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Interesting to hear about your experience in TradeStation. The strategy does not use set stop or limit orders, but generates market orders to open and close under the circumstances I specify. I have traded it in real time and it is perfectly possible, it's the backtesting bit thats a pain because I need the data in a granular format to get Renko bars that would have been created if i was walking it forward.
CPI
Can you help answer these questions from other members on NexusFi?
For the instrument, well I would obviously test each contract before it trades, but for the strategy to be implemented properly it needs to be a tight market with plenty of depth - because, say, I need to avoid contracts that could move by more than a renko box size without a single print on the tape "under normal market conditions" (obv. I am not going to trade it over NFP and so on), that is one of the problems with Renko on compressed data using close prices.
So I guess I am looking at FESX, FGBL, ES and ZN. Not all at one though LOL!
How much data? Well as much as I can get really, but should really go back before august 2007 (sub-prime writedowns, remember those LOL!).
Yo aslan you get cracking on those renko's don't you!! But why so many?
I am picking my way through Renko's in matlab... they are already included in the financial toolbox but not really in the way I want to use them. And anyway, the edge is in the numbers, not in the graphs!!
I don't know about solving, but every strat I tested that was glowingly profitable with Renkos is now a net loser with this. Can't say I'm the least bit surprised.
Your results are exactly what I would expect. Everyone trys Renko, and is certain the grail has been uncovered, only to loss when they go live. If you can find a strat that works with BetterRenko, then it should match when you go live. At least that is the theory.
Not at all. I love Renko's for what they are good at, which is removing noise and showing real swings. They are horrible for backtesting if you are not real careful, and I was really trying to fix that issue so they could be used for that as well.