Renko Trend Strategy Research

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progster
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Renko Trend Strategy Research

Postby progster » Mon Jan 07, 2008 2:37 pm

I've currently got a Renko strategy under development (based on SwissTrader's Renko Bricks Indicator Package) and so I thought I would kick-off the research section with a "this is possible" type of post. (I'm not providing Strategy code and parameter settings in this post.)

Here is a picture of the top 40 TradeStation optimization results (by NetPft) from running the strategy on @ER2, at 1m resolution, for the 3 months of Oct - Dec 2007.

Renko.ER2.1m.200710-200712.DemoTop40.jpg
Renko.ER2.1m.200710-200712.DemoTop40

These results are without commission and slippage, which can be estimated as desired, then multiplied by the number of trades in the iteration to adjust the Net Profit downward.

The strategy is very simplistic at this point, with no DOW or TOD filtering, and no other non-Renko conditioning of the signals. % Profitable hovers around 1/3 (making it a tougher to trade if your psychology requires constant reinforcement), with the money being made by favorable Win/Loss Ratio.

The PFs in the 1.2 to 1.4 range are modest - but lots of "bread-and-butter" strategies are just so.

The best Net Profit equity curve from these results looks like this:

Renko.ER2.1m.200710-200712.DemoEq.jpg
Renko.ER2.1m.200710-200712.DemoEq

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progster
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Renko on AAPL Q4 2007

Postby progster » Wed Jan 09, 2008 1:00 pm

Here is a picture of the top 40 TradeStation optimization results (by NetPft) from running the strategy on AAPL, at 1m resolution, for the 3 months of Oct - Dec 2007.

Renko.AAPL.1m.200710-200712.DemoTop40.jpg
Renko.AAPL.1m.200710-200712.DemoTop40 (1 share traded)

We see results from configurations offering high, medium, and low frequency trades (e.g. 1268, 489, 48) over the 3m period. The higher PFs seen here are matched with the lower frequency trades.

One way to look at results such as these is to observe that you can trade all day every day, but you might not necessarily want to. Even if you could show, after taking out commission and slippage, that "all the time" trading still had a slightly higher modeled NetPft, would it be worth the extra hassle and all the extra opportunities for something to go wrong?

Here is the 48-trade equity curve from row 27 of the picture above.

Renko.AAPL.1m.200710-200712.Equity_27.jpg
Renko.AAPL.1m.200710-200712.Equity_27 (1 share traded)

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progster
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Renko on GS for 2007 (Full year)

Postby progster » Thu Jan 24, 2008 3:18 pm

Here is a picture of the top 40 TradeStation optimization results (by NetPft) from running the strategy on GS, at 5m resolution, for the year of 2007.

Renko.GS.5m.200701-200712.DemoTop40.gif
Renko.GS.5m.200701-200712.DemoTop40.gif

Above, we see results from configurations offering low and medium frequency trades (e.g. 16, 119) over the 1 year period. The higher PFs seen here are matched with the lower frequency trades. The 1 year period is approximately 240 trading days, so we can see that patience in waiting for a good setup is an important aspect of successful trading. IOW, we are observing some very nice results that come from not trading every day!

Other relationships among this set of winning iterations may be observed by downloading this spreadsheet and doing a bit of sorting and filtering:

RenkoV7_Demo.GS.5m.NoReset.2007.DemoOpt01.xls
Renko.GS.5m.200701-200712.Top200_Spreadsheet
(123.5 KiB) Downloaded 400 times

Here is the 39-trade equity curve from row 1 of the picture above:

Renko.GS.5m.200701-200712.Equity_01.gif
Renko.GS.5m.200701-200712.Equity_01.gif

So, how was GS chosen for this example? Was it cherry picked after optimizing Renko on hundreds or thousands of symbols? No, not at all. GS is simply a high-priced, high-range "mover", and was selected as such ahead of time (as was Apple in the post above).

We all know moving stocks can be traded with trend-oriented techniques. The issue is always how to measure and how to quantify. Almost by definition, Renko analysis will find a good answer to the question "How much movement did it take to predict more movement?" over the course of your historical test period.

(Note: The full spreadsheet, with all strategy settings disclosed, is available to Renko strategy customers in the Renko Strategy Customer Collaboration .)

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progster
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Renko on FLR for 2007 (Full year)

Postby progster » Fri Jan 25, 2008 10:01 pm

Renko.FLR.5m.2007.DemoTop40.gif
Renko.FLR.5m.2007.DemoTop40

Renko.FLR.5m.2007.DemoEq.gif
Renko.FLR.5m.2007.DemoEq

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Renko on MON for 2007 (Full year)

Postby progster » Fri Jan 25, 2008 10:02 pm

Renko.MON.5m.2007.DemoTop40.gif
Renko.MON.5m.2007.DemoTop40

Renko.MON.5m.2007.DemoEq.gif
Renko.MON.5m.2007.DemoEq

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Renko on BSC for 2007 (Full Year)

Postby progster » Fri Jan 25, 2008 10:04 pm

Renko.BSC.5m.2007.DemoTop40.gif
Renko.BSC.5m.2007.DemoTop40

Renko.BSC.5m.2007.DemoEq.gif
Renko.BSC.5m.2007.DemoEq

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Renko on CME for 2007 (Full Year)

Postby progster » Sat Jan 26, 2008 3:22 pm

Renko.CME.5m.2007.DemoTop40.gif
Renko.CME.5m.2007.DemoTop40

Renko.CME.5m.2007.DemoEq.gif
Renko.CME.5m.2007.DemoEq

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Renko on ICE for 2007 (Full Year)

Postby progster » Sat Jan 26, 2008 3:24 pm

Renko.ICE.5m.2007.DemoTop40.gif
Renko.ICE.5m.2007.DemoTop40

Renko.ICE.5m.2007.DemoEq.gif
Renko.ICE.5m.2007.DemoEq

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progster
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Renko on PCP for 2007 (Full Year)

Postby progster » Sat Jan 26, 2008 3:26 pm

Renko.PCP.5m.2007.DemoEq.gif
Renko.PCP.5m.2007.DemoEq

Renko.PCP.5m.2007.DemoTop40.gif
Renko.PCP.5m.2007.DemoTop40

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Renko on FCX for 2007 (Full Year)

Postby progster » Mon Jan 28, 2008 2:15 pm

Renko.FCX.5m.2007.DemoTop40.png
Renko.FCX.5m.2007.DemoTop40

Renko.FCX.5m.2007.DemoEq.png
Renko.FCX.5m.2007.DemoEq


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