min renko

[tonynt]

Hello,

I switched from Range Bars to Renko Bars. It seems that my logic to place the stop 3 ticks below the min of the last 3 bars do not work

double stop1=MIN(Low, 3)[0] - (3*TickSize);

Also when changing to double stop1=MIN(Close, 3)[0] - (3*TickSize); this does not work and I´m stopped out at higher price than close of last 3 bars.



Thank you
Tony

[NinjaTrader_CalH]

Tonynt,

Thank you for your post.

Are you running this in backtest or realtime?

Are you printing out the values from your strategy so you can see where they are being set to?

[tonynt]

Hello,

thank you for your reply.

I run this realtime.

And no, I do not print out the values. I see the values of the stop order in the orders tab, no(?)

Thanks
Tony

Tonynt,

Thank you for your post.

Are you running this in backtest or realtime?

Are you printing out the values from your strategy so you can see where they are being set to?

[NinjaTrader_CalH]

Tonynt,

Where is it placing the orders in relation to the values you are setting for it?

Can you provide some screenshot examples of what you are seeing?

[tonynt]

Hello,

thank you for your reply. Attached is a screenshot of FDAX with 2 entries.

First trade I took the long entry at price of 9022,0 and the stop was placed at the red horiz. line and stopped out at 9018.5 (that is the close of the bar but not 3 ticks below.)

The other trade was the entry at 9016,5 and the stop was at 9012. The low of the bar is 9012.50.So the stop should be 9011.

As this works with my rangebars I changed from low to close (however, low or close should be the same in the renko). And the stop should simply be 3 ticks below the min of the last 3 bars. But this doesnt work.

(To solve this another way I thought to change the stop-coding to range bars but this makes now sense as I use different range/renko sizes referring the instrument as you might know that ES moves different as TF....)

Then I changed coding again to ctlow=MIN(Low, 3)[0] - (3*TickSize);

In the attached screenshot "stopout" you can see the entry at 9037.5 and the stop out at 9035,0. But the stop should be 3 ticks below the low of the last 3 bars, no?

Thanks
Tony

Tonynt,

Where is it placing the orders in relation to the values you are setting for it?

Can you provide some screenshot examples of what you are seeing?

[koganam]

Hello,

thank you for your reply. Attached is a screenshot of FDAX witrh 2 entries.

First trade I took the long entry at price of 9022,0 and the stop was placed at the red horiz. line and stopped out at 9018.5 (that is the close of the bar but not 3 ticks below.)

The other trade was the entry at 9016,5 and the stop was at 9012. The low of the bar is 9012.50.So the stop should be 9011.

As this works with my rangebars I changed from low to close (however, low or close should be the same in the renko). And the stop should simply be 3 ticks below the min of the last 3 bars. But this doesnt work.

(To solve this another way I thought to change the stop-coding to range bars but this makes now sense as I use different range/renko sizes referring the instrument as you might know that ES moves different as TF....)

Then I changed coding again to ctlow=MIN(Low, 3)[0] - (3*TickSize);

In the attached screenshot "stopout" you can see the entry at 9037.5 and the stop out at 9035,0. But the stop should be 3 ticks below the low of the last 3 bars, no?

Thanks
Tony

Thanks
Tony

That is the abiding problem of Renko Bars. What you see is not what you get. Renko does not show the travel of price; just a nice manufactured bar that depends on a quantum of relative movement from the previous close. So the nice picture of the low or high of the bar, very often (i.e., except in the middle of strong established trends), is not the extent of travel of price. Ergo, your nice picture is fake, and great at showing trading genius; the reality is very different.

Here is another discussion of more or less the same point: http://www.ninjatrader.com/support/f...ighlight=renko

Searching the forum for the word "Renko" would probably bring you a list of many posts that make the same point, more of less.

[tonynt]

Hello koganam,

thank you for your reply. I know that the renkos do not show where the low or the high of a bar might have been. And this is not the issue.

But the close is the close and the low is the low. So, the entry should be working at a close of the renkobar and a stop should be possible x-ticks below the low or high (open or close) of the renkos.

No? Please correct me if I´m wrong.

Thanks
Tony

[koganam]

Hello koganam,

thank you for your reply. I know that the renkos do not show where the low or the high of a bar might have been. And this is not the issue.

But the close is the close and the low is the low. So, the entry should be working at a close of the renkobar and a stop should be possible x-ticks below the low or high (open or close) of the renkos.

No? Please correct me if I´m wrong.

Thanks
Tony

Unfortunately, no. That is the point: the low of the Renko bar does NOT necessarily show the low of the price during the time covered by the bar. Moreover, your own first 2 sentences of the reply are contradictory. You cannot in one breath say: "I know that the renkos do not show where the low or the high of a bar might have been", and then claim in the next breath: "... the low is the low."

Let us use an example. Let us use an 8-tick block, and assume that the last bar was an UpBar. From the rules of the Renko construction, that means that a reversal bar would have to see price close 16 ticks below the previous close, in order to construct a new bar (reversal), or 8 ticks above the last bar for a continuation bar. Now assume that the price retreats the maximum (non-qualifying reversal amount), of 15 ticks, then resumes and closes 8 ticks above the bar to close a qualifying continuation bar. That is a total travel of 23 ticks to create a new 8 tick UpBar. It will show up as a single 8-tick UpBar on the chart, but it travelled 7 ticks below the previous bar. In other words, that nice continuation bar actually broke the low of the previous bar by 7 ticks, and yet is shown on the chart as having a low 15 ticks higher, at the close of the previous bar! So no, the low is NOT necessarily the low. If your stop was as many as 6 ticks below the previous bar, it is guaranteed to have been traded through and, therefore, been filled, and yet the chart shows a continuing uptrend bar.

Hence the only way to reflect the reality of price movement in Stop Orders relative to an 8-tick Renko chart, would in fact be to have the stop 10 ticks away from the open of the bar. That would be the size of the bar block + 2 ticks, to account for chart mechanics, which would dictate that the price actually be one tick below the reversal point before the bar would be drawn, an action which would trigger a Stop that is placed 1 tick below the Renko artificial extreme.

This is easy to see. Just determine the time taken by the Renko bar, then look at a minute chart, and box that time off, to see the real low reached in that time slot.

What does this mean in actionable terms? Use Renko to qualify the trend, and trade off something that shows you the truth of price movement. After all, as demonstrated above, Renko bars may lose as much as 66% of the price information: hardly a reason for believing what one sees. Would you really believe someone, who could be lying up to 66% of the time? Then why believe a chart that does the same?

[tonynt]

Hello koganam,

You are right of course and I´m very sorry having translated wrong. I meant close is close and open is open (but translated without controlling to "low is low"). And of course you are right that this is contradictory to what I wrote before. Take my excuses for your time to explain again please.

And you are also right in my opinion about "quality" or "truth" of renkobars. (but there are some reasons why I would try to use it for determining the entry)

But referring to the close - and this is what I meant but because of one incorrect line (low..) this got lost:

Isn´t it possible to have the stop x ticks below close or x ticks below lowest close of last 3 renko bars?

Thank you!
Tony

Unfortunately, no. That is the point: the low of the Renko bar does NOT necessarily show the low of the price during the time covered by the bar. Moreover, your own first 2 sentences of the reply are contradictory. You cannot in one breath say: "I know that the renkos do not show where the low or the high of a bar might have been", and then claim in the next breath: "... the low is the low."

Let us use an example. Let us use an 8-tick block, and assume that the last bar was an UpBar. From the rules of the Renko construction, that means that a reversal bar would have to see price close 16 ticks below the previous close, in order to construct a new bar (reversal), or 8 ticks above the last bar for a continuation bar. Now assume that the price retreats the maximum (non-qualifying reversal amount), of 15 ticks, then resumes and closes 8 ticks above the bar to close a qualifying continuation bar. That is a total travel of 23 ticks to create a new 8 tick UpBar. It will show up as a single 8-tick UpBar on the chart, but it travelled 7 ticks below the previous bar. In other words, that nice continuation bar actually broke the low of the previous bar by 7 ticks, and yet is shown on the chart as having a low 15 ticks higher, at the close of the previous bar! So no, the low is NOT necessarily the low. If your stop was as many as 6 ticks below the previous bar, it is guaranteed to have been traded through and, therefore, been filled, and yet the chart shows a continuing uptrend bar.

Hence the only way to reflect the reality of price movement in Stop Orders relative to an 8-tick Renko chart, would in fact be to have the stop 10 ticks away. That would be the size of the bar block + 2 ticks, to account for chart mechanics, which would dictate that the price actually be one tick below the reversal point before the bar would be drawn, an action which would trigger a Stop that is placed 1 tick below the Renko artificial extreme.

This is easy to see. Just determine the time taken by the Renko bar, then look at a minute chart, and box that time off, to see the real low reached in that time slot.

What does this mean in actionable terms? Use Renko to qualify the trend, and trade off something that shows you the truth of price movement. After all, as demonstrated above, Renko bars my lose as much as 66% of the price information: hardly a reason for believing what one sees. Would you really believe someone, who could be lying up to 66% of the time? Then why believe a chart that does the same?

[koganam]

Hello koganam,

You are right of course and I´m very sorry having translated wrong. I meant close is close and open is open (but translated without controlling to "low is low"). And of course you are right that this is contradictory to what I wrote before. Take my excuses for your time to explain again please.

Well, even there, not quite. The Close is always the Close; there is no argument there. However, the Open shown by a Renko bar is not necessarily the Open, because on a reversal bar, the Open shown by the Renko will be the low of the previous bar, which is the block-size away from the Close of the previous bar and (in a liquid market), essentially the real open of the new bar (which is painted as a reversal bar by Renko).

Isn´t it possible to have the stop x ticks below close or x ticks below lowest close of last 3 renko bars?

Thank you!
Tony

You can have your Stop anywhere that you want to place it. You just have to remember that because of the missing information created by the Renko bar, that Stop can be triggered and not be clearly shown as to why by the Renko candles.

Remember that any Renko bar could be ignoring up to 66% of the price travel during its construction. If your Stop is anywhere within that (not shown) action, Mr. Market will say: "Wham, bam, thank you ma'am!" and there goes your trade.

[tonynt]

Hello koganam, hello NT-support,

I tested and compared Range and Renko Bars.

In my opinion the close of the renkobars is "correct". While low and high (maybe also the open - but this is not important) do not appear correctly (of course be definition).

But what I would like to get confirmed is if one can work with the close of the renko same as with a range bar as the range bar is built after certain price-levels and also the renko is built when the price goes certain price-levels (ticks) from his open.

So with entry at close[0]>open[0] one can get a correct entry at close of the bar and with real price(?)

Can you confirm this or am I wrong?

Thank you!
Tony

[koganam]

Hello koganam, hello NT-support,

I tested and compared Range and Renko Bars.

In my opinion the close of the renkobars is "correct". While low and high (maybe also the open - but this is not important) do not appear correctly (of course be definition).

But what I would like to get confirmed is if one can work with the close of the renko same as with a range bar as the range bar is built after certain price-levels and also the renko is built when the price goes certain price-levels (ticks) from his open.

So with entry at close[0]>open[0] one can get a correct entry at close of the bar and with real price(?)

Can you confirm this or am I wrong?

Thank you!
Tony

I said this in my previous response: "The Close is always the Close; there is no argument there."

That means that yes, one can rely on the Close to be correct. That is the only thing about Renko that is always correct: all of OHL as drawn by Renko may be a lie.

[RJay]

Hello koganam, hello NT-support,

I tested and compared Range and Renko Bars.

In my opinion the close of the renkobars is "correct". While low and high (maybe also the open - but this is not important) do not appear correctly (of course be definition).

But what I would like to get confirmed is if one can work with the close of the renko same as with a range bar as the range bar is built after certain price-levels and also the renko is built when the price goes certain price-levels (ticks) from his open.

So with entry at close[0]>open[0] one can get a correct entry at close of the bar and with real price(?)

Can you confirm this or am I wrong?

Thank you!
Tony

Hi Tony,

I'm going to have to side with Koganam for the most part with NinjaTraders Renko bars.

Bar High and Bar Low are not useful as they are not displayed when bar closes in the direction opposite the High or Low. Bar Open values get changed to new values on bar close when a reversal bar is created.

I did create a Classic Renko bar product with wicks that has correct true Open, High, Low,and Close values for each bar with no repainting.

For more info, use the link below.

http://www.innovative-trading-solutions-online.com/new/ninjatrader-renkolive-bar-chart/

RJay