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Renko charts on non-tick data?
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Renko charts on non-tick data?

  #1 (permalink)
Elite Member
Seattle, WA
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: IB/IQFeed
Favorite Futures: ES
 
Posts: 20 since Dec 2010
Thanks: 27 given, 7 received

Renko charts on non-tick data?

Hi All,

I'm using MultiCharts, and exploring using renko charts with an automated strategy. They have an intuitive appeal for me.

I stumbled across this strategy, which uses renko charts in combination with other indicators (like MACD and parabolic SARs) to time entries and exits. I banged out some code in EasyLanguage, and it has some promising results.
Breakpoint Trades

However, one problem with MultiCharts is that although it supports renko charts, it only builds renko charts based on tick data. My goal is to trade on more of a swing-trading basis (i.e., holding securities for days or weeks, not minutes or hours). For something like that, using tick data is counterproductive -- I don't need that fine-grained of a resolution, and it's hard to get tick data going back more than a month for backtesting purposes.

Although I like MultiCharts quite a bit, I'm not wedded to it. Do any of the other major trading platforms (e.g., NinjaTrader, MetaTrader, eSignal, TradeStation, etc.) allow for true renko charts based on other time data, like minute or second data?

By the way, I'm familiar with the possibility of using adapter code, like TJ helpfully recommended in this forum post, to create a "fake renko" chart.
MultiCharts: Trading Software for Automated Trading and Backtesting • View topic - Renko on daily charts?

However, this has disadvantages, in that's just overlaying renko lines on an existing time-based chart, rather that constructing a true renko chart in a time-independent manner. I'd prefer to find a solution that allows for true renko charts, but without using tick data. Are there any suggestions? Many thanks in advance.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Madison, WI
 
Futures Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
 
aslan's Avatar
 
Posts: 614 since Jan 2010
Thanks: 342 given, 1,077 received


Sierra Chart has a new "Renko Chart Enhanced" study that builds bars on any underlying data period. Of course, you can lose a little accuracy, but for swing trading it is not an issue.

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  #4 (permalink)
Elite Member
Seattle, WA
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: IB/IQFeed
Favorite Futures: ES
 
Posts: 20 since Dec 2010
Thanks: 27 given, 7 received

That's great to know. I'll take a look at that. Thanks Aslan!

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  #5 (permalink)
Elite Member
Ocala, FL
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: Crude, Euro, ES
 
nillz123's Avatar
 
Posts: 44 since Aug 2010
Thanks: 25 given, 30 received

Ninjatrader does and there are programmers here that has made wicked renko/better renko chart templates to trade on as well. However, I have had problems with Ninjatrader and it frequent crashes.


Xyzzy View Post
Hi All,

I'm using MultiCharts, and exploring using renko charts with an automated strategy. They have an intuitive appeal for me.

I stumbled across this strategy, which uses renko charts in combination with other indicators (like MACD and parabolic SARs) to time entries and exits. I banged out some code in EasyLanguage, and it has some promising results.
Breakpoint Trades

However, one problem with MultiCharts is that although it supports renko charts, it only builds renko charts based on tick data. My goal is to trade on more of a swing-trading basis (i.e., holding securities for days or weeks, not minutes or hours). For something like that, using tick data is counterproductive -- I don't need that fine-grained of a resolution, and it's hard to get tick data going back more than a month for backtesting purposes.

Although I like MultiCharts quite a bit, I'm not wedded to it. Do any of the other major trading platforms (e.g., NinjaTrader, MetaTrader, eSignal, TradeStation, etc.) allow for true renko charts based on other time data, like minute or second data?

By the way, I'm familiar with the possibility of using adapter code, like TJ helpfully recommended in this forum post, to create a "fake renko" chart.
MultiCharts: Trading Software for Automated Trading and Backtesting • View topic - Renko on daily charts?

However, this has disadvantages, in that's just overlaying renko lines on an existing time-based chart, rather that constructing a true renko chart in a time-independent manner. I'd prefer to find a solution that allows for true renko charts, but without using tick data. Are there any suggestions? Many thanks in advance.


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