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Best Renko Bar? - better vs median vs sbs vs wicked
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.
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....
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.
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.
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 :
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. "
