PureLogikTrading | Trading Reviews and Vendors

futures.io - futures trading strategies, market news, trading charts and platforms

Trading Reviews and Vendors

Discuss and review vendors of commercial trading products, trading rooms and services, trading indicators or third-party paid add-ons



  #3 (permalink)

Elite Member
Madison, WI
Trading Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
aslan's Avatar
Posts: 614 since Jan 2010
Thanks: 343 given, 1,097 received

As the BetterRenko author, I was asked to look at this and comment. I have not done a demo (and probably wont), but will offer some opinions here based on the white paper.

Let me start by saying this is a nice white paper that lays out many of the issues and shows how you can use renkos and variations to look at price. They go on to talk about how their implementation is better.

Their implementation is better than standard renko and offers a number of features:

* they allow you to select which open you want to see (open to open vs open to close mode)
* allows a larger reversal brick size
* updates last bar intra bar
* dynamic brick size determination
* tick filtering
* consistent reference point determination

The problem is most of of those features have flaws:

* Open price - in the paper, they claim the next open is always the previous close. The problem is this is just not always the case. The next open is the next tick, regardless of price, after the previous bar closes. BetterRenko does this. This is a potential backtesting issue. BetterRenko separates the bar building from the display using a separate ChartStyle to display the bars.

* Larger reversal brick size - interesting, BetterRenko does not do this.

* Updates Intra Bar - this is an option, IMO you have to do this, and BetterRenko does.

* Dynamic Brick Size - could be interesting, but could be a real problem from a backtesting perspective depending what method is used to change the bricksize. BetterRenko does not do this.

* Tick filtering - this is something that is needed, but I generally think this is a platform feature, not part of the bar building process, unless you have to work around the platform implementation. BetterRenko does not do this.

* Consistent reference point - important IMO, so you can always load the same chart for a given day regardless of the starting date of the data set. The paper talks about this, but they don't really tell you how it is done. BetterRenko uses the simple approach of using the start of the session boundary, which is not perfect, but works well.

Overall, the implementation looks interesting, but I would not pay to use something that appears to be inferior to something you can get here for being an elite member.

Reply With Quote
The following 17 users say Thank You to aslan for this post:
Page generated 2019-04-24 in 0.06 seconds with 10 queries on phoenix