Renko Programming

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shadrock55
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Renko Programming

Postby shadrock55 » 15 Mar 2011

I'm a former TS user, and I wanted to understand the differences between Renko charts here and there because they seem to perform slightly different.

1. In order to do proper backtesting, do I need to use "buy this bar on close" or can I use "buy next bar at the market"?

2. If I need to use "this bar on close" for backtesting, will I need to change anything performed "this bar on close" to "next bar at the market" to execute live trades?

3. Does Multicharts support intrabarordergeneration for Renko? This appears to work in backtesting, but I wanted to verify. For instance, can you set stops to execute in the middle of the bar as below (for ES box side 1 point).

FYI - I haven't compiled this code as I'm not at home right now. Its for example purposes.

Code: Select all

[intrabarordergeneration = True]

{Close of Bar Actions}
If BarStatus(1) = 2 then Begin
   If Close > Open then buy next bar at the market;
End;

{Intrabar Stop}
If BarStatus(1) = 1 Then Begin
    If MarketPosition = 1 then begin
        {Market Defined stop}
        Sell next bar (EntryPrice - BoxSize * 2 + MinMove) Stop;

        {Round number stop}
        Sell next bar 1260 stop;
    End;
End;


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Dave Masalov
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Re: Renko Programming

Postby Dave Masalov » 15 Mar 2011

Dear shadrock55,

Renko charts are not time based, so it does not matter if you use "buy this bar on close" or "buy next bar at the market". Close of the current bar and open of the next one happens at the same time.

IOG should work with Renko charts. I would suggest you to try your code on demo account first.

shadrock55
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Re: Renko Programming

Postby shadrock55 » 15 Mar 2011

Thanks. That's excellent, and, of course, I'll demo the heck out of it before turning it on. One more question.

Will the performance report reflect the true account size required? For example, since the Renko charts don't show all price action, the price could've traded above or below the actual box shown. Has this been taken into account?

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Dave Masalov
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Re: Renko Programming

Postby Dave Masalov » 16 Mar 2011

Will the performance report reflect the true account size required? For example, since the Renko charts don't show all price action, the price could've traded above or below the actual box shown. Has this been taken into account?


Dear shadrock55,

Please be more precise. I am not sure I got you right. Performance report is calculated the same way for all chart types.

shadrock55
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Re: Renko Programming

Postby shadrock55 » 16 Mar 2011

I think I answered my own question last night.


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