In this thread, I am posting my Universal Renko bar type implementation. I have been using it exclusively in my trading for a while now, and have had many requests for it. I wanted a more flexible Renko bar that could be customized in a particular way to fit my trading style, so I decided to make a bar type that allows the user to configure it more liberally to better suit their particular needs.
Basically the UniRenko bar, allows the user to choose when the bar closes in the direction of the previous bar (Trend), and when it closes in the direction against the previous bar (Reversal). So, you may choose for a new bar to form when the price has moved 5 ticks up from the previous close, or 10 ticks down from the previous close.
This allows you to tailor the bar in ways that hopefully may enhance your particular trading style. For instance, I am a reversal trader, entering on reversal bars, and putting my stop behind the entry bar. So, I have tested and chosen trend and reversal settings that minimize the size of reversal bars, and therefore minimize my stop loss sizes, while still producing clean sharp indicator patterns my trading method is based on.
Like most of the other advanced Renko bar types, the UniRenko bar open is artificial, so I consider it aesthetic only, and I do not use it in the bar size calculation. The bar calculations are based on the previous bar close. I personally like to place the open half way up the previous bar as I like the way the bars look with that setting. The tails on the bar show real prices. The bar should be backtestable if stops/targets are placed outside of the bar.
Because all the parameters are user selectable, and no aspect of the bar is derived from an arithmetic calculation, there should be no restriction on any bar parameter having to be odd or even, etc. Internally uses NT PeriodType.Custom5
I have hesitated to post this bar type before, as it can be configured to mimic some commercially available Renko bar types. I purchased some of those commercial bars myself, but they did not fully meet my needs. The purpose of this implementation is to provide traders with more flexibility, that hopefully with some experimentation may ultimately enhance their trading like it did mine.
This is my implementation of a Universal Renko bar type. It allows the user to choose when the bar closes in the direction of the previous bar (Trend), and when it closes in the direction against the previous bar (Reversal).
This allows you to tailor …
The following 246 users say Thank You to monpere for this post:
Thanks for sharing this bar type. I have a question regarding the NT PeriodType.Custom5 property. Is there an easy way to check if there is a potential of conflict before installing this bar type? Do we need to open every file in this folder: "...NinjaTrader 7\bin\Custom\Type"
The following user says Thank You to trendisyourfriend for this post:
I don't know of any other way. You can go to that folder and use the following command to find all the files that contain the string 'custom5': find /I "custom5" *
The following 3 users say Thank You to monpere for this post:
@monpere, I just noticed something that seems to differ from the definition of a renko brick. take a look at the blue circles in the picture. The wicks and sticks on those 3 examples are 2 ticks which by my understanding of a renko brick that a new brick should have been there instead of the wick or stick. Don't know if this is intended behavior or not but thought I'd mention it.
Thanks for sharing this with us all.
Mike
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I can't really count the ticks in the picture, but it looks like price moved 2 ticks from the previous close on these bars, failed to move one more tick to create a new bar, then turned around and breached the 4 ticks from the previous close in the opposite direction creating a new bar in the opposite direction, which is what is suppose to happen.
The following 11 users say Thank You to monpere for this 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.
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.
The following 3 users say Thank You to MWinfrey for this post:
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!
The following 3 users say Thank You to aligator for this post:
Given that this is not a standard Renko bar, I am not using the strict Renko definition that you provide. The rules are different. Maybe I should have used a different name for the bar type.
The following 7 users say Thank You to monpere for this post:
I thought about including a function call to get these values, but I thought it was simpler to include them in the bar displayed name. If you call Bars.ToString() you can get the trend and Reversal tick amount from the 'T2R4O2' part of the string. 'T2' is Trend 2 Ticks, 'R4' is Reversal 4 Ticks, 'O2' is Open offset 2 ticks, all measured from the previous close.
The following 27 users say Thank You to monpere for this post:
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" doesn´t 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.
@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 won´t get a fill sometimes.
Thanks for sharing this indicator!
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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)
The following 2 users say Thank You to gregid for this 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):
With:
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
The following 4 users say Thank You to gregid for this 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
The following user says Thank You to gregid for this post:
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.
The following 10 users say Thank You to monpere for this post:
@monpere, Thank you again for sharing this bar type. I made a couple changes to it that fits my needs and like it very much. I find myself custom bar type development challenged. So, your work made it much easier for me to make those changes. As a result, I built another automated strategy that starts forward testing today and this one looks better in back testing than the one I am trading live. Thanks again.
Mike
The following user says Thank You to MWinfrey for this post:
hi
unirenko very similar with momentumbartype from eman
* If investing gets too difficult for a seventh grader to understand, the system is needlessly complex
* Markets produce an enormous volume of information, much of which is redundant
* In every game and con there's always an opponent, and there's always a victim. The trick is to know when you're the latter, so you can become the former
The following user says Thank You to Jonson for this post:
@monpere thanks for the Uni its a great bar type for me..... I tried back testing and the bars are very very small and they dont plot correctly(I deleted all other indi;s off in checking for problem),before I start market replay the bars plot correctly but as soon as I start, speed doesnt matter issue occurs, is this bar type able to be back tested? as soon as I switch back to live trading bars are normal again, I ve tried testing default 2/2/4 setting and others nothing helps@MWinfrey I saw where you said that you back tested, suggestions
Here's a pretty cool thing you can do with the unirenko, linebreak charts based on renko. How cool is that? I wanted that ability when I was test driving BetterLineBreak.
The following 10 users say Thank You to MWinfrey for this post:
I think it's interesting that you would ask me that question especially considering all the experience you have. Regardless, the answer to your question is it depends on the market. Because the size of renko bricks are based on the vertical movement of price or range, different markets will present completely different when using the same settings across markets. If your issue is understanding how a renko brick is built, read this Renko Chart Definition | Investopedia. What that definition does not explain clearly is that the maximum range of a brick is (n * 3) -1, where n is the size of the body. So, if you are using a 4 tick renko brick, the maximum size that it can be is (4 * 3) - 1 = 11. Now in the case of the UniRenko it's a bit different. @monpere built them to comply with 4 * 3 = 12, which means the UniRenko requires 12 ticks in order to start a new bar.
So, now that I've assumed a few things as to why you're asking the question, I may be way off. But, I really can't give you a direct answer because of what I said. What I suggest is that you experiment with the settings for the markets you trade and come up with the ones that suit your desire. One thing to remember is that a renko brick is truncated at the session boundary. So, if you are trying to come up with some sort of daily brick or larger, you will have a bit of a problem doing this. In my opinion, renko bricks aren't suited to daily and larger unless you have an implementation of the renko that does not honor the session boundary.
The following 12 users say Thank You to MWinfrey for this post:
There are always new things to learn ... such as the "linebreak charts based on renko" idea in your post #25 and @plethora's screenshot in post #26 ... it just turns the UniRenko to something different. Thanks for the notes on Renko size derivation.
I'll surely experiment with some settings on the Euro (6E) instrument and see how they come up and behave.
Lolu
The following 4 users say Thank You to lolu for this post:
Ok is there a easy way for me to get a strategy analyzer for testing, honestly I understand what it means but have never asked anyone how it works. Pm me if you want so it doesnt clutter thread..
hi monpere
your chart type unirenko incorrectly displays extremes
here the comparison betterrenko vs unirenko
* If investing gets too difficult for a seventh grader to understand, the system is needlessly complex
* Markets produce an enormous volume of information, much of which is redundant
* In every game and con there's always an opponent, and there's always a victim. The trick is to know when you're the latter, so you can become the former
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 …
The following 2 users say Thank You to MWinfrey for this post:
Thanks much for sharing this Renko bar type. Couple of quick questions - If I wanted to add this bartype (Custom5) inside a multi-timeframe script, how would I call the function Add(...) ?
Also, is there a way to create a NoGap version of this chart type ?
thanks again for your contribution....
Thanks for sharing your new bar. For months I have been looking at various hybrid Renko bars and when I saw your they were basically what I had been considering using. I do have one question that you could help with. I have been trading Better Renko bars for the last 6 months and before finding yours really liked them. You do have the option of choosing a brick size with them such as 2/3/4 etc. Is there a way to make the brick on your new bar a little smaller so that the largest bar is not 6 ticks even when set to 2/2/4 your standard settings. I am sure that I have just missed something in the way you have them setup but first wanted to again thank you for sharing and then ask the question. Your help would be greatly appreciated.
The following user says Thank You to davidepalmer01 for this post:
With these new advanced renko bar types, remember that brick sizes are an illusion, since the open of the bars are artificially drawn, and especially with this bar type given the open can be placed where ever the user wants thereby affecting how large the bricks visually look. I guess the smallest brick you can get will be with the values T1R1O1. You can experiment with different values for the parameters to see what the resulting bars look like. Each value represent the number of ticks from the previous bar close for the particular parameter. In general the smaller the values used for each parameter the smaller the bars will be, and the more bars will be produced for each trading session. You can get some very weird looking bars depending on how creative you get with the values.
The following 6 users say Thank You to monpere for this post:
Correct. That is where the current bar close will be, that price must be exceeded in order for the bar to close, so that price may be touched several times before the bar closes. The open of the next bar will be 1 tick beyond that. I you want the marker to be where the next bar will open, then use TickOffset=1 in the UniRenkoBarCloses indicator.
The following 12 users say Thank You to monpere for this post:
Monpere,
thanks for the unirenko's! ... i was wondering is there a relatively easy way to take the UniRenkoBarCloses indicator and tweek it so it reads any bar type like Range bars Renko etc... i was trying to get it to work on a few of the different bar types like Rjays RangeNoGap bar but wasnt having much luck... thought this might be a good place to see if it has already been done.
thanks
This was written specifically for UniRenko bars. There are other indicators out there that work for range bars and perhaps other bar types. Here's one that I know about:
Plethora,
I like those indicators you have on the chart images you posted.
What are they ?
thanks
shane
I am having great testing results live with uni set to 8/8/16 on crude oil
It shows reversals very well.
Working great on trendline reversal and also on a rising ADX strategy. Both automated.
It shows the ADX lines very cleanly and smooth; perfect for autotrading.
Just have to figure out the profit targets and stop losses.
thanks
The following 2 users say Thank You to shanemcdonald28 for this post:
Looks like you can only open the current futures contract using this bar type. I rolled over to CL 02-13. If I try to open a CL 01-03 chart, I get a blank chart. Is this a fixable problem?
Just checking out your new bar type monpere. Very nice.
I'd also say it's great of you to post the download of this for others, even
though you could have kept it to yourself.
Three charts are enclosed.
I've used a RangeNoGap and a UniRenko that have the same number of
bars, plus or minus a couple. I think that doing that gives a decent comparison.
Recent activity of the YM is shown, much more clearly with UniRenko I think.
A moving average of one is overlaid to show S/R and general trend, as is my custom.
It seems that if the Tick Trend and Tick Reversal are made equal to one another it is
much easier to see what's going on from a discretionary stand point. It appears this is
not generally done however.
Making the Open Offset to anything other than 1 doesn't seem useful to me.
Last chart shows UniRenko with Tick Reversal about twice the size as Tick Trend.
It seems to distort what's going on. That is, from an aesthetic standpoint. I realize you
have your own system with your own UniRenko parameters of course.
The following 3 users say Thank You to stephenszpak for this post:
Balanced UniRenko chart (Tick Trend and Tick Reversal are equal)
and Unbalanced UniRenko chart (Tick Trend and Tick Reversal are not equal).
('balanced' and 'unbalanced' are just made up at this point)
Basically one wants to compare the oval of a given color on the left,
with the oval of a similar color on the right.
Maybe this one short time frame of the YM isn't enough to go by, but it
does seem that S/R is more clearly shown more often with the Balanced
Renko chart.
- Stephen
The following 3 users say Thank You to stephenszpak for this post:
I should have phrased this more clearly. I was just wondering if this single example, of
just a single trading day, is enough to draw a solid conclusion. It seems that keeping
the Tick Trend and Tick Reversal equal is the way to go for generic visual discretionary trading.
But more checking on that might be best.
Those that have a well developed system with Tick Trend and Tick Reversal unequal should
obviously keep doing what they're doing, since it's working.
- Stephen
The following user says Thank You to stephenszpak for this post:
Like many other NinjaTraders I am maddened by the often huge discrepancy between my backtest results and actual live result using NinjaTrader (due to the inter-dimensional, time warp, tick shift whatever that no one seems to be able to compensate for). At any rate, to work around this I am now programming my strategy’s using tick data along with GetCurrentBid()/GetCurrentAsk() so that I can get consistent results between backtesting and live. A problem I have using Renko bars is that in backtest my trade opens/closes on the specified renko bar open/close, while in live trading you can get significant differences due to the spread (Renko bar closes on the last Bid price but your live market order is placed at the Ask). I trade intra-day times with moderately high frequency and the difference between backtest and reality is large.
The question I have regarding your flexible UniRenko is this. Rather than your bars using the Close (last traded tick) would it be possible to re-program so that on each tick the bar could be built based upon the CurrentBid/CurrentAsk (user specifiable which to use for either an up bar or down bar). In this way the results I get when backtesting (provided I have historical Ask/Bid along with Last) should match precisely what I would have gotten when trading live.
I'm new to using Renko bars and so I might be way off base here, am I overlooking something inhererent with Renko? Does this idea have merit?
I was just playing around with UniRenko. I haven't found a way, as yet, to alter
the parameters of Open offset, Tick Trend and Tick Reversal to make price action
forecasting any easier. I'm keeping Open offset=1 TickTrend=4 and Tick Reversal=4
in the charts below.
I've got a total of 6 charts below. The charts that have the color coding of two colors
are just higher/lower closes. The charts that have the three colors, are bullish/neutral/bearish
closes, based on extremely short term moving averages. WMA=2 and SMA=2. The longer term
moving averages will, of course, add more delay. Which we try to avoid.
(This was done with PaintbarDoubleMA.Those moving averages are NOT displayed.)
It seems that using this basic color coding helps to see what's going on. Maybe I
just want it to be that way. So...anyone can comment on that. Especially those that want
to check out PaintbarDoubleMA or those that are already using it.
Post contains link to indicator (near the bottom):
I love your UniRenko Bars. I am just attending a NinjaTrader seminar by Robert Cherry of MicroTrends.UK.Co and they are using your UniRenko Bars for their demos. They are in the business of selling indicators.
I agree that the UniRenko Bar is fantastic. We have started using it to scalp with the settings of 1/1/4 instead of the std settings with great results. Very clear reversals, trend change and clarity. I think that it deserves a BM Award as well. Thx for sharing it with us.
David Palmer
The following 8 users say Thank You to davidepalmer01 for this post:
Just started looking at this bar type. Curious about what market(s) your scalping with those settings and if your using indicators or just price action.
Thank you,
Rick
"If you're going to panic during a trade............. panic early."
The following user says Thank You to trs3042 for this post:
hi
I also find that ratio works very well on unirenko
I am using 4/4/8 and 4/4/16 with great success on swing trades. Momentum oscillators like MACD work well on that setting for oil.
For gold, 2/2/8 is nice too.
I agree about the 1/1/4 ratio for clarity.
shane
The following 4 users say Thank You to shanemcdonald28 for this post:
This is something I've noticed. Have no idea if it is viable or not but seems to have potential. It is by no means a mechanical system. Need to make an assessment of the market to determine if it's moving well. Otherwise, as with most rule sets, consolidation areas can cause real issues.
You can see the market and UniRenko definition at the top of the chart.
The following 39 users say Thank You to MWinfrey for this post:
Hello Mike. Hope all is well with you. I was wondering if you would post the moving average your using with the UniRenko bars. I've just starting looking at these UniRenko bars and I like what your doing here.
Thank you,
Rick
"If you're going to panic during a trade............. panic early."
The following 6 users say Thank You to trs3042 for this post:
This is something I've noticed. Have no idea if it is viable or not but seems to have potential. It is by no means a mechanical system. Need to make an assessment of the market to determine if it's moving well. Otherwise, as with most rule …
The following 4 users say Thank You to MWinfrey for this post:
This is something I've noticed. Have no idea if it is viable or not but seems to have potential. It is by no means a mechanical system. Need to make an assessment of the market to determine if it's moving well. Otherwise, as with most rule …
The following 3 users say Thank You to MWinfrey for this post:
Just checking out this bar type a little more. I think everyone here already realizes how it works.
It seems that having the Open Offset set at 1 gives the most accurate chart.
- Stephen
The following 2 users say Thank You to stephenszpak for this post:
@monpere Really like you bar type and I am trying to use it an indicator that is multi timframe indicator. Can this bar type be used in a BarsArray style. I am running into an issue added it to the MTF indicator and am seeking some help
That bar type is Custom6 in my configuration
I have tried some of the following combinations
Add(PeriodType.Custom6, 4,2,12 );
or
Add(PeriodType.Custom6, T2R12O4 );
Thanks in advance.
The following 2 users say Thank You to revtrader for this post:
Because the NT Add() method accepts one integer argument for the bar period, the additional user parameters necessary to customize the bar cannot be specified. Currently you can specify the Trend parameter as the 2nd argument in the Add() method, but the Reversal and Open parameters will be defaulted.
If/When I get some time this week, I will add some code to allow specifying all the bar parameters in one argument, so that the bar data can be fully specified in the Add() method.
The following 3 users say Thank You to monpere for this post:
To support Muti TimeFrame indicators/strategies using the Add() method, added an alternative way to specify all bar specs in the 'Tick Trend' parameter. You can now alternatively specify each parameter as 3 digits in the Data Series window 'Tick Trend' parameter or Add() method 'Period' parameter. For example to specify TickTrend=4 , TickReversal=8, OpenOffset=2 or (T4R8O2) then specify: 'Tick Trend'=004008002 in Data Series window, or Add(PeriodType.custom5, 004008002);' in your MTF code. The normal way of specifying the parameters will still work as well.
This is my implementation of a Universal Renko bar type. It allows the user to choose when the bar closes in the direction of the previous bar (Trend), and when it closes in the direction against the previous bar (Reversal).
This allows you to tailor …
The following 11 users say Thank You to monpere for this post:
I saw eailier an indicator that would allow you to be notified when the unirenko goes from red to green or green to red and can not find it now thanks alot for your help I like the way your unirenko bars look so far thanks alot
The following user says Thank You to artfuls for this post:
My first post is here on this thread. Am liking what I see - thanks to all all contributors. Now the painful part - how to I install the unirenko, I've imported it as a ninja script but don't see it anywhere when right clicking on a chart. I am a complete noobie with NinjaT so sorry to clutter the thread - but can someone point me in the right direction.
Seem to recall reading somewhere that Ninja requires a restart after loading a new data series type before it shows up, but don't quote me as I don't use any so have no proof.
Travel Well
The following user says Thank You to ratfink for this post:
hi
crude oil unirenko set to 6/18/6 and macd set to 10/22 and smoothing set to 5 or 7.
use croosover for entry and discretionary exit, or use crossover for exit.
this can be automated easily in Ninja Trader and works well
The following 10 users say Thank You to shanemcdonald28 for this post:
could you clarify which setting is which as the the uni renko does not list these settings in the same order when you go from the data series to the tab on the top left of the chart.
This is a great bar to take out the noise and it would be fab if members posted their preferred settings (along with their favorite associated indicators and settings) here for us all to try out.
I have found these to work very well without anything else. For instance these setting have totally eliminated the CL chop over the last couple of hours. How bad..?!
the combinations are endless so it would be great if people would gel a bit more and start posting their better settings and details.
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