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Renko Bars Worth Using?


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Renko Bars Worth Using?

  #21 (permalink)
 iantg 
charlotte nc
 
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It would play out the way I described it. The exotic bar only sees the open and close, so all entries and exits will only be filled with either the open or close. These are clean and generally always in the direction that you want them to be. The issue with ignoring the highs and lows (as exotic bars do) is that you achieve optimal fill rates on your back-testing on every trade twice. Think of this as artificially positive slippage.

If you are trading a scalping strategy where there are only a few ticks in play to begin with, then with artificially positive slippage on both the entry and the exit, you are inflating your real trade by 75% to 100% per trade every time.

But asside from what I have already mentioned previously, it only gets even worse.... If you are using market orders, you will likely never get filled on the bar that turns from red to green or green to red on either the entry or the exit, you will get filled a few bars later missing the big move on the entry and getting out late when the market moves against you on the exit.

Limit orders operate just as poorly. If you use a limit order, the only path to a fill will be a toxic fill where the market moves against you. Movement like this is never even possible to measure with exotic bars because they only move in your favor. So all of the good moves that moved straight to your profit without ever moving a single tick against your position... would have never filled you on the entry, so the only limit order entries you will get are the ones that move against your position at least one tick. And when you have a one tick move against you, you often have 2 or 3. The moves that touch your price and move right to your target are depressingly enough the very moves that you will never get filled on. Adverse selection is extremely high in this game..... Exotic bar types + backtesting has no concept of this, so it overstates limit order uses by a 7 figure magnitude as well.

I hope this helps you understand the mechanics of how it all works under the hood.
I don't mean to discourage you, just to let you know that you have to be extremely careful when testing these bar types, because backtesters can't handle them well. A general rule of thumb might be to give yourself a 3 to 5 tick positive slippage discount on every trade. If you can deduct that from every trade and still be profitable, you might have something.


Ian Guthrie





Byculla View Post
Now how would all that play out if entry, exit = change of bars only. No trailing stops. Trading just of bars.


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  #22 (permalink)
 
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 RJay 
Hartford, CT. USA
 
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iantg View Post
They help to cut out some of the noise in the market and they work best as an indicator / macro view of what is going on.
But execution of orders coming from these will surprise you and often times horrify you because by hiding the noise you are often times fooled as to where the price is actually at.

The worst use case of any type of exotic bar chart is in back testing. There are more Backtesting millionaires using exotic bar types that any other type of trading technique, style, etc. Most simulators do not handle exotic bar type well and overstate performance by a 7 digit magnitude. So be warned, if you are not hip to this already...

Happy Trading!

Ian

Having created many "exotic" bar types in Ninjatrader I have a few opinions I would share regarding back testing with "exotic bar" types.

While I would never design a bar type that repaints, there are those that do. They cannot be back tested accurately in my opinion. FYI, Ninjatrader's "Renko" bars do repaint. I urge caution using them in a back test situation.

Ninjatrader's back tester also designates the bar open at one end of the bar.

Many "exotic bars" have bar opens that are not at the ends of the bar body, but in the middle of the bar. If you have a general idea where the actual open of the bar is taking place, you can use the "trade slippage" back test feature to make your order entry results more realistic. Check the order entry markers on the chart after a back test to confirm your setting. This should eliminate most of the false "Holy Grail" back testing results.

I personally do not have a use for back testing. I prefer testing strategies first with Market Replay followed by live feed market testing.

RJay

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  #23 (permalink)
 pjtrades 
Orlando + Florida/USA
 
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RJay View Post
Having created many "exotic" bar types in Ninjatrader I have a few opinions I would share regarding back testing with "exotic bar" types.

While I would never design a bar type that repaints, there are those that do. They cannot be back tested accurately in my opinion. FYI, Ninjatrader's "Renko" bars do repaint. I urge caution using them in a back test situation.

Ninjatrader's back tester also designates the bar open at one end of the bar.

Many "exotic bars" have bar opens that are not at the ends of the bar body, but in the middle of the bar. If you have a general idea where the actual open of the bar is taking place, you can use the "trade slippage" back test feature to make your order entry results more realistic. Check the order entry markers on the chart after a back test to confirm your setting. This should eliminate most of the false "Holy Grail" back testing results.

I personally do not have a use for back testing. I prefer testing strategies first with Market Replay followed by live feed market testing.

RJay

RJay, or anyone here who has worked with BetterRenko, perhaps you can help me. I am not a programmer and I'm limited to creating with Strategy Builder (using NT8). I was working on something that uses BetterRenko with some Order Flow stuff (Cumulative Delta and VWAP). Is seems to almost work fine. The problem I've come across is that it gives some wrong signals with live data (trading in sim). The signal shows up and I can see it's wrong. When I reload the historical data the signal is gone. I have it set up to calculate on bar close so I know it's not a matter of repainting. I posted on the Ninjatrader Forum and someone from customer service replied and mentioned that it might be a problem with using renko bars. I can understand this with regular renko bars but with the BetterRenko the close of the bar is the close of the bar. That is the only data from the bar that I am using. Any help would be appreciated.

Thanks,

PJ

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  #24 (permalink)
 pjtrades 
Orlando + Florida/USA
 
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pjtrades View Post
RJay, or anyone here who has worked with BetterRenko, perhaps you can help me. I am not a programmer and I'm limited to creating with Strategy Builder (using NT8). I was working on something that uses BetterRenko with some Order Flow stuff (Cumulative Delta and VWAP). Is seems to almost work fine. The problem I've come across is that it gives some wrong signals with live data (trading in sim). The signal shows up and I can see it's wrong. When I reload the historical data the signal is gone. I have it set up to calculate on bar close so I know it's not a matter of repainting. I posted on the Ninjatrader Forum and someone from customer service replied and mentioned that it might be a problem with using renko bars. I can understand this with regular renko bars but with the BetterRenko the close of the bar is the close of the bar. That is the only data from the bar that I am using. Any help would be appreciated.

Thanks,

PJ

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Looking a bit further into this, I have found some info in the NT forum where someone had an issue with the bar identifier( time stamp?) and this would cause the signal to show up on the following bar. This would explain my issue since it is exactly that which is happening. My signals are a bar late; a problem that I'm sure everyone here would understand would be a major issue when trading. Any thoughts on this, possible remedies?

Anyone?

Thanks,

PJ

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  #25 (permalink)
 Fugitive69 
Austin, TX
 
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I set out to try an experiment last week using the Strategy Builder to provide the coding framework. My idea was to compare fills on a time-based chart (primary) with various other bar types (secondary) to trigger the trade. In essence, these secondary bar types would function as an indicator.

[1] Primary data set - 3 minute chart.

[2] Secondary data set - renko bars (two different versions), range bars, heiken-ashi bars.

My hope was to get some sort of feel how far off these "exotic" bar types might actually be from live data. Once that was determined then I could decide if I wanted to incorporate them into a strategy.

However, my experiment got stopped dead from the very get-go. Within the Strategy Builder you are not allowed to select "exotic" bar types as your Secondary data set.

Besides time based charts, your only other options are range, tick or volume.

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  #26 (permalink)
TravelingSalesmen
Tucson arizona
 
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Fugitive69 View Post
I set out to try an experiment last week using the Strategy Builder to provide the coding framework. My idea was to compare fills on a time-based chart (primary) with various other bar types (secondary) to trigger the trade. In essence, these secondary bar types would function as an indicator.

[1] Primary data set - 3 minute chart.

[2] Secondary data set - renko bars (two different versions), range bars, heiken-ashi bars.

My hope was to get some sort of feel how far off these "exotic" bar types might actually be from live data. Once that was determined then I could decide if I wanted to incorporate them into a strategy.

However, my experiment got stopped dead from the very get-go. Within the Strategy Builder you are not allowed to select "exotic" bar types as your Secondary data set.

Besides time based charts, your only other options are range, tick or volume.


Ya strategy builder is a very robust tool. but its not without its own limitations as you ran into. i use it just for building the general skeleton of something i want to test or if i need a code snippet ill make it there than copy paste it. but other than you really need to know ninjascript to move anywhere with ninjatraders automated systems.

its funny because thats litterally the same topic ive been looking into for the past two days. seeing how these exotic bars behave. whats there fills like. and so on.

i started with the built in "renko" bars and quickly realized jesus christ those fills are way offfffffff. eventually i am at "better renko" bars right now which seem much better! i mean very close to what a minute bar would offer.

you should check out better renko bars. imma continue looking into it so let me know if you wanna bounce some ideas back and fourth since were working on the same topic at the same time.

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  #27 (permalink)
 Fugitive69 
Austin, TX
 
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TravelingSalesmen View Post
Ya strategy builder is a very robust tool. but its not without its own limitations as you ran into. i use it just for building the general skeleton of something i want to test or if i need a code snippet ill make it there than copy paste it. but other than you really need to know ninjascript to move anywhere with ninjatraders automated systems.

its funny because thats litterally the same topic ive been looking into for the past two days. seeing how these exotic bars behave. whats there fills like. and so on.

i started with the built in "renko" bars and quickly realized jesus christ those fills are way offfffffff. eventually i am at "better renko" bars right now which seem much better! i mean very close to what a minute bar would offer.

you should check out better renko bars. imma continue looking into it so let me know if you wanna bounce some ideas back and fourth since were working on the same topic at the same time.

I have made some progress comparing various Renko bar types: BetterRenko, UniRenko, etc.

But I'm not using the Strategy Builder, simply a split chart with Range Bars on top and a Renko style on the bottom. I did create a simple strategy that trades very often - my main goal was to monitor the fills. Unless you are on a strong trending run the fills are pretty awful. No surprise there.

To negate the rotten fills I switched to Limit Orders, limit in and limit out. Same result since the various Renko bars contain a big dose of phantom data.

----------

Of course the best feature of any type of Renko bars is they play well with indicators. A guy can get some good looking indicators that go a long way towards simplifying a trading strategy. Lately I've been testing some of my favorite indicators driven off Renko bars, then switching from instrument to instrument to monitor the different results. I discovered more discrepancies than I expected.

For example, using the same setup and switching from the ES, to RTY, to NQ yielded some dramatic differences. Not only did the Renko bars behave differently but also the corresponding indicators. In theory, a tick is a tick is a tick. Any differences among instruments should have been minor. They were not.

So on one hand a guy would like to drive his indicators off Renko bars and execute trades on another bar type. But on the other hand the Strategy Builder does not allow us to set Renko bars as the secondary data set. Therefore it may all be a moot point at the end of the day.

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  #28 (permalink)
TravelingSalesmen
Tucson arizona
 
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Fugitive69 View Post
I have made some progress comparing various Renko bar types: BetterRenko, UniRenko, etc.

But I'm not using the Strategy Builder, simply a split chart with Range Bars on top and a Renko style on the bottom. I did create a simple strategy that trades very often - my main goal was to monitor the fills. Unless you are on a strong trending run the fills are pretty awful. No surprise there.

To negate the rotten fills I switched to Limit Orders, limit in and limit out. Same result since the various Renko bars contain a big dose of phantom data.

----------

Of course the best feature of any type of Renko bars is they play well with indicators. A guy can get some good looking indicators that go a long way towards simplifying a trading strategy. Lately I've been testing some of my favorite indicators driven off Renko bars, then switching from instrument to instrument to monitor the different results. I discovered more discrepancies than I expected.

For example, using the same setup and switching from the ES, to RTY, to NQ yielded some dramatic differences. Not only did the Renko bars behave differently but also the corresponding indicators. In theory, a tick is a tick is a tick. Any differences among instruments should have been minor. They were not.

So on one hand a guy would like to drive his indicators off Renko bars and execute trades on another bar type. But on the other hand the Strategy Builder does not allow us to set Renko bars as the secondary data set. Therefore it may all be a moot point at the end of the day.


did you try betterrenko for the fills? because the problem that the other renko bars have is that the open of the current bar (a.k.a where the fill of an order would be) is either offset up or down by the bar size. thus causing the bad fills. but in better renko the current bars open is the same as the previous bars close (or what the next tick was if it was different i think is what i saw a few times.) this aspect makes it much more "backtestable"

also it has wicks which is super important to check if your stop loss was hit or not intrabar. which is something other renko bars are missing.

so from what ive seen yesterday this has gotten me much closer to a more accurate backtest.

also you should expect difference from instrument to instrument. i dont know the details of the test you did but even a 5 min bar would give you different results on say the es versus the rty. its just different data no strategy works universally.

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  #29 (permalink)
 
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 cory 
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try renkospectrum, it get filled
innovative-trading-solutions-online.com/new/renkospectrum-charts/

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  #30 (permalink)
TravelingSalesmen
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cory View Post
try renkospectrum, it get filled
innovative-trading-solutions-online.com/new/renkospectrum-charts/

lollolololol "it get filled"

...
trying to sell us some software or something mate?

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