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Renko indicator


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Renko indicator

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  #1 (permalink)
 ursus 
Sydney NSW Australia
 
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Renko charts look great, but backtests on them as it is are not great for well known reasons. I was thinking about solving this by writing a Renko indicator and then try run the strategy based on it.

The basic idea is as follows.

I am going to use it on Forex pair AUDUSD. The brick size will be 50 pips (0.0050). The close of the first bar on chart = 0.7076. I am going to round it up to the nearest 100 pips. In this case - 0.7100. Plot horizontal line at this level.

The next Renko level is 50 pips above and below the starting point. If the close of the next bar is above 0.7150 then plot a new line at this level. The same for the next bar and so on, if the close above the previous Renko level by the size of the brick plot new line. Similar logic for the downside.

The next step is to test the strategy using the same steps. The entries should be base only on close breaking above/below the entry levels (two brick reversal in its simplest), not intrabar.

Does this make sense? Has anybody else done something similar?

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 Abusamjad91 
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Hey Urus,

I'm not sure if I caught on to what you are trying to accomplish. Anyways, I've thought of a similar indicator but for UniRenko bars. I'm a NinjaTrader user. My idea was to have like a staircase like outline that would follow the trend of the UniRenko bars as soon as the staircase stepped into the other direction enter into a position. My logic was this if there was one tick above/below the previous candle in the opposite direction, it would mean the trend has changed. Of course this would mean a perfect case of bars not giving false wicks and the only time the wicks were to show would be in the case of trend reversals. I wasn't able to move on with my project because I don't know how to code. I still think it is possible on a bigger timeframe and before market close.
Similar indicators I have found on here with the same kind of logic is the Seasnake with the equator line. If you can write NT scripts...please share.

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 ShadowFox 
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Here is what I did. A stop order on the previous bar close will allow you to add slippage. Need 1-2 ticks to match real trading results in a liquid market. Can be much more slippage under certain market conditions though like the open.


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 loantelligence 
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one of the problems with renko or unirenko and backtesting with NT.....is that NT assums the entry is the lowest part of the bar....in the case of renko or unirenko...the entry should be at the high part of the bar for a long and the low part of the bar for a short....if your bar size is 5....then you are off 5 to begin with...for a long you would be getting in at the top of the bar but NT takes the low part.....so I put slippage at the size of the bar....and get closer results to what actually would happen.....if I have an 8 for a size of bar then the slippage is set at 8.....and so on....try it...if you can make money with the slippage set at the size of the bar......you have something.........

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 wavey 
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Why not backtest on a High Fill resolution of 1 tick in NT8? Then you actually execute to a 1 last price tick series on the hood.

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 ursus 
Sydney NSW Australia
 
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loantelligence View Post
one of the problems with renko or unirenko and backtesting with NT.....is that NT assums the entry is the lowest part of the bar....in the case of renko or unirenko...the entry should be at the high part of the bar for a long and the low part of the bar for a short....if your bar size is 5....then you are off 5 to begin with...for a long you would be getting in at the top of the bar but NT takes the low part.....so I put slippage at the size of the bar....and get closer results to what actually would happen.....if I have an 8 for a size of bar then the slippage is set at 8.....and so on....try it...if you can make money with the slippage set at the size of the bar......you have something.........

I use Tradestation and MultiCharts, and I am not even sure these can test strategies based on Renko charts. The problems with using the actual Renko chart for trading or testing become obvious very quickly if you watch them intraday. That's why I think quazi-renko indicator should work better.

I guess Renko trading is in principle the same as swing trading - entry on lowest close + brick size, which can be pips, points or dollars.

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 loantelligence 
Syracuse, NY
 
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Shark Indicators has a Renko bar that shows you exactly where the price went.....you can either fill in the renkos bars or show exactly where the price went... they are called SIBacktest Renkos.....very precise....and I use them when back testing for best results.....

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