Pseudo-Renko Moving-Average Crossover Strategy on Candles

Summary

This document presents an automated strategy that builds pseudo-Renko bricks from ordinary candlestick closes, calculates a moving average on those brick closes, and trades when the brick close crosses the average. It also includes a minimum time interval between orders and disables order accumulation. The stated default settings are a 20-point brick size, a 20-period average, and a 300-second order interval; the strategy enters long on an upward cross and short on a downward cross, closing the opposite position.

The author reports that a simple test appeared to work well on the DAX using a 15-minute chart, with a one-point spread. The strategy checks conditions once per bar, despite Renko being independent of time. The author says other instruments and timeframes were not tested much, so the reported result is narrow evidence rather than a general finding. The document supplies no detailed performance statistics, test period, risk controls, or discussion of execution costs beyond the stated spread, and its suggestion that common parameter choices reduce curve fitting is not demonstrated.

Key ideas

• The strategy constructs pseudo-Renko levels from ordinary candle prices.
• A moving average is calculated from the generated Renko closes, and crossovers trigger trades.
• The stated defaults are a 20-point brick, a 20-period average, and a 300-second order interval.
• The author reports a favorable simple test on the DAX at a 15-minute timeframe with a one-point spread.
• Other instruments and timeframes were not adequately tested, and detailed performance evidence is absent.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.