About time I wake up this old thread.
Take three!
The title of the thread isn't valid anymore, as I had to drop median renko idea because of the inherent problems while backtesting those beasts. Zorro executes run() function after every bar, then if you decide to open the position, it uses the open price from the next bar. Unfortunately, the open in the median renko is in the past, which allows for much better execution than would be possible in reality. If nothing else, it reveals how our trading would become extra profitable if we could add just a few pips to every trade we do.
So, having all that in mind, my new bar abomination is quite simple and allows for proper backtesting. If the price moves 5 pips in whatever direction, a bar is printed. There are wicks, but they should not be important. Bars are similar to renko, but different, because renko requires twice as much movement in the opposite direction before printing brick. I'll call this thing a grid bar. If I can make any progress with it. Also I reintroduced phantom bars. For example if there was a 20 pips gap in the original price data, there will be 4 bars (20/5) printed. It's good for indicators, but could also inflate backtest results. We can sort this out later, once again if the bars prove useful.
So far I have tested only a few simple things, without any results to show. But I haven't yet got even to the ever popular MA crossover, so there's still work to be done.
If you're going to play with this, I suggest:
- reading this whole thread to understand what all this is about
- renaming EURUSD_2011.bar, too, so you know when Lookback tries to go to 2011 data
- set Weekend = 0
- set Slippage = 0
Bars are based on 5 pips movement, synthesized from about last 5 years of Dukascopy EURUSD tick data.
http://www.perltrader.com/zorro/EURUSD_2012.bar-grid.zipAnd I wanted to attach the screenshot, so you can see how the bars look, but this subforum doesn't allow attachments.
