So here is my festive contribution to the forum. I know there are renko bits in matlab hanging around already, but they weren't what I wanted so I wrote my own. I used the ES tick data from this site to write the code, and they include "wicks" and proper treatment of "gaps".
The graph one draws a graph, but is only really useful to check the code you've written. I've commented out some moving averages and Donchian channels.
The Data one does the same function as the graph one, except that it produces an HLCO**** matrix so you can backtest easily.
**** check this... for the graph one you might need the financial toolbox because it in effect draws candlesticks with renko data. The candle code in matlab is HLOC. If you don't have the financial toolbox.. err... try and convert it to Octave? Im not into computer stuffz so you get what you see.
(I think when I run it I take out all the redundant ticks in SQL before importing that data into matlab, thats a beast of a task. you might wanna do that too).
As you can tell I'm not a programmer I just crack on until I get what I want, so it can probably be made quicker. but dont ask for any help because im not a programmer, I put it in notepad so you can see what the code is before you run it :-)