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Historical tester and automated strategies using Renko bars
 Post subject: Historical tester and automated strategies using Renko bars Post rating: 0   New post Posted: Mon 19 May, 2014, 23:39 

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Joined: Thu 25 Oct, 2012, 14:37
Posts: 1
Hello,

There is one think I want to understand. How to prepare an automated strategy that uses Renko bars to make a proper historical tester. Until now I was not able to do that correctly.

This is one example (I attached the strategy file):
It uses 2 pips renko bars and an inverse Fisher with values on the close.
Strategy just open orders when the Fisher indicator cross the line 0: if cross from the botton to the top open a buy, if cross from the top to the botton, then open a sell. Because this indicator is a continues line, the strategy should alternate opens with buys and sells and never repeate two or more buys or two or more sells. If a new order in the oposite direction arrive, the first one it has to be close and then the new open order is sent to market. (There is some other logic in closing the orders, but doesn't apply here where I can check the open orders).

The problem happens when you analize the historical tester results (attached in the zip file), where you can see several buys or sells without alternation, not following the logic of the strategy.

I add here also the analisys with a tool where you can see it clearly: https://fxbacktesting.com/report/get_report/1159-FisherStrategy.

When I use this strategy in a demo account, then, buys and sells alternate without problems.

Can you please help me to understand where is the problem? Is there a problem in JForex platform when testing Renko' strategies?

Thanks.

P.S.: I'm using JForex 2.35 (Dukascopy Europe) and JForex API 2.9.9


Attachments:
FisherStrategy_20052014_002817.zip [36.52 KiB]
Downloaded 71 times
FisherStrategy.java [21.23 KiB]
Downloaded 95 times
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 Post subject: Re: Historical tester and automated strategies using Renko bars Post rating: 0   New post Posted: Mon 26 May, 2014, 14:33 
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Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
If the problem is in strategy, then please contact the programmer which wrote the strategy.
If the problem is in renko bars, please provide an example strategy which demonstrates the case, without any additional business logic. Plus, provide the print-screen of you Historical Tester settings.


 

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