admis Posted April 12, 2014 Report Share Posted April 12, 2014 Going back into theory concerning a renko bars (including RJ's renko bars). During the backtests (not in a replay mode) you have to assign a proper (realistic) slippage: It's a simple formula: slippage = (max range of renko bar)/2 + 1 +1 is an usual slippage (spread) for range of instruments. so for example for RJ spectrum bars 4:1 -> slippage = 4/2+1 = 3 I think it's now clear. tradernate 1 Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 (edited) Yamantaka has obviously added something to his system in addition to the Box. We need to figure out what. A directional indicator would be my first guess. Not true. No external indicators are been added to the ATS. I suggest you examine best time of day to trade, Long/Short, and whether to take secondary out-of-box trades in your analysis. In order to do this, you'll have to segue to source code due to wizard's limitations. Edited April 12, 2014 by yamantaka Wanderer 1 Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 (edited) The targets in PPTBox are calculated like fibonacci levels. The defaults values are as follows: target1 = 162; target2 = 233; target3 = 377; target4 = 512; target5 = 618; 0-100% is a current box range. You can assign these levels into fibo tool in NT and check it by yourself. It's possible to enable these levels as a parameters in the indicator. Interesting. I didn't understand those lines and didn't care because I was all in, all out, but I wouldn't mind testing those levels for an edge. Admis, do you mind posting an image of a box overlaid with those fib calculations for those of us who are fib handicapped? Edited April 12, 2014 by yamantaka Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 Going back into theory concerning a renko bars (including RJ's renko bars). During the backtests (not in a replay mode) you have to assign a proper (realistic) slippage: It's a simple formula: slippage = (max range of renko bar)/2 + 1 +1 is an usual slippage (spread) for range of instruments. so for example for RJ spectrum bars 4:1 -> slippage = 4/2+1 = 3 I think it's now clear. Are you speaking of the new version or old?. RJ claims the new version is an accurate backtester. Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 Interesting. I didn't understand those lines and didn't care because I was all in, all out, but I wouldn't mind testing those levels for an edge. Admis, do you mind posting an image of a box overlaid with those fib calculations for those of us who are fib handicapped? Sure, let me do that in a few minutes... Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) Are you speaking of the new version or old?. RJ claims the new version is an accurate backtester. It's a general rule, but I didn't make a tests with a new (2nd) versions. You should remember: this rule concerns only BACKTESTS made in the Strategy Analyzer! Edited April 12, 2014 by admis Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 Interesting. I didn't understand those lines and didn't care because I was all in, all out, but I wouldn't mind testing those levels for an edge. Admis, do you mind posting an image of a box overlaid with those fib calculations for those of us who are fib handicapped? http://i.imgur.com/3DMrXRa.jpg morisvladi, ⭐ flipper26, enzofox and 7 others 10 Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 It's a general rule, but I didn't make a tests with a new (2nd) versions. You should remember: this rule concerns only BACKTESTS made in the Strategy Analyzer! How can you backtest without the Strategy Analyzer? Are you referring to looking at historical performance from a chart only? Quote Link to comment Share on other sites More sharing options...
westvleteren Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) I understand that the strategy analyser is never giving you good results to rely on. I was told that the Market Replay offers backtesting with Level 1 and Level 2 data tick based replay, thus ensuring much more reliable and realistic results. Please search the NinjaTrader forum for the several discussions on this topic and the explanation done by Ninja people. The disadvantage of Market Replay is that backtesting takes time (even when you speed up to 500x speed). Edited April 30, 2014 by westvleteren admis 1 Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 ok, it's done next step: exposed to use in a strategy all the levels (targets) for long and short orders. http://www.sendspace.com/file/o9attt pass=indo-investasi So, all the available fields in a strategy are as follows: (the new fields are bolded) LongTarget1 LongTarget2 LongTarget3 LongTarget4 LongTarget5 ShortTarget1 ShortTarget2 ShortTarget3 ShortTarget4 ShortTarget5 Box_Mid ------------ Box_High Box_Low Box_Signal P.S. I don't know guys, how many of you are in a position to work directly in sources, without a strategy builder? It's going to be more difficult to work with a strategy wizzard than in a sources (at least for me...) this version has code issues? Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 this version has code issues? Why are you thinking that? Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) I can not import I put it to manual error http://my.jetscreenshot.com/demo/20140412-mqns-109kb.jpg Edited April 12, 2014 by enzofox Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 I can not import I put it to manual error It is not importable package. Just unpack it using 7z, copy PPTBoxSLsig.cs into the indicator folder of NT and then compile it. enzofox 1 Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) I can not import I put it to manual error I've just compiled the same source file with no issue. I'm sorry enzofox I don't know italian to be able to recognize the compiler messages on your screenshot... Try to overwrite once again the source file from the 7z archive... Edited April 12, 2014 by admis Quote Link to comment Share on other sites More sharing options...
thedriver Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) I've just compiled the same source file with no issue. I'm sorry enzofox I don't know italian to be able to recognize the compiler messages on your screenshot... Enzofox i can help you in italian language , please ask me if you want ciao @admis thank you again for your time for us, can you only in the strategy (your PPTBoxSLsig.cs) turn off the message when the box is triggered?? thank you so much here a partial statistic http://my.jetscreenshot.com/20438/20140412-octc-139kb regards ciao Enzo Edited April 12, 2014 by thedriver admis 1 Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 http://my.jetscreenshot.com/demo/20140412-50p9-108kb.jpg compiled okay, but I am not the strategy Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 compiled okay, but I am not the strategy It is only the indicator not a strategy. Remove PPTBoxSLsig.cs from strategy folder and put it into Indicator folder. enzofox 1 Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 Yamantaka, I understand that the strategy analyser is never giving you good results to rely on. I was told that the Market Replay offers backtesting with Level 1 and Level 2 data tick based replay, thus ensuring much more reliable and realistic results. Please search the NinjaTrader forum for the several discussions on this topic and the explanation done by Ninja people. The disadvantage of Market Replay is that backtesting takes time (even when you speed up to 500x speed). First and second signal out of box. Please could you explain more your findings on using only the first signal of the box vs using both the first and second signal of the box. I believe the Strategy Wizard can have the capability to distinguish between the first and second signal of the box (matter of checking at which bar the box started and checking if a trade already took place before a new box develops). Overlapping boxes. How have you handled overlapping boxes? Do you assign any value to overlapping boxes? You ignore them? I believe the Strategy Wizard can have the capability to recognize overlapping boxes (matter of checking at which bar the box started and checking at which bar a new box develops - typically all boxes are 10 bars width). I have a parameter to determine whether to take the 1st box trade only or the 2nd one also, but it is buggy, For the time being, I recommend focusing on just the 1st trade. Overlapping boxes are treated as a single box--you'll notice this is usually a tighter consolidation. The width of the box is dependent on the size of the bars. Also, you need the option to take Limit or Market orders. With the former, you'll have less fills but zero slippage. Depends on how volatile the instrument is at that moment. Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 http://my.jetscreenshot.com/demo/20140412-mmbh-112kb.jpg Admin will post this PPTBox amended to understand how it works on PENNAT Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 (edited) http://[email protected]/file/92aqmg Edited April 12, 2014 by enzofox admis 1 Quote Link to comment Share on other sites More sharing options...
enzofox Posted April 12, 2014 Report Share Posted April 12, 2014 can be changed at will http://my.jetscreenshot.com/demo/20140412-epgu-57kb.jpg Quote Link to comment Share on other sites More sharing options...
admis Posted April 12, 2014 Report Share Posted April 12, 2014 @enzo: As I guess, you would like to change the sources in the way that you could change these levels on demand as a parameters. Is it correct?:-? Quote Link to comment Share on other sites More sharing options...
thedriver Posted April 12, 2014 Report Share Posted April 12, 2014 http://[email protected]/file/92aqmg what's this? new release?? thx you Quote Link to comment Share on other sites More sharing options...
yamantaka Posted April 12, 2014 Author Report Share Posted April 12, 2014 @enzo: As I guess, you would like to change the sources in the way that you could change these levels on demand as a parameters. Is it correct?:-? You may want to have an input option to eliminate the fib levels altogether--of course you can color the lines transparent so you don't see them, too. They were installed by the original developer to exit contracts at multiple levels. If you want those levels to exit then that's another nice option to have in the strategy (mine doesn't). Quote Link to comment Share on other sites More sharing options...
tke1 Posted April 12, 2014 Report Share Posted April 12, 2014 http://my.jetscreenshot.com/demo/20140412-mmbh-112kb.jpg Admin will post this PPTBox amended to understand how it works on PENNAT Hi Enzofox... are you only taking BOX trades after a Pennant forms ? care to share the Pennant indi please ? Cheers Quote Link to comment Share on other sites More sharing options...
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