Renko bar 'starting' values  [SOLVED]

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jese514
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Renko bar 'starting' values

Postby jese514 » 30 Apr 2014

Is there a way to make Renkos start from multiples of 5, or 10? Currently Renko bars start from the first value on the chart. Example: Using tick data, and 10-tick Renko bricks, if the first tick is 91.43 then all subsequent renko bars with close/open at .43, .53, .63, .73, etc. It would be much better of they started at .50, .60, .70, etc, because then the charts would be more reliable for backtesting. Right now, they are drawn differently each time if the starting point is a different date and thus starts from a different tick.

An example of how this is problematic is as follows: let's say I run a strategy (showing wicks and showing 'real open') off a Renko chart in real-time, and produce 20 trades for a week in my broker's sim account. If I then backtest the same strategy for this period but also include a few days earlier, the entire chart is redrawn with new starting values, and different trades are produced (the shape of the chart becomes different in cases where .43 would produce an extra high bar at a certain peak, but .48 produces one less, for example). I then have no way of knowing how close my real-time performance is to the backtesting, which makes it very difficult to ever actually launch a strategy with real funds. It's a big problem for me. Is there any way to deal with this?

In contrast, SC seems to start all Renko charts from .0, .10 etc by default.

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Andrew MultiCharts
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Re: Renko bar 'starting' values

Postby Andrew MultiCharts » 01 May 2014


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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 01 May 2014

Great suggestion!

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Smoky
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Re: Renko bar 'starting' values

Postby Smoky » 01 May 2014

Hi jese514,

Great suggestion!

sumit this idea, you already have 2 votes ;)

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Re: Renko bar 'starting' values

Postby jese514 » 01 May 2014

Thanks guys... Here is the link for the feature request, for you to vote on: http://www.multicharts.com/pm/viewissue ... no=MC-1649

By the way, last week I created another Renko-related 'bug' report that points out a problem in how Renko charts are built from 1-min data, but it has yet to be reviewed. Feel free to check it out here: http://www.multicharts.com/pm/viewissue ... no=MC-1646

Jesse

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Smoky
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Re: Renko bar 'starting' values

Postby Smoky » 01 May 2014

hi Jesse,

happy to see a renko user here ;)


2 votes actually !

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Re: Renko bar 'starting' values

Postby SUPER » 02 May 2014

+ 1 Support

if you use option specified date from in "Data range" in format instrument then the starting point will be constant rather then "Days Back"

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Re: Renko bar 'starting' values

Postby Smoky » 02 May 2014

ok Super, but the feature is to make a choice of the first tick that meet a "choice" level.

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Re: Renko bar 'starting' values

Postby SUPER » 02 May 2014

ok Super, but the feature is to make a choice of the first tick that meet a "choice" level.
Until MC implements jese514 suggestion, I thought that an interim solution may be of some use.

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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 27 May 2014

I'm noticing how different the renkos load up on each refresh/restart. 1-10 ticks is pretty significant on the total outcome.

This feature is definitely needed.

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Re: Renko bar 'starting' values

Postby jese514 » 27 May 2014

Agreed!! It's frustrating because the Renko bars have so much potential but without this kind of consistency, it's not possible to do the kind of reliable testing needed before putting automated strategies live... I hope this thread gets some attention!

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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 08 Nov 2014

This feature is a must have.

I also suggest that we have an input for the starting value. I'd like to have control over that rather than having a hard coded round number.
Maybe a full price? We input a full price where we want the blocks to break from and the blocks form forwards and backwards from that price?


MC team,

Is there any talk about implementing a renko starting value? While back-testing from one data source to the next or one time period to the next, you get completely different results because of the starting tick of the selected day always being different.

Thank you for your consideration.

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 12 Nov 2014

MC team, Is there any talk about implementing a renko starting value?
MAtricks, this is not something that we are going to add, at least no in this form. We are currently evaluating possibility of building historical and realtime bars with resolution higher than 1 tick using OHLC values (instead of just Close value).

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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 12 Nov 2014

That's too bad. It seems like a small amount of work to fix an issue that makes the renkos next to impossible to use.

Do you have any suggestions on how to use MC renkos in a way where I can build the same chart with different data feeds and different dates? Currently, this will provide incredibly different results.

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bensat
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Re: Renko bar 'starting' values

Postby bensat » 12 Nov 2014

MAtricks, this is not something that we are going to add, at least no in this form. We are currently evaluating possibility of building historical and realtime bars with resolution higher than 1 tick using OHLC values (instead of just Close value).
That's great to hear Henry. As I wrote in another thread, this feature in the suggested form can not be proofed to be seriously helpful.

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 13 Nov 2014

Do you have any suggestions on how to use MC renkos in a way where I can build the same chart with different data feeds and different dates? Currently, this will provide incredibly different results.
MAtricks, if you can get exactly the same data from different vendors then charts with the same settings will show the same Renko bars.

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Re: Renko bar 'starting' values

Postby MAtricks » 13 Nov 2014

Do you have any suggestions on how to use MC renkos in a way where I can build the same chart with different data feeds and different dates? Currently, this will provide incredibly different results.
MAtricks, if you can get exactly the same data from different vendors then charts with the same settings will show the same Renko bars.
Some data feeds provide longer history than others. How do you answer the question of different dates which is commonly dealt with?

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 13 Nov 2014

Do you have any suggestions on how to use MC renkos in a way where I can build the same chart with different data feeds and different dates? Currently, this will provide incredibly different results.
MAtricks, if you can get exactly the same data from different vendors then charts with the same settings will show the same Renko bars.
Some data feeds provide longer history than others. How do you answer the question of different dates which is commonly dealt with?
You need to enable the option "Break on Session". But still if the data is different - bars can be different.

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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 13 Nov 2014

Break on Session is not a viable option in most cases because of how it alters the blocks.

1. Every day starts on a new price and I like to know which price interval my blocks will break on
2. With large blocks, this severely alters performance of renkos.

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 13 Nov 2014

Break on Session is not a viable option in most cases because of how it alters the blocks.

1. Every day starts on a new price and I like to know which price interval my blocks will break on
2. With large blocks, this severely alters performance of renkos.
In this case you can expect similar results only when the starting dates for the data series are the same.

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MAtricks
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Re: Renko bar 'starting' values

Postby MAtricks » 13 Nov 2014

Break on Session is not a viable option in most cases because of how it alters the blocks.

1. Every day starts on a new price and I like to know which price interval my blocks will break on
2. With large blocks, this severely alters performance of renkos.
In this case you can expect similar results only when the starting dates for the data series are the same.
Yes, but that's exactly the issue. The dates rarely can be the same. And in the futures industry, we have contract rolls quite often which makes things difficult to back-test when the charts change with every roll.

I'm sure you see where I'm going with this.. I'm not trying to press the point, I'm just trying to enlighten the developers on our perspective as a user.

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 14 Nov 2014

Yes, but that's exactly the issue. The dates rarely can be the same. And in the futures industry, we have contract rolls quite often which makes things difficult to back-test when the charts change with every roll.

I'm sure you see where I'm going with this.. I'm not trying to press the point, I'm just trying to enlighten the developers on our perspective as a user.
That is the issue with the Renko concept itself, where each next brick is dependent from the previous, not with MultiCharts. We already have the options to overcome that or at least minimize the difference. The next step of improvements has been already mentioned above.

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Re: Renko bar 'starting' values

Postby MAtricks » 14 Nov 2014

This whole thread is a request for the feature which fixes the renko issue we're speaking of. And its an easy implementation.

Thank you for responding here. I'll give for now :) It has been obvious from day 1 that MC doesn't want to improve unique bar types.

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Henry MultiСharts
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Re: Renko bar 'starting' values  [SOLVED]

Postby Henry MultiСharts » 28 Jul 2015

We are currently evaluating possibility of building historical and realtime bars with resolution higher than 1 tick using OHLC values (instead of just Close value).
This has been implemented in MultiCharts 9.1 Beta 1.

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Re: Renko bar 'starting' values

Postby MC_Prog » 28 Jul 2015

Hi. For the record, could you describe the algorithm now being used for Renko as based on OHLC for resolutions higher than 1t?

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Henry MultiСharts
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Re: Renko bar 'starting' values

Postby Henry MultiСharts » 10 Aug 2015

Hello MC_Prog,

New option has been added to Format->Instrument->Settings tab->Renko->Input->Close or OHLC.
Close = Old behavior
OHLC = New behavior
When Close is selected - the Renko bricks are formed between the close prices of the selected resolution.
When OHLC is selected - the Renko bricks are formed between the Open-High-Low-Close price values of the bar of the selected resolution. It is like a bar magnifier for building Renko that provides more detalization on historical data.


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