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Renko Trading Discussion

  • #281
  • Jan 5, 2016 3:51am Jan 5, 2016 3:51am
Quoting SvK88
Hi Math, can you make an ea based on this indicator. rules are simple. BUY when colour turns aqua and wait for the closing of current brick. vice versa for SELL. close at opposite signal. no TP or SL. Thanks. {file} {image}
Hi SvK88,

I have developed an EA based on Non-Lag Dot indicator. Could you check if the indicator you attached is the same as non-lag dot indicator? If so, there is already an EA for it :-)

Best,
Math
Trading is the hardest way to make easy money...
  • #282
  • Jan 5, 2016 3:53am Jan 5, 2016 3:53am
Quoting jagzuk
MathTrader7 Renko Street EA 1.7 and MT4 build 950. I seem to have an issue with this EA - it was working fine and stopped working when I updated to build 950. It simply stopped taking new trades or incrementing the stops on open trades. I am using the EA with MathTrader7 Multi-Symbol Renko Chart Creator 1.25. Same problem on 2 terminals on seperate PCs. Anyone else seen this issue. Thank you.
Hi jagzuk,

I'll release new version of this EA.

Best,
Math
Trading is the hardest way to make easy money...
  • #283
  • Jan 5, 2016 4:46am Jan 5, 2016 4:46am
Hi math,

yes they are almost same. with the same settings there are some minor difference that i highlighted in the image. what do you think?

Thanks.
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD.jpg Size: 131 KB
  • #284
  • Jan 5, 2016 6:23am Jan 5, 2016 6:23am
Quoting MathTrader7
{quote} Hi jagzuk, I'll release new version of this EA. Best, Math
Thank you MathTrader!
Always read Post #1
  • #285
  • Edited Jan 6, 2016 4:37am Jan 5, 2016 5:56pm | Edited Jan 6, 2016 4:37am
Version 1.10 of Renko MA Cross EA released. Below is a backtest of the EA. I updated Post 1.
Profit factor: 1.35
Draw Down: 31.03%
Attached Image (click to enlarge)
Click to Enlarge Name: RenkoCrossEA_110_BT.png Size: 57 KB
Trading is the hardest way to make easy money...
  • #286
  • Edited Jan 6, 2016 4:36am Jan 5, 2016 6:36pm | Edited Jan 6, 2016 4:36am
Version 1.10 of Renko MA EA released. Below is a backtest of the EA. I updated Post 1.
Profit factor: 1.28
Draw Down: 22.78%
Attached Image (click to enlarge)
Click to Enlarge Name: RenkoMA_EA_110_BT.png Size: 42 KB
Trading is the hardest way to make easy money...
  • #287
  • Edited Jan 6, 2016 4:35am Jan 5, 2016 7:07pm | Edited Jan 6, 2016 4:35am
Version 1.30 of Renko Parabolic SAR EA released. Below is a backtest of the EA. I updated Post 1.
Profit factor: 1.28
Draw Down: 43.89 %
Attached Image (click to enlarge)
Click to Enlarge Name: RenkoParabolicSAREA_130_BT.png Size: 42 KB
Trading is the hardest way to make easy money...
  • #288
  • Edited Jan 6, 2016 4:34am Jan 5, 2016 7:41pm | Edited Jan 6, 2016 4:34am
Version 1.30 of Renko ADX EA released. Below is a backtest of the EA. I updated Post 1.
Profit factor: 1.53
Draw Down: 20.51%
Attached Image (click to enlarge)
Click to Enlarge Name: RenkoADX_130_BT.png Size: 41 KB
Trading is the hardest way to make easy money...
  • #289
  • Jan 5, 2016 9:35pm Jan 5, 2016 9:35pm
Quoting MathTrader7
{quote} Hi Icoff, Using standard Renko charts that represent a gap between the open price of the reverse candle and the close price of the previous candle would not result in a correct backtest. :-) Best, Math
I modified the code of the chart creator that I was using. It now creates nongap renko charts. I ran the same backtest that I did in the previous post to test it. Using the same date range that you used the backtest results are nearly identical to the test that you ran!
Attached Image (click to enlarge)
Click to Enlarge Name: backtest.gif Size: 47 KB


In my next post I am going to post a tutorial so that others can use this method to create a backtesting environment for renko.
  • #290
  • Jan 5, 2016 9:40pm Jan 5, 2016 9:40pm
Just sharing this in order to help others set up a way to backtest any renko strategies that they come up with. Hope it helps someone.

How to set up a Non Gap Renko Backtesting Environment

MT4 Installation

  1. Download MT4 version 910 from http://ovo.cz/how-to-downgrade-mt4-920-to-910/
  2. Install to root of drive. eg. c:/MT4_Tester
  3. Create a shortcut on your desktop to c:/MT4_Tester/terminal.exe
  4. Add the following bootflags to your newly created shortcut /portable /skipupdate

    1. The Target will look like "C:\MT4_Tester\terminal.exe" /portable /skipupdate

  5. Log in to an account to get some initial data.


Tick Downloader

  1. Download and install Tick Downloader from http://www.strategyquant.com/tickdownloader/
  2. Use Tick Downloader to download tick data for the pairs you wish to backtest


Tickstory Lite

  1. Download and install Tickstory Lite from http://tickstory.com

    1. Not sure if the free version will export data to MT4 ver 910. If not it is possible to export a 1minute CSV file from Tick Downloader and import it into MT4.
    2. As an alternative to Tick Downloader, Tickstory Lite can also download tick data, I just prefer Tick Downloader.

  2. Change the settings for Tickstory.

    1. Set Store Location to the location of your tick data.
    2. Set MT4 Installation to C:/MT4_Tester
    3. Set MT4 Data Folder to C:/MT4_Tester
    4. Set Server Name to the server you used to initially log in to your MT4 installation above.

  3. Highlight the pair(s) that you would like to import into MT4, right click and choose Export to MT4.
  4. In the data export box that pops up choose the following:

    1. Choose the date range you would like
    2. Leave file format as Build 545+
    3. Unselect all timeframes except M1
    4. Check “Generate HST files” and “Overwrite existing files”
    5. Under the Help tab select Deploy MQ4 and follow the instructions
    6. Close MT4 if it is open.
    7. Then under the Metatrader Info tab load the file that was created by the previous step.

  5. Wait for the import to finish before proceeding to the next step.


MT4 Scripts

  1. Copy the RenkoLiveChart_v600.1(NoGap).mq4 to your experts folder in MT4 (C:/MT4_Tester/MQL4/Experts).
  2. Download Offline Backtest Helper from http://ovo.cz/products/free-mt4-util...e-test-helper/ and copy it to your scripts folder. (C:/MT4_Tester/MQL4/Scripts).


MT4 Renko Setup

  1. Open MT4.
  2. Open a chart for the pair you imported tick data for previously.
  3. Change the Timeframe to M1.
  4. Drag the RenkoLiveChart_v600.1(NoGap) expert advisor to the chart. Use the settings below:

    1. Under the Common tab check Allow DLL imports
    2. It is OK to leave the other settings as is

  5. Wait unitl the view chart message is displayed in the upper left corner of the chart.
  6. Open the M2 chart that you just created.
  7. Drag the OffileTestHelper script on to the M2 offline renko chart. Use the settings below:

    1. Under the Common tab check Allow DLL imports
    2. Under the Inputs tab choose a name for your testing server

  8. Follow the directions the popup when the script completes.
  9. If MT4 does not reopen automatically do it manually.


Run a Backtest

  1. Open MT4 if it is not already open.
  2. Under the file menu choose “Log in to Trade Account” and select the server name you created in the MT4 Renko Setup section.

    1. Username and Password do not matter and can be left as is.

  3. Run a backtest as you normally would just make sure to use the M1 chart of the pair you imported and choose control points as the model.

Attached File(s)
File Type: mq4 RenkoLiveChart_v600.1(NoGap).mq4   23 KB | 903 downloads
  • #291
  • Edited 2:10pm Jan 6, 2016 4:29am | Edited 2:10pm
Quoting lcoff
{quote} I modified the code of the chart creator that I was using. It now creates nongap renko charts. I ran the same backtest that I did in the previous post to test it. Using the same date range that you used the backtest results are nearly identical to the test that you ran! {image} In my next post I am going to post a tutorial so that others can use this method to create a backtesting environment for renko.
This is a more accurate way of backtesting Renko EAs
Trading is the hardest way to make easy money...
  • #292
  • Jan 6, 2016 11:04pm Jan 6, 2016 11:04pm
Here is another Renko EA to test. This one uses Smoothed Heiken Ashi. The test below is using 1% risk per trade. The source is included below.

Attached File(s)
File Type: mq4 Renko-SmoothedHA.mq4   9 KB | 764 downloads
Attached Image (click to enlarge)
Click to Enlarge Name: Renko-SmoothedHA.gif Size: 34 KB
Attached File(s)
File Type: mq4 Heiken_Ashi_Smoothed.mq4   4 KB | 597 downloads
  • #293
  • Jan 6, 2016 11:17pm Jan 6, 2016 11:17pm
Math,

I noticed that all of the backtest results that you have uploaded recently are done with 0.5 pips of spread for the EURUSD. I looked at your broker and see that is very realistic for you. Unfortunately, I live in the U.S. and the best rates that I can get on the EURUSD average around 2 pips. Although it doesn't sound like much difference it makes a huge difference in robotic trading. The EA that I just uploaded tests great with 0.5 pips of spread, but when I change it to 2 pips I get the following results.

Attached Image (click to enlarge)
Click to Enlarge Name: Renko-SmoothedHA-2pip.gif Size: 36 KB


Although it is still profitable, the net profit is nearly $49,000 less due to the 1.5 pip spread difference.

I would like to be able to test your EA's with a normal spread for me and perhaps with different pairs. I am not asking you to release the source, but to simply remove the flag that prevents them from backtesting on any chart that is not generated from your renko chart creator script.
  • #294
  • Jan 7, 2016 1:53am Jan 7, 2016 1:53am
Quoting lcoff
Math, I noticed that all of the backtest results that you have uploaded recently are done with 0.5 pips of spread for the EURUSD. I looked at your broker and see that is very realistic for you. Unfortunately, I live in the U.S. and the best rates that I can get on the EURUSD average around 2 pips. Although it doesn't sound like much difference it makes a huge difference in robotic trading. The EA that I just uploaded tests great with 0.5 pips of spread, but when I change it to 2 pips I get the following results. {image} Although it is still profitable,...
hi,

I have been checking this thread quite a lot, yes for testing EA the spread should be 1.5 for commission free setup. Even if your live broker is offering 0.5 pips, in real condition there is slippage also , so 1.5 pips commission free is the best option for backtesting.

cheers,
elogik
  • #295
  • Jan 7, 2016 1:59am Jan 7, 2016 1:59am
Quoting lcoff
Here is another Renko EA to test. This one uses Smoothed Heiken Ashi. The test below is using 1% risk per trade. The source is included below. {file} {image} {file}
Also thanks icoff for posting the source code :-)
  • #296
  • Jan 7, 2016 4:22am Jan 7, 2016 4:22am
Quoting MathTrader7
{quote} This is a more accurate way of backtesting Renko EAs

Hello Math,

I have posted a trading method at this link

http://www.forexfactory.com/showthread.php?t=573160

Whenever you have time, could you please test this idea using nongapped Renko?

Thank you in advance....
  • #297
  • Jan 7, 2016 4:44am Jan 7, 2016 4:44am
Quoting GoldTheHun
{quote} Hello Math, I have posted a trading method at this link http://www.forexfactory.com/showthread.php?t=573160 Whenever you have time, could you please test this idea using nongapped Renko? Thank you in advance....
Hi GoldTheHun,

I just subscribed to your thread. I'll give it a try when I have some free time.

Best,
Math
Trading is the hardest way to make easy money...
  • #298
  • Jan 7, 2016 4:45am Jan 7, 2016 4:45am
Quoting MathTrader7
{quote} Hi GoldTheHun, I just subscribed to your thread. I'll give it a try when I have some free time. Best, Math
Thanks a lot Math. No need to hurry.

Good luck....
  • #299
  • Jan 7, 2016 5:54am Jan 7, 2016 5:54am
Quoting lcoff
Math, I noticed that all of the backtest results that you have uploaded recently are done with 0.5 pips of spread for the EURUSD. I looked at your broker and see that is very realistic for you. Unfortunately, I live in the U.S. and the best rates that I can get on the EURUSD average around 2 pips. Although it doesn't sound like much difference it makes a huge difference in robotic trading. The EA that I just uploaded tests great with 0.5 pips of spread, but when I change it to 2 pips I get the following results. {image} Although it is still profitable,...
Hi Icoff,

This is a very good illustration of the fact that large spread could have a significant impact on the performance of a scalping strategy.

Regarding my EAs, I have written a template for my Renko EAs which ensures they will run only on non-gap Renko charts. This is because I use non-gap Renko charts for both backtesting and live trading. I am not willing to edit and remove the flag that checks the chart to be a non-gap Renko chart. But attached is a backtest of my Renko ADX EA with 20 points (2.0 pips) spread.
Attached Image (click to enlarge)
Click to Enlarge Name: RenkoADX_20_BT.png Size: 42 KB
Trading is the hardest way to make easy money...
  • #300
  • Jan 7, 2016 10:26am Jan 7, 2016 10:26am
Quoting MathTrader7
{quote} Hi Icoff, This is a very good illustration of the fact that large spread could have a significant impact on the performance of a scalping strategy. Regarding my EAs, I have written a template for my Renko EAs which ensures they will run only on non-gap Renko charts. This is because I use non-gap Renko charts for both backtesting and live trading. I am not willing to edit and remove the flag that checks the chart to be a non-gap Renko chart. But attached is a backtest of my Renko ADX EA with 20 points (2.0 pips) spread. {image}...
Your reason for not making the variable that checks for a Non-Gap (MathTrader7 made) chart external makes little sense. Regardless, the code and the choice is yours.

As I suspected, the backtest that you ran using a spread of 2 pips is abysmal. Although the graph looks pretty, the drawdown is 79%! In the real world this would likely not perform very well at all.
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