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UniRenko, Universal Renko Bar Type
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Created: by monpere Attachments:101

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UniRenko, Universal Renko Bar Type

  #11 (permalink)
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aligator View Post
@monpere,

Thanks a bunch for your great invention. My first trade this morning using UniR was good trade.

My question, if I may please, is whether it is possible to write a little indicator for projection of the next bar open (something similar to the one one range bars). I am not quite familiar with the construct of UniR bars.

Much appreciated for sharing.

Cheers!


IMO the "AligatorRenkoRangeTargetByThatManFromTexas"- Indicator works to show the projected close of the current bar. The next bar will open when price goes up/down 1 tick above/below these values.

Edit: I just noticed the "AligatorRenkoRangeTargetByThatManFromTexas" doesnt show the correct values for all settings. I think I was lucky it worked with the settings (T2R6O2) I tried the last days. With (T2R4O2) it seems not to work. Perhaps a programmer can look into this.

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@monpere
When you enter on reversal bars, do you enter 1 tick above/ below the reversal bar (stop market order)?
Or do you use Stop Limit Orders with an offset of -1, so when price ticks 1 tick above/below the reversal bar (new candle is printed) a limit order is entered with the value of the close of the reversal bar?
But in fast markets you wont get a fill sometimes.

Thanks for sharing this indicator!

Attached Files
Register to download File Type: zip AligatorRenkoRangeTargetByThatManFromTexas.zip (4.5 KB, 368 views)

Last edited by TempletonPeck; November 22nd, 2012 at 03:07 AM.
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  #12 (permalink)
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MWinfrey View Post
Yes that's exactly correct that price went 2 ticks which by the definition I've been using causes a new bar to be printed. By my understanding of Renko, if using a 2 tick renko brick, price only has to go 2 ticks to paint a new bar, not 3.

I've used the following link as the definition of renko...
Renko Chart Definition | Investopedia

The phrase providing the actual definition is "A renko chart is constructed by placing a brick in the next column once the price surpasses the top or bottom of the previous brick by a predefined amount." I've always interpreted predefined amount to be the brick size. So, in our example, every price change of 2 ticks causes a new brick to be printed. Also, I've evaluated a number of variations of the renko brick and believe all that I've seen to comply with that. However, this could be one of those situation where I wake up and find out that I've been operating all this time under a false interpretation but I don't think so.

Depending what do you need it for but the way unirenko calculates new bar is my preferred way for automated strategies - it does a better job at denoising (it creates a new bar once the move in the direction is confirmed)

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  #13 (permalink)
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If anyone still wants to have the behavior of creating new bar on "touch" as opposed to on "exceed" the change in the code should be quite straightforward. Just replace the following lines (54,55):

 
Code
                            
maxExceeded  bars.Instrument.MasterInstrument.Compare(closebarMax) > true false;

minExceeded  bars.Instrument.MasterInstrument.Compare(closebarMin) < true false

With:
 
Code
                            
maxExceeded  bars.Instrument.MasterInstrument.Compare(closebarMax) >= true false;

minExceeded  bars.Instrument.MasterInstrument.Compare(closebarMin) <= true false
Can't test it right now but that should be it.

BTW Thanks @monpere for the bar type - I used similar implementation of my own but I like yours even better

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  #14 (permalink)
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Could you expose this property to the user so that it can be set in the user interface?
New bar on touch: True/False


gregid View Post
If anyone still wants to have the behavior of creating new bar on "touch" as opposed to on "exceed" the change in the code should be quite straightforward. Just replace the following lines (54,55):

 
Code
                            
maxExceeded  bars.Instrument.MasterInstrument.Compare(closebarMax) > true false;

minExceeded  bars.Instrument.MasterInstrument.Compare(closebarMin) < true false

With:
 
Code
                            
maxExceeded  bars.Instrument.MasterInstrument.Compare(closebarMax) >= true false;

minExceeded  bars.Instrument.MasterInstrument.Compare(closebarMin) <= true false
Can't test it right now but that should be it.

BTW Thanks @monpere for the bar type - I used similar implementation of my own but I like yours even better


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  #15 (permalink)
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trendisyourfriend View Post
Could you expose this property to the user so that it can be set in the user interface?
New bar on touch: True/False

It could be done but I don't remember how many parameters are exposed by NinjaTrader for bar types.
UniRenko already uses: Value, Value2, BasePeriodValue so the complication may be there are no other fields that could store/expose this information

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  #16 (permalink)
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trendisyourfriend View Post
Could you expose this property to the user so that it can be set in the user interface?
New bar on touch: True/False


gregid View Post
It could be done but I don't remember how many parameters are exposed by NinjaTrader for bar types.
UniRenko already uses: Value, Value2, BasePeriodValue so the complication may be there are no other fields that could store/expose this information

It can be done. I experimented and evaluated with this idea, and even as a scalper I concluded that it is of little value overall. I don't believe that on-touch, or exceeding the defined range by 1 tick should really make or break a trader's trading method. If it does, I would look at the merit of that trading approach itself. But if there's enough demand for this feature, I can include it.

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  #17 (permalink)
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Woah! I sweated and stomped, and huffed and puffed my way to the top of the mountain, and I guess I should've planted my flag when I had the chance

Or waited a month or so to save the effort...

Thanks for posting this, @monpere, I'm psyched to download it and check out the code.

best,
RK

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  #18 (permalink)
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is there some way I can get this ?
I am not an elite member and I exclusively use renko bars.
This looks very interesting.

thanks
shane

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  #19 (permalink)
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shanemcdonald28 View Post
is there some way I can get this ?
I am not an elite member and I exclusively use renko bars.
This looks very interesting.

thanks
shane

I think you got 2 choices.

- become an elite member
- go to ninjatrader forum Links and Downloads Manager - NinjaTrader Support Forum

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i found it on ninjatrader.com
thanks so much !
it looks very promising for my automated strategies so far !

shane

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