Renko Bars

[mon4not]

I completely agree with ninjamouse. Test any strategy using Renko bars with market replay first. It could save you in more ways than one.

RJay

So what is the reason that renko bars are so different than other time intervals? Can you elaborate...

[RJay]

So what is the reason that renko bars are so different than other time intervals? Can you elaborate...

mon4not,

Renko bars are more like an indicator than other bars types.

They represent a smoothed average of tick data.

They do not show all the price movements. only those greater than a specified value.

The last bar shown on the chart is not the current market price. It is only good at the moment the chart updates.

The current price could be ticks or points away from the last update.

This makes trading on Renko bars very hazardous.

RJay

[mon4not]

mon4not,

Renko bars are more like an indicator than other bars types.

They represent a smoothed average of tick data.

They do not show all the price movements. only those greater than a specified value.

The last bar shown on the chart is not the current market price. It is only good at the moment the chart updates.

The current price could be ticks or points away from the last update.

This makes trading on Renko bars very hazardous.

RJay

Thanks RJay. Agree. But in realtime when my CurrentBar (whether a 5minute or a 4Renko, etc) closes and there was a crossover, my strategy will triger an order at the open of the next bar in the same way whether is 5minute, 4Renko or 1hour chart. Right?

Now, if I have backtested both my 4Renko and the 5minute crossover strategy and the 4Renko is twice as profitable as my 5minute strategy, why should the 4Renko to behave differently from my 5minute in realtime? This is what you are claiming.

Is it maybe because you have very tight stops or is there a bug in NinjaTrader when backtesting renkos?

[stephenszpak]

'Renkos are a 3rd party add on.' They do not come with
NinjaTrader. I don't know if this is important or not but
I got this response from support once.

Renkos have a built in average which I think is nice.
If the price stays within a tight range no new bars
will form. Moving average crossover systems don't like
that at all. If the price immediately moves up/down
new Renkos will be created. So Renkos look good on
paper anyway. If the tick size is too large it can be
reduced to 1 or 2 ticks. Pretty close to what is really
happening, although not exactly of course.

[stephenszpak]

My understanding, it that at the instant a Renko
forms that closing value is valid.

[RJay]

Thanks RJay. Agree. But in realtime when my CurrentBar (whether a 5minute or a 4Renko, etc) closes and there was a crossover, my strategy will triger an order at the open of the next bar in the same way whether is 5minute, 4Renko or 1hour chart. Right?



Now, if I have backtested both my 4Renko and the 5minute crossover strategy and the 4Renko is twice as profitable as my 5minute strategy, why should the 4Renko to behave differently from my 5minute in realtime? This is what you are claiming.

Is it maybe because you have very tight stops or is there a bug in NinjaTrader when backtesting renkos?

mon4not,

Minutes charts update tick by tick.

Renko charts update only on bar close.

Test renko bars strategies with market replay or in real time only.

RJay

[stephenszpak]

mon4not,

Minutes charts update tick by tick.

Renko charts update only on bar close.

Test renko bars strategies with market replay only.

RJay

mon4not

A video is available about Market Replay here:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?VideoLibrary

Also check out the NinjaTrader Pdf file at page 284 plus a few
more pages for more info if necessary.
================================================== =======
RJay, thanks for the info about market replay.

[crotteveel]

Renko Versus Range Bars

I must have missed something. Could someone point out to me the difference between the Renko and Range bars.

[edsfreedom]

I must have missed something. Could someone point out to me the difference between the Renko and Range bars.

If you are price, and you just opened up, Renko will complete the new bar when either you reach brick size above your previous brick high, or you reach brick size below your previous brick low. Think of it as needing to increase/decrease with a fixed size, where continuing a trend takes brick size to complete a new bar, and reverse needing 2x brick size thus hiding a lot of sideway noise in between.

Range is when the new bar fulfills a certain range size before closing, thus the open close fluctuates as long as the high to low is range size. Renko always open to close in brick size.

[mrlogik]

Open a Renko Chart and a Range chart of the same tick size side by side during a live market. Watch the bars form. You will quickly see the difference.

[Mike Winfrey]

I import EdsRenko custom bartype and I really like those little fellas. I originally tried other traditional versions of the Renko bars and liked them as well but when trying to create a strategy and using the Strategy Analyzer, those traditional Renko bars behaved a bit wacky. Apparently because they didn't have the complete picture of what happens above and below the Renko bar, Strategy Analyer would plot the entries entries and exits incorrectly. That really caused some issues. However, with EdsRenko, they plot exactly correct. Plus I really like having the wicks and sticks. They are really awesome or at least they are so far. Will really be interested in seeing if my strategy takes the entries and exits in a live market the same as it does in the Strategy analyzer.

Thanks Ed...

Mike

[ninjamouse]

I import EdsRenko custom bartype and I really like those little fellas. I originally tried other traditional versions of the Renko bars and liked them as well but when trying to create a strategy and using the Strategy Analyzer, those traditional Renko bars behaved a bit wacky. Apparently because they didn't have the complete picture of what happens above and below the Renko bar, Strategy Analyer would plot the entries entries and exits incorrectly. That really caused some issues. However, with EdsRenko, they plot exactly correct. Plus I really like having the wicks and sticks. They are really awesome or at least they are so far. Will really be interested in seeing if my strategy takes the entries and exits in a live market the same as it does in the Strategy analyzer.

Thanks Ed...

Mike

Hi Mike

It wont make any difference, backtesting, forward testing will display AMAZING results, but try it in the real word. You'll lose TONS of money very quick. I like to use them as S/R.

[Mike Winfrey]

Hey NinjaMouse,

I know that is the case with Renko because you don't see all the ticks. You see the smoothed bricks. So, I fully understand you comment and caution. EdsRenko still conforms to the Renko bricks but you still see the wicks and sticks above and below the brick. Further you see brick forming on the current bar. So, what Ed has done is maintain the brick integrity while giving visibility of current price. That can be backtested and in fact I have and it works the same backtesting as it does forward testing AND the live market. Very cool.

Mike

[T2020]

If you are price, and you just opened up, Renko will complete the new bar when either you reach brick size above your previous brick high, or you reach brick size below your previous brick low. Think of it as needing to increase/decrease with a fixed size, where continuing a trend takes brick size to complete a new bar, and reverse needing 2x brick size thus hiding a lot of sideway noise in between.

Range is when the new bar fulfills a certain range size before closing, thus the open close fluctuates as long as the high to low is range size. Renko always open to close in brick size.

Ask this in a different thread before I found this one .
If I understand correctly each new bar plots a certain number of ticks above
or below the previous bars high or Low , but what's the rule / code in a block of bars like this where the highs and lows appear equal ? thx .

[jtrade]

Wicks

Ed or Roonius,

I wonder if either of you have solved the wicks issue, such that the Renko bar plots with its correct body plus just wick overhang(s) ?

Here's what it looks like in Tradestation :