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UniRenko, Universal Renko Bar Type
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UniRenko, Universal Renko Bar Type

  #1 (permalink)
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UniRenko, Universal Renko Bar Type

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.

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  #2 (permalink)
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Hi @monpere

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"

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trendisyourfriend View Post
Hi @monpere

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"

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" *


Last edited by monpere; November 20th, 2012 at 04:51 PM.
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@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.

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Thanks for sharing this with us all.

Mike

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MWinfrey View 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

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.


Last edited by monpere; November 21st, 2012 at 09:29 AM.
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monpere View Post
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 range in the opposite direction creating a new bar in the opposite direction, which is what is suppose to happen.

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.

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@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!

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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.

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.

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monpere View 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.

Quite alright. Now that I have clarification I can adjust.

Thank you...you always do such great work.

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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!

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.

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