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NinjaTrader
holy grail system?
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Originally posted by shooly76 View Postmy profit target is 41 ticks..it actually only hit that one time today..well before I disabled it..Last edited by koganam; 10-30-2014, 08:55 AM.
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I'm also wondering if it's just a massive curve-fit, optimized to be the best curve-fit over tens of thousands of trades.
For what it's worth, I'm not sure I'd call this a Holy Grail system. The win percentage and profit factor numbers are pretty good, but not great. The reason it makes so much money with just 1 contract is because you're getting so many repetitions - 214 trades a day! That's a lot of chances to make money.
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FWIW..I ran another 20,000 monte carlo sims..and pretty much same results as 2000 sims.
this version of the system only makes 5000 (avg) trades/year..much more feasible for me to trade. MUCH less in commission and slippage costs. it is now more selective w fewer trades.
Im not overly concerned with %profitable..this new version is only 42.09% profitable (my goal was 40% or more), but the avg win/loss ratio is 2.23! (edit) avg winning trade: $143.01 avg losing trade: ($64.23)
harry- I use renko barsLast edited by shooly76; 10-29-2014, 02:22 PM.
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You cannot backtest Renko bars with NinjaTrader. The problem here is that NinjaTrader uses the bar open to enter a position. However, Renko bars have an artificial bar open that does not reflect real prices.
Any backtest carried out with default NinjaTrader Renko bars is void.
The only backtestable Renko bar that I know is BetterRenko, which can be used with the BrickStyle BetterBrick.
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what about median renko bars? these are candlestick renko bars. I have included a screenshot of chart using median renko. I ran a backtest using median renko..and total net profit was over $55,000 more including 1 tick for slippage.
(median renko) the entry price looks correct to me..this is just the generic chart from backtest results..the chart I use for live viewing has my custom indicators on it.
also I was viewing a chart today in sim mode (default renko)..and system traded exactly where and when I wanted (I use heiken ashi2 renko on my chart). now I will switch to heiken ashi2 median renko.
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Don't think that Median Renko can be backtested. If you look at the bar open, it is not located where price is sitting. If you want to know exactly, open a data box and check the values for the open of each bar. If those values are as displayed for the candles, the backtest is void.
You probably cannot use the results ..... it is just fiction.
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Originally posted by shooly76 View Postthe price of the open of the candle corresponds exactly w the price axis on the right..according to data box data
Please keep in mind that Median Renko bars - comparable to Heikin Ashi bars - are used for embellishment of your chart. The opening price drawn by those bars is a few ticks off real prices and has no meaning. You cannot use those opening prices to calculate your entry price for a position.
Conclusion: You cannot run any backtest Median Renko bars.
The same applies to default Renko bars. When the trend continues, the open of the new bar is typically 1 tick off the close of the prior bar, and can be considered as a market price. However, when the trend reverses, the open of the new bar is near the opposite site of the prior Renko bar, which is certainly far off price action.
Please perform your backtest with BetterRenko bars. Those bars are backtestable. Attached is a chart showing the correct open (real open) as displayed by Better Renko bars, and the false open (fake open), which would have been displayed by a Standard Renko bar.
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