Renko Questions  [SOLVED]

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StefanoSF
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Renko Questions

Postby StefanoSF » 21 Aug 2012

All,

Can someone help clarify the various Renko setting and which ones are preferable for system development.

Renko has the following settings:

1) Box Size: either "Fixed Price" or "Percent". This is a necessity and standard Renko variable. I get it.

2) Resolution: as Renko are not time based, shouldn't the Resolution default to Tick, with other setting as optional? The current default is "Hour".

3) Break On Session: Since Renko is time independent, how would one use this feature? Turning this feature on splits bars and affects Net Return on "System Strategy Reports". If checked can a system actually trade split bars?

4) Show "Phantom Bars": this feature smooths out a chart by filling in any gaps. Phantom Bars however cannot be traded as they have no volume associated with them. They are Phantom and never happened. So why is it that during Precise Backtesting they will take trades?

5) "Show Wick": from my understanding, this option should show a top and bottom price Movement wick on the Renko bar similar to a Candle Stick chart. However, when selected, the Renko boxes completely change from a standard fixed size to non fixed size and no wick is shown. I don't get it.

6) "Show real Open": This I don't get. Doesn't the creation of a new box show the real open? And why is this option only available with "Show Wick"? Can someone clarify this and explain how it would be used.

7) Renko Box Volume Data: this isn't a Renko setting, but cursoring over Renko boxes, trade volume data is not correct. Not matter what Renko Box size or Time Resolution is used, box trade volume is not correct on the Ask or Bid chart. How can one see Box trade volume to confirm liquidity?

8.) Backtesting Mode: Just to confirm, Extended Backtesting method needs to be used for precise trade execution reproduction.

- Stefano

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Re: Renko Questions

Postby TJ » 21 Aug 2012

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Re: Renko Questions

Postby StefanoSF » 21 Aug 2012

Hi TJ,

I'm very familiar with the Renko link above, however it doesn't address most of my questions: ie: backtesting, box volume, phantom bars, split bars, unconventional candle sticks in Renko Charts (which doesn't even make sense since the candles don't even adhere to Renko box sizes), why session breaks?

Most of the offered setting seem to turn a simple Renko chart into something other then a tradable Renko.

Maybe someone who is actually building systems around Renkos may offer some insight.

s-

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Re: Renko Questions

Postby TJ » 21 Aug 2012

I like Renko charts; I use a modified/enhanced version myself.
But personally I would not do autotrade off them (too many reasons to list here).
I would use a Renko simulator on a 1 min chart.

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Re: Renko Questions

Postby StefanoSF » 21 Aug 2012

TJ,

Thanks for the reply. Is slippage the main reason you would not autotrade Renko's? Or is the MC back testing unrealistic?

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Re: Renko Questions

Postby TJ » 21 Aug 2012

StefanoSF wrote:TJ,

Thanks for the reply. Is slippage the main reason you would not autotrade Renko's? Or is the MC back testing unrealistic?


Backtesting unrealistic has nothing to do with MultiCharts, it is the intrinsic nature of the Renko bar, or most range chart for that matter.

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Re: Renko Questions

Postby sptrader » 21 Aug 2012

TJ wrote:I like Renko charts; I use a modified/enhanced version myself.
But personally I would not do autotrade off them (too many reasons to list here).
I would use a Renko simulator on a 1 min chart.


******************************************************
TJ: You said that " I use a modified/enhanced version (of Renko) myself".. Do you do that in MC or a different platform ?

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Re: Renko Questions

Postby TJ » 21 Aug 2012

sptrader wrote:
TJ wrote:I like Renko charts; I use a modified/enhanced version myself.
But personally I would not do autotrade off them (too many reasons to list here).
I would use a Renko simulator on a 1 min chart.


******************************************************
TJ: You said that " I use a modified/enhanced version (of Renko) myself".. Do you do that in MC or a different platform ?


on MultiCharts... with a simulated Renko indicator.

here's an example:
http://www.tradersxchange.com/viewtopic ... renko#p880
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Re: Renko Questions  [SOLVED]

Postby Henry MultiСharts » 22 Aug 2012

StefanoSF wrote:2) Resolution: as Renko are not time based, shouldn't the Resolution default to Tick, with other setting as optional? The current default is "Hour".

The current default is the last used resolution. You can select the resolution you need from the drop down list.
StefanoSF wrote:3) Break On Session: Since Renko is time independent, how would one use this feature? Turning this feature on splits bars and affects Net Return on "System Strategy Reports". If checked can a system actually trade split bars?

All consecutive Renko bars are dependent from the previous bar. Renko data series is dependent from the first box. When “Break on session” is disabled – the data is plotted from the beginning (first bar on chart). When “Break on session” is enabled – Session Break is treated as data beginning.
This option has been introduced to keep the shape of the chart when plotting the chart with a different data range.
Orders can be filled on “Break on session” bars in realtime and backtesting. If you do not want to split the bars-disable “Break on session”.
StefanoSF wrote:4) Show "Phantom Bars": this feature smooths out a chart by filling in any gaps. Phantom Bars however cannot be traded as they have no volume associated with them. They are Phantom and never happened. So why is it that during Precise Backtesting they will take trades?

Regular Renko chart includes Phantom bars.
For backtesting engine these bars are not different from the other bars, strategy is calculated on phantom bars. If you disable the option Show "Phantom Bars" they would be hidden and the strategy will not be calculated on them.

StefanoSF wrote:5) "Show Wick": from my understanding, this option should show a top and bottom price Movement wick on the Renko bar similar to a Candle Stick chart. However, when selected, the Renko boxes completely change from a standard fixed size to non fixed size and no wick is shown. I don't get it.

Wicks will not be shown on chart until the style is changed to Candlesticks in Format->Instrument->Style->Chart type->Candlestick. That is possible that box size changes if you enable "Show real open".

StefanoSF wrote:6) "Show real Open": This I don't get. Doesn't the creation of a new box show the real open? And why is this option only available with "Show Wick"? Can someone clarify this and explain how it would be used.

When “Show real open” option is enabled then open of the real bar is used.
“Show real open” works only when Show wick is enabled. When Show wick is enabled open of the Renko Bar can be on the wick.
When Show Real Open is enabled - real open price is used for strategy/indicator calculation. Visually the box will be Box Size + distance to the open of this bar, if Open is on the wick.

If Show Real Open is disabled then Open on the wick is ignored and open of the Renko box is plotted (classical Renko). The studies applied to the data series will use Renko box open (not real open).
StefanoSF wrote:7) Renko Box Volume Data: this isn't a Renko setting, but cursoring over Renko boxes, trade volume data is not correct. Not matter what Renko Box size or Time Resolution is used, box trade volume is not correct on the Ask or Bid chart. How can one see Box trade volume to confirm liquidity?

This issue has been already fixed. Please install the fix from this post.

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Re: Renko Questions

Postby StefanoSF » 22 Aug 2012

Henry,

Thank you for clarifying all. Much clearer now.

s-


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