BetterRenko for Sierra Charts
|January 25th, 2011, 02:08 PM||#1 (permalink)|
Futures Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
Posts: 613 since Jan 2010
Thanks: 339 given, 1,056 received
BetterRenko for Sierra Charts
I recently switched to Sierra Charts. In doing so, I needed the bar types that I used on my previous platform. So, I ported BetterRenko bars to SC.
BetterRenko differs from classic Renko in two main fashions. First, it only uses/plots real data. So it does not split or insert dummy data in order to fill gaps. Second, it tracks and displays all data outside of the Renko bricks, which are displayed as wicks. With these changes, BetterRenko can be used in the classic sense of removing noise to better see price action, while also still maintaining back-testing integrity.
The code can be found on this SC thread, and it is included in the SC user contrib collection. To install, just grab the dll file and place in your SC data folder. The source is also there if you want to compile it yourself.
The implementation is a custom chart, which is how SC lets users create bar types. A custom chart is applied like an indicator/study, but uses the underlying bar/tick data to form a new set of bars, which are displayed in place of the base data. This has a couple of implications.
First, it is a study, so will lag slightly from base bars, but this can be minimized by setting your update interval to a reasonable value (I use 50 ms). This perceived lag is really only the screen updates.
Second, you need to set up the underlying data correctly. The SC BR implementation can be applied to bar data, but you will likely not get what you expect unless you are using a fairly large brick size. This is because there is no way to look inside of the bar, so it uses the OHLC and the brick size will be as close as possible. To get the renko bricks that most people expect, you need to apply it to a tick chart, so the bricks can be calculated correctly. To do this, requires that you are storing your data as ticks (see Intraday Data Storage Time Unit in Data/Trade Service Settings), and you set your chart interval to 1 tick in the chart settings (see attachment). Both of these actions come at a price, in that you will be storing more data to disk, and your initial load times for a chart are kind of long, especially if you load more than a few days of data. Once data is loaded in a chart, there is no issue.
To apply the study, go to Analysis -> Studies, then Add Custom Study, and select the BetterRenko from the BetterRenko dll.
The following are the inputs:
Brick Size: the size of the renko bricks, specified in number of ticks
Align to brick size: if true, bricks are aligned to the natural brick size at the start of each day (i.e. 5 tick brick on CL would align to prices of .05, and 4 tick brick on ES would align to 1.00 increments).
Show real open: If true, the open of the bar will be the actual open, so the candlesticks will look more like candles then classic Renko bricks (especially for reversal bars). If false, then the open of the bar is changed on the close of the bar to be a classic Renko open, so the candlestick bodies will look like Renko bricks. Note: when false, your back-testing integrity is compromised. There is an extra subgraph that carries the alternate Renko/True Open in case you need it for a study. This is a SC-only BR feature. Second chart shows example vs first chart.
Reverse multiplier: Normally, a classic Renko needs double the brick size in order to reverse and create a new bar in the opposite direction. By setting this to a value larger than 2, you can change the reversal behavior to be more like a three line break (3LB) type of chart. Of course the tradeoff is that your wicks are going to be potentially much larger as well. This is a SC-only BR feature. Last chart shows what this looks like.
Finally, the default display type is a CandleStick. You can change this to use any of the other bar types. For example, if you want to see a more classic Renko brick without the wicks, you can change to CandelStickBodyOnly (third chart).