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Best Renko Bar? - better vs median vs sbs vs wicked
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Best Renko Bar? - better vs median vs sbs vs wicked

  #171 (permalink)
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SC Support Native Renko Now

For those interested, Sierra Charts now supports native Renko bars instead of using a study. The performance improvement is huge. They are generated using tick based data, and all volume/bid/ask/delta studies are perfectly accurate with Renko bars. They are also adding new support in next rev for keeping track of the true open/close for each bar, and a new Renko Brick draw style. It does use zero volume bars for filling.

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  #172 (permalink)
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aslan View Post
There seems to be a perception that zero volume bars or gap filling is a bad thing. Personally, I think they are just fine as they contribute to the visual aspect of the Renko chart. If you were to put other indicators on a Renko chart, filling the gap can be good or bad depending what kind of behavior you want. Filling the gap can be good because it allows an indicator to normalize faster (i.e. an avg) or by the same token bad because it lets it normalize faster (i.e. want to maintain distance for longer period of time). Depends what you are trying to get out of it.

Of course you need to deal with that from a backtesting perspective, and unfortunately it appears Ninja no longer deals with zero volume bars.

Hi @aslan,

I agree, zero volume bars make perfect sense at times. As you have stated is you can crash NT7 with Strategies atleast if you trade against a 0 volume bar. You need to filter for this at the start of the OnBarUpdate function. I have requested they better handle this in their next release, we will see if that makes it in....

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  #173 (permalink)
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A lot of people talk about 0 volume bars and incorrect data, is all this refering to back testing renko bars or live? Aslan I use wicked renko and notice the body of the bar is 10 ticks on a 10 tick chart, on median renko the body on a 10 tick chart is 15 ticks, not counting the wicks. I just want to use a renko bar for live trading, I do not care about what happened yesterday.

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  #174 (permalink)
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Another 0 vol bar issue

Not to keep kicking this subject to death, but one thing that just came to mind is impact upon indicators.

If you have a SMA(10), and a Renko chart is ranging in a small band and then jumps in price filling 9 bars with 0 volume to get to the new price level of maybe one contract, you SMA will likely be the average of the starting bar and ending bar price. Although this is an accurate calculation, since 9 bars had no volume, including them in the MA almost seems incorrect! It seems like a more appropriate SMA(10) value would be about 1/10th of the distance down from the range toward the new single bar.

Just something to think about when dealing with Indicators blindly (both discretionary and automatic trading). I think the true solution is to not trade during these very low volume times, increase the bar size or realization that a SMA move off hours doesn't mean the same thing as during high volume trading hours.

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  #175 (permalink)
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NJAMC View Post
Not to keep kicking this subject to death

..dead and cremated for at least 2 years

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  #176 (permalink)
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..dead and cremated for at least 2 years

That explains the Ash on my feet...

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  #177 (permalink)
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NJAMC View Post
Not to keep kicking this subject to death, but one thing that just came to mind is impact upon indicators.

If you have a SMA(10), and a Renko chart is ranging in a small band and then jumps in price filling 9 bars with 0 volume to get to the new price level of maybe one contract, you SMA will likely be the average of the starting bar and ending bar price. Although this is an accurate calculation, since 9 bars had no volume, including them in the MA almost seems incorrect! It seems like a more appropriate SMA(10) value would be about 1/10th of the distance down from the range toward the new single bar.

Just something to think about when dealing with Indicators blindly (both discretionary and automatic trading). I think the true solution is to not trade during these very low volume times, increase the bar size or realization that a SMA move off hours doesn't mean the same thing as during high volume trading hours.


You're certainly right about that. The flip side to the gap up you describe with no volume would be during a fast move with volume. In this case, the renko would segment the move independent of time whereas a time based bar might not. Many times this is the exact reason one might want to use a renko based indicator; To get you into a price move without waiting until its too late to trigger based on an arbitrary time bar. So your comment to use carefully or not at all during low volume/off hours markets is a good way to adjust for this.

The kicking continues...

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  #178 (permalink)
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Anyway Ninja has always had some volume issues on some of their bars as reported by Volume[0]

Here's a demonstration that
  • Ninja Renko, 3LB are flawed
  • Ninja PnF, Second and Tick is not
  • Better Renko is not.
I use the GomVolTest using NinjaTickFile, it shows the difference and cumulated difference between Vol[0] and the volume read from the file.

Attached Thumbnails
Best Renko Bar? - better vs median vs sbs vs wicked-renko.png   Best Renko Bar? - better vs median vs sbs vs wicked-3lb.png   Best Renko Bar? - better vs median vs sbs vs wicked-pnf.png   Best Renko Bar? - better vs median vs sbs vs wicked-second.png   Best Renko Bar? - better vs median vs sbs vs wicked-ticks2.png   Best Renko Bar? - better vs median vs sbs vs wicked-betterrenko2.png  
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Register to download File Type: cs GomVolTest.cs (6.3 KB, 25 views)
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  #179 (permalink)
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gomi View Post
Anyway Ninja has always had some volume issues on some of their bars as reported by Volume[0]

Here's a demonstration that
  • Ninja Renko, 3LB are flawed
  • Ninja PnF, Second and Tick is not
  • Better Renko is not.
I use the GomVolTest using NinjaTickFile, it shows the difference and cumulated difference between Vol[0] and the volume read from the file.

I am always curious, have you talked to @NinjaTrader Ray about this stuff, and if so, what is his response?

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  #180 (permalink)
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No, I did not talk to Ray.

But I did try to open a ticket on the support forum
Volume total seems to depend on chart settings - NinjaTrader Support Forum

I provided them with a detailed scenario that didn't even need any Gom stuff
NinjaTrader Support Forum - View Single Post - Volume total seems to depend on chart settings

Try plotting in console the sum of volume of last 10 days in the ES

Here are my results :
10 000 Volume chart : 12590377
150 tick chart : 12590377
30 second chart : 12590287

Renko 2 chart : 12592723 , all chart is 2367 bars long
Renko 1 chart : 12608305 , all chart is 17949 bars long.

As you can see there is a mismatch in Renko volumes as compared to other volumes. Now if we assume each volume bar in Renko charts is off by 1, we could estimate corrected volumes :

Renko 2 chart : 12592723 - 2367 = 12590356
Renko 1 chart : 12608305 - 17949 = 12590356
So it could hardly be clearer that there is a 1 volume offset on each Renko bar....

But surely it was not convincing enough, because no ticket was open..

"Your test doesn't show that extra volume is added to renko 1. It is is difficult to line up so that you are comparing the exact same data across these different series. The time stamp of the renko bars is not even and this can lead to viewing different data even when all the parameters are the same. "

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