Wednesday, 16 November 2011

Renko Trades and MFG

I've been following the MFGlobal saga, as have most traders . I'm sure that we have not seen the whole story yet. The sad thing is to see the shabby way that the futures customers are being treated with the funds still being held by the liquidator. The issue of segregated funds has always been a touchy one with me. I have always feared a trader taking a broker down, with me being in the same segregated bucket as he was. 

I never imagined that the auditing of the segregated account was so non existent, as it obviously must have been if funds are missing. Daily accounting for each trader's funds should be mandatory with independent exchange auditors making daily spot checks. Nothing will prevent every breach but a strong audit framework will surely make people think a lot more if the risk of getting caught is higher. We pay all sorts of regulatory fees that are included in the round trip costs of trading and it looks to me that we are not getting what we have paid for.

On a different note-

One of the guys in the Workshop loves Renko charts to trade from. I trade them from time to time and have also worked algos on them.

Renkos are a different challenge for an algo, as there are no wicks and the high and low of a Renko chart are not the real high and low of the bar. That means that in real time or SIM, you could have been stopped out of a trade but not stopped out when you run your back testing.

Also, they can be more pessimistic, in that your target could have been met in live or SIM but not met in back testing as the wicks remain out of the algos calculation.

Renko back testing needs a lot of manual intervention and eyeballing to try and get it to be more realistic. It's a very subjective process and not too scientific.

Nonetheless, I like trading Renkos as the charts are so clean. I was trading the DAX this morning and here are some of the trades. The first trade was leaning against the low buying tail or candlestick low rejection of yesterday. Notice how well the MomDots help trade management.


  1. Thanks EL. As you have mentioned before, Renko charts in MarketDelta have wicks.

    Do you find that some auto-trading rules just can't be coded in MarketDelta's RTL, or that MarketDelta and RTL are just more difficult to program for auto-trading than MultiCharts?


  2. Dave, I'm not an RTL expert. There are a number of tutorials on RTL at the MD and IRT sites that go through the process of backtesting. I have not tried to set up Autotrading in MD.