 24, 2011 3:58am May 24, 2011 3:58am
Quoting desander
Hello to all of you,

Can someone explain to me how I could run my RenkoLiveChart_v3.1 EA
on the trading simulator ? GBP/USD 10 pip Renko bricks with wick's on.
I would like to test my Harmonic Trading setup (see chart attached)

Gilbert
(Belgium)
Hi, do you still have that gartley indicator? Can you share it?

regards
First rule is not to lose. Second rule is not to forget the first rule...
  • #75
  • Jul 27, 2011 5:33am Jul 27, 2011 5:33am
Quoting nix
One of the users here asked me to post backtesting vs. live resluts for my renko plug-in. For this purpose I've done a weekly forward test on a small live account using my renko EA and I've also run a backtest on the weeks data to compare the results:

The live result screenshot:
http://www.the-forex-strategy.com/renko/live.gif

The backtest screenshot:
http://www.the-forex-strategy.com/renko/backtest.gif

The test is done from 2011.05.01 (from the red vertical line)

Trades are open on a new renko brick (when specific setup...
I NIX,
What is your Renko box value on that back test?
I see even with a modelling quality of 24% you are pretty close to the sames results live. But it still need a solution to generate ticks data for better modelling quality as close as 99%.
And forward test takes too much time when you need to tweak settings.
So far your software are the best in the market for Renko backtest solution with your version 103a. I look forward to have news about that script combination of FXT and HST files from you applied to your Renko software.
  • #76
  • Oct 31, 2011 12:56am Oct 31, 2011 12:56am
The renko box size is 10 regular pips. I already have a script for backtesting using tick data, but I still need to workout a few details and put together a manual for this. The script will be provided free for all users of my renko bar plug-in.
NiX - click my profile & visit my website
  • #77
  • Nov 1, 2011 12:19am Nov 1, 2011 12:19am
Quoting aktur
This is copied from my FAQ document about using off-line chart. Why you just don't give the link or simply attach the whole document here? There are more hints there.
There is spyware in your pdf file.....
  • #78
  • Nov 1, 2011 9:04am Nov 1, 2011 9:04am
Quoting nix
The renko box size is 10 regular pips. I already have a script for backtesting using tick data, but I still need to workout a few details and put together a manual for this. The script will be provided free for all users of my renko bar plug-in.
Good move NIX, I am using your Renko and Rangebar Scripts and extremely happy with them. since I bought yours I stopped using other commercial script I bought earlier.
  • #79
  • Nov 1, 2011 9:54am Nov 1, 2011 9:54am
Time frame for Range Bars? on NIX website, it says to use 1 M base chart, but I believe it can be used on any now?

And you can change time frames of base chart without affecting the "offline" chart and the Range Bars?

Or is it critical to stay on 1 M base chart only?

Thanks, C.
OPPORTUNITY IS NOWHERE
  • #80
  • Nov 2, 2011 5:30am Nov 2, 2011 5:30am
Quoting Callisto
Time frame for Range Bars? on NIX website, it says to use 1 M base chart, but I believe it can be used on any now?

And you can change time frames of base chart without affecting the "offline" chart and the Range Bars?

Or is it critical to stay on 1 M base chart only?

Thanks, C.
Callisto: Time is not the issue on Renko/range bars. It only moves according to price only on predefined steps and show up on a chart accordingly. The 1M chart is only used to get data to the EA/indicator and then create a offline chart so you can trade with that instead of regular 1M,5M,15M...charts..
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