Problems on using renko bricks with forex, Oanda EUR_USD

bidstopper

Hello!

I want to try to use renko bricks in a strategy, and also test it, but I see that the renko plot is not working fine.
One brick up and one brick down.
I am trying to use it with EUR_USD. I got the data from Oanda and stored it into a CSV.
I think the problem is because the price contains 5 decimals.
Any help will be really appreciated.

My code looks like this:


import backtrader as bt
from datetime import datetime # For datetime objects
import os.path  # To manage paths

class logging(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.4f' % self.dataclose[0])


class OandaCSVData(bt.feeds.GenericCSVData):
    params = (
        ('nullvalue', 0.0),
        ('dtformat', '%Y-%m-%dT%H:%M:%S'),
        ('datetime', 0),
        ('time', -1),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', -1),
    )


#Variable for our starting cash
startcash = 10000

#Create an instance of cerebro
cerebro = bt.Cerebro()

#Add our strategy
cerebro.broker.setcash(startcash)

#create our data list
datalist = [
    ('EUR_USD.M1.csv', 'CADCHF'), #[0] = Data file, [1] = Data name
]

data = OandaCSVData(dataname='EUR_USD.M1.csv',
                    fromdate=datetime(2017, 7, 1),
                    todate=datetime(2017, 7, 5),
                    timeframe=bt.TimeFrame.Minutes)


data.addfilter(bt.filters.Renko, **dict(size=0.0008))
cerebro.adddata(data, name='EUR_USD')

# Set our desired cash start
cerebro.addstrategy(logging)

# Run over everything
cerebro.run(**dict(stdstats=False))

#Get final portfolio Value
portvalue = cerebro.broker.getvalue()
pnl = portvalue - startcash

#Print out the final result
print('Final Portfolio Value: ${}'.format(portvalue))
print('P/L: ${}'.format(pnl))

#Finally plot the end results
cerebro.plot(style='candle', barup='green', bardown='red')

My logger prints this:

...
2017-07-04, Close, 1.1352
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1336
2017-07-04, Close, 1.1352
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
...

And it plots like this:
alt text

Paska Houso

There was a very similar question a couple of days ago

https://community.backtrader.com/topic/823/how-to-plot-renko

A quick glance would seem to indicate that your problem is similar but in the other direction. You have size=0.0008 and the price moves in that range, triggering the up/downs (you have instances of more than one in the same direction)

...
2017-07-04, Close, 1.1352
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
2017-07-04, Close, 1.1360
2017-07-04, Close, 1.1344
...

1.1360 - 1.1352 = 0.0008 which is the size and the rest are above the size (in absolute value), each time in an opposite directions.

Play with a different size and you will see different results.