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Renko Atr

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    Renko Atr

    Hi,

    I know other platforms allow Renko charted to be automatticly determined based on ATR.

    Since this doesnt seem to be available in NT, does anyone know how I can do the manual calculation myself?

    #2
    Hello kyamato,

    Thanks for your post and welcome to the NinjaTrader forums!

    The ATR indicator will produce a plot whose value is the price difference of the average true range over the period selected. You can convert the price value to ticks by dividing the ATR price by price/tick. This would then be the average ticks to use in setting the brick size of the renko bar.

    Example: The Instrument CL (crude oil) price per tick is 0.01 ATR(14) of a 6 renko chart at this moment is 0.0744.

    0.0744 / 0.01 = 7.44 You could then set the brick size to be 7 (has to be a whole number).
    Last edited by NinjaTrader_DrewO; 01-15-2020, 01:27 PM.
    Paul H.NinjaTrader Customer Service

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      #3
      I am not sure I understand the formula. I have been using 8 tick Renkos on the ES, but lately the volatility has been producing too may whipsaws. The current ATR(40) for ES 8-tick Renkos is 2.1. How would I calculate the brick size for these bars if the price/tick is $12.50?

      What I did was decided I want equivalent volatility to the 5-min ES candlestick chart. Today the ATR(9) of the 5-min ES was approximately 20 points, so I set my brick size for 20 points x 4 ticks per point, or a brick size of 80 ticks. That method did create big bricks. I am using SiBacktestRenko bars, and a backtest to January, exiting my strategy at the close of the day, produced almost no trades until March, when the volatility increased. The only way I can figure to back test a Renko strategy under these conditions is to run a test for each week, or maybe each month, using the volatility settings for that timeframe.

      Thanks for clarifying the ES settings using the formula in the post, and any ideas you have regarding Renko back tests under wide volatility variations would be appreciated.

      Rick P.

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        #4
        Hello Rick,

        Thanks for your post.

        Renko bars are based on brick size where 1 brick equals 1 tick so it is easier to talk in ticks instead of dollars and points.

        In the case of the ES, 1 tick equals price movement of 0.25, so if your ATR value is 2.1 then 2.1 divided by 0.25 = 8.4 which you would round down to 8 (or could round up to 9 as it is your choice.

        I could not provide trading advise on what brick size to use.
        Paul H.NinjaTrader Customer Service

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