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Aggressively Simple Renko

  • #41
  • Apr 8, 2016 4:01am Apr 8, 2016 4:01am
Quoting Anusragger
{quote} Renko and mean renko are almost the same. Only an opposite brick takes twice as many pips.
yep that's right.

Mean renkos have an artificial opening, so when candle A closes, candle B closes half way up Candle A... so in a clear trend, at the close of every bar, you have 25 pips gain.

What this means is that it helps to view a bit of price action (as in the engulfing pattern strategy), basically where the tail is higher/lower than the previous candle, and it closes higher/lower than the previous.

Then when we get a trend happening, it is very very clear. What is important for this strategy is the movement of the Stops which is easier done on the Mean renkos. It may work on the normal renkos, but its untested, and i think it would just be a little messier...
  • #42
  • Apr 8, 2016 5:35am Apr 8, 2016 5:35am
The USDCAD is a bit choppy, so as per the rules, I have entered a sell.

This should mean I am effectively hedged, but could still mean a double loss. Will see how it plays out.

You may think that the entry is slightly off - which it is, but part of the rules I have is that if the price closes just above the SMA25, and then subsequently breaks through it on the next candle, then it is ok to take the trade, however it has to close within a certain tolerance level- if it is far away, then I would not take it... This was within 15 pips, so reasonably happy to take it.

Attached Image (click to enlarge)
Click to Enlarge Name: USDCAD 2.JPG Size: 450 KB


3 trades now open, both original ones in draw down.

As mentioned earlier, part of this system is a numbers game, and it could be that I have started the strategy in a bit of a dip... The idea is to carry on (some modelling I was doing showed the USDCAD with a win percentage of 62% over 24 trades, and a R;R of something like 1:2 excluding the first trade sequence which had a return of 1300 pips... that boosts it to something like 1:6... I will be doing more modelling on all pairs over a longer period in the coming weeks, but will still be carrying on with the live test in the interim... because I still see the same patterns repeating on all instruments... watch this space!
  • #43
  • Apr 8, 2016 9:01am Apr 8, 2016 9:01am
USDCAD buy trade was closed out for -$7.65 in total (including swap).

Funnily enough in all my modelling i always start with a loss... hopefully it follows the same logic and goes on a bit of a run into profit!!!

I did slightly hedge against the USDCAD buy, by taking the opposing direction off a new signal.

Looking back through the charts, these choppy ranges usually provide either a slight drawdown or cost neutral position, so the idea is to stay in the game to get to a decent return, and then we will be flying!
  • #44
  • Apr 8, 2016 10:55am Apr 8, 2016 10:55am
Another order opened up on the Dow, and also the liability of the first order has been reduced as well.

Attached Image (click to enlarge)
Click to Enlarge Name: DJ2.JPG Size: 438 KB


I also took a bit of the liability off the USDCAD sell trade as well.
  • #45
  • Apr 8, 2016 11:44am Apr 8, 2016 11:44am
Quoting rolandW
By the way the figures in the first post in terms of the money management, and how it differs is in the table below. Series two is the fixed ratio system... {image} It will be interesting to see what the draw down is on each one... I tried doing a calculation, but there is quite a bit of data to sift through, and the higest figure that I got to from a loss of 4 in a row was about 7%. I am SURE it is greater than that. Something to bear in mind if you are wanting to go live based on the 2 opened trades in live My max risk per any give trade (based...
Hi Roland
Thank you for posting your system here on forexfactory. You said that your risk changes? How do you decide on the size of stop loss for different instruments/currencies? How do you decide on the size of the Renko brick across multiple instruments?
  • #46
  • Apr 8, 2016 3:38pm Apr 8, 2016 3:38pm
Quoting tonny47
{quote} Hi Roland Thank you for posting your system here on forexfactory. You said that your risk changes? How do you decide on the size of stop loss for different instruments/currencies? How do you decide on the size of the Renko brick across multiple instruments?
​Hi Tonny, good questions!!!

First off the size of the stop loss is pretty much always the same. In my testing, and using the Mean Renko bricks (If you check back through the charts, all the mean renko bricks are the same size, and there are usually always 100 pips due to the mean renko brick size being constant). The signals always seem to come on the same pattern formation, in a downtrend, there is a LH, three bricks later, enter... and vice versa for the buys.

In terms of that, Risk is pretty much always the same.

I use a different type of MM, which will change my risk in the short term, and increase the chance of exponentially increasing the chance to make money, but the drawdown will only increase c. 5% over standard MM (fixed ratio, fixed contract size). I think risk per trade will top out at about 1.8% (although on forex at the moment it will top out at 3.6% due to the double contract size until the Dow moves up to 0.1 dollar per pip if that makes sense...? I am not concerned about SL per say (although I like to know my risk!) I am more concerned about the lot size I am using!

How do I decide on the Renko brick size... I always think the bigger the brick size, the bigger the time frame. I think it is pretty clear to see that on a daily chart it is generally easier to see trends developing, so at the moment all my bricks are 250 points, except the dow which is 25 pips... which is basically 250 points for the Dow.

I am getting a (dreaded) EA developed for entries only (no trade management) to enable me to backtest, as I am treating this as a numbers game at the moment. I will then optimise, as it may be better to trade for instance the USDJPY on 200 point bricks, or 125... However, I cant see much difference in the size of the brick affecting performance to much, so it may be possible to trade the method on smaller movements...

The optimisation is coming with lots of back testing, and finding out what works best over time!
  • #47
  • Apr 8, 2016 4:14pm Apr 8, 2016 4:14pm
Quoting rolandW
{quote} ​Hi Tonny, good questions!!! First off the size of the stop loss is pretty much always the same. In my testing, and using the Mean Renko bricks (If you check back through the charts, all the mean renko bricks are the same size, and there are usually always 100 pips due to the mean renko brick size being constant). The signals always seem to come on the same pattern formation, in a downtrend, there is a LH, three bricks later, enter... and vice versa for the buys. In terms of that, Risk is pretty much always the same. I use a different...
Thank you so much for the explanation. To tell you the truth, I am not all that familiar with renko, so thats some homework for me to do. Few posts above you have posted chart with 250 renko but the box is about 100 pips wide. Definitely need more reading
  • #48
  • Apr 9, 2016 1:43am Apr 9, 2016 1:43am
Quoting tonny47
{quote} Thank you so much for the explanation. To tell you the truth, I am not all that familiar with renko, so thats some homework for me to do. Few posts above you have posted chart with 250 renko but the box is about 100 pips wide. Definitely need more reading
Which one in particular? In this page I can see 50-point DJ brick size and 50-pip UC brick size only.
  • #49
  • Apr 9, 2016 3:01am Apr 9, 2016 3:01am
Quoting Halley
{quote} Which one in particular? In this page I can see 50-point DJ brick size and 50-pip UC brick size only.
http://www.forexfactory.com/attachme...5&d=1460111469
  • #50
  • Apr 9, 2016 3:24am Apr 9, 2016 3:24am
Quoting tonny47
{quote} http://www.forexfactory.com/attachme...5&d=1460111469
The brick is 50 pips, the step between bricks is 25 pips.
  • #51
  • Apr 9, 2016 4:17am Apr 9, 2016 4:17am
Quoting Halley
{quote} The brick is 50 pips, the step between bricks is 25 pips.
​This is correct.

there is an artificial opening on the mean renko, so the opening of the brick is set at he median point of the last brick, but price is already at the close of the previous brick. it effectively shows a 25 pip gain before anything happens. So the price only needs to move 25 pips to close the brick, but it would need to move 75 pips from the actual opening to get a change of direction brick... or 50 pips from the artificial opening.

Attached Image (click to enlarge)
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  • #52
  • Apr 9, 2016 9:32pm Apr 9, 2016 9:32pm
aaah, thank you for explanation!
  • #53
  • Apr 10, 2016 5:21am Apr 10, 2016 5:21am
The OVO indicator took me a while to install. I watched the YouTube video and followed the instructions meticulously and got it to work in less than an hour!
I also installed the OmniaRange indicator, which auto-magically calculates the brick size, and which also allows the user to override on the fly. For Roland's loonie trade, it calculated the brick size to be 66, and I overrode it to 50. I think the indicator is worth a look, and it is free for 15 days, after which it will cost USD45. Hopefully by that time, one would have made enough pips to pay for it. We shall see!
Attached Image (click to enlarge)
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  • #54
  • Apr 10, 2016 3:04pm Apr 10, 2016 3:04pm
Quoting SnoopyAKQJT
The OVO indicator took me a while to install. I watched the YouTube video and followed the instructions meticulously and got it to work in less than an hour! I also installed the OmniaRange indicator, which auto-magically calculates the brick size, and which also allows the user to override on the fly. For Roland's loonie trade, it calculated the brick size to be 66, and I overrode it to 50. I think the indicator is worth a look, and it is free for 15 days, after which it will cost USD45. Hopefully by that time, one would have made enough pips to...
​I don't get the 66 brick size... I have had a look through each picture, and they are all brick size of 50 pips...

Remember that a completed brick is 50 pips (25 artificial, and 25 actual) as the image above shows.

Mean Renkos also have a tail, to show you how high/low price got before it changed... not sure if the tail is throwing people off. or maybe simply not a closed brick?
  • #55
  • Apr 10, 2016 3:35pm Apr 10, 2016 3:35pm
Just a bit of an update.

I have been forward testing back testing again over the weekend using an Open all signals rule (which is what all backtesting has been based on) using an EA, but having manual trade management (which is a pain in MT4...)

Some interesting results have come out of it.

The first is that on the USDCAD, using a 250 brick size produced some less than adequate results. A bit of a pratt that I am, I did not save the original 250 test results (however I am going to go over them again to make sure) It is all about building up adequate test data... most of my data is based on 01.01.15 onwards, so a decent years worth - about 4500 bars... Oh and because there is manual trade rules, I can not run a backtest and have a nice report spat out at the end...

Over the next few weeks, I will be doing some proper testing and comparisons... This is not optimisation as such, but testing what provides decent returns.

What it seems to have shown, that over the long term, the 250 charts provide more of a neutral return.

Moving to the 125 charts however shows a much better return... basically a 1:4 R:R profile based on pips. 619.4 losing pips to 2645 pips return over 45 trades. This would have increased the balance by 80%.

It also has two other benefits...

1) the risk is automatically reduces... by half...

2) ThIt aligns the account with the Dow.. 0.01 lots on the Dow at 100 pips equals 0.01 lot on the Forex at 50 pips (well on the USD pairs, but I am not too concerned about the exchange to other currencies, as the R:R should be largely the same over time...)

This is really important to note by the way, because if you are planning to follow along, which I 100% do not advise or advocate without doing your Due Diligence - it is still very much a work in progress, and has no live testing, then losses are going to be inevitable, and backtesting is the way to get YOUR trading plan acceptable for going forward.

There is a book of interviews called Millionaire trading, and there is a trader who says that his JOB is backtesting... 80% of it is backtesting, and the remainder is trading. Optimising and getting efficiencies in trading is key to being profitable...
  • #56
  • Apr 10, 2016 4:16pm Apr 10, 2016 4:16pm
Quoting rolandW
Just a bit of an update. I have been forward testing back testing again over the weekend using an Open all signals rule (which is what all backtesting has been based on) using an EA, but having manual trade management (which is a pain in MT4...) Some interesting results have come out of it. The first is that on the USDCAD, using a 250 brick size produced some less than adequate results. A bit of a pratt that I am, I did not save the original 250 test results (however I am going to go over them again to make sure) It is all about building up adequate...
this bar type with ofsetting is such as henkinashi is new for me.and this thing is filtering too much noise.it is good and bad.to make proift with this you need strong one direction runner instruments with very limited stoploss and very very large takeprofit.and only indicies fit in this description.or may be some stocks.sp500 ge30 uk100 eyc etc.ı thing currency wont fit this.my2pips
  • #57
  • Apr 10, 2016 4:34pm Apr 10, 2016 4:34pm
Quoting vasily
{quote} this bar type with ofsetting is such as henkinashi is new for me.and this thing is filtering too much noise.it is good and bad.to make proift with this you need strong one direction runner instruments with very limited stoploss and very very large takeprofit.and only indicies fit in this description.or may be some stocks.sp500 ge30 uk100 eyc etc.ı thing currency wont fit this.my2pips
​
Appreciate your input, however, my backtesting (as in forward testing on historic data, not having the benefit of seeing where the price is going ahead of time...)does not support this view. With the right Trade management approach, it is looking very profitable.

The strategy is to keep neutral until a strong trend develops, and what you are doing is buying on the pullback, and any dips, you add to the position. What this enables you to do is to multiply your position, and if you get 3 trades, you will be lots of pips up, with limited down size (2 trades well in the money, and max stop loss on the 3rd trade, which is whatever you choose it to be, but on the 125 charts, it is 50 pips... that is after the other 2 pulling in a combined 500 pips... This is where you have the wiggle room!)

I am pretty confident that for every 1 dollar I invest, over time, I should be pulling out at least 2 dollars. Putting this is play with Money management means that this will go up to about 1:3...

This is a live test, with real cash, so over time we will see if it is profitable or not! The real proof will come with the live... I am fully expecting to LOSE, only because that way I can not be disappointed... after all, I keep saying this is a test, albeit with a live account... which is why no one should follow with live cash!
  • #58
  • Apr 11, 2016 5:44am Apr 11, 2016 5:44am
Getting ready to long Crude Oil?
This morning I woke up to this chart... the OmniaRange indicator calculated the brick size to be 77 (and I didn't override this time) and is showing 3 white bricks after a higher high ...
Just for fun, I am long 10 barrels ...
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  • #59
  • Apr 11, 2016 5:54am Apr 11, 2016 5:54am
Locked in some pips on the USDCAD trade, on the pullback.​

Don't worry about the EA, I am backtesting, and this is the way I need to do it.

Just to allay some fears! I need to attach the EA to a live chart, save the template, and then apply a script for renko charts which tajes me into a test account with all the historic data, and then back test in the usual way after applying the chart...

Convoluted, but useful... and exceptionally time consuming!

Attached Image (click to enlarge)
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  • #60
  • Apr 11, 2016 6:03am Apr 11, 2016 6:03am
Quoting SnoopyAKQJT
Getting ready to long Crude Oil? This morning I woke up to this chart... the OmniaRange indicator calculated the brick size to be 77 (and I didn't override this time) and is showing 3 white bricks after a higher high ... Just for fun, I am long 10 barrels ... {image} {image}
Not sure if this is how I would do it... There is no SMA25 on your renko chart, and this is the base system (not saying your trade is good or bad!)

I am liking the look of how you are applying the Mean renkos though, will be interesting to see how what you are doing fares over time.
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