I happened to stumble across this website from a NT email announcing new third party partners. Although I wasn't interested in indicators, the LogikRenko--their offering of an improved version of the classic Renko--was intriguing.
Like many of you, I have tried and tested every bar out there to improve my performance of manual and automated strategies. The Renko and its derivatives are helpful with discretionary methods but fail terribly in auto strategies. Great backtests, lousy live.
Anyway, I started an email dialog with Anthony, the developer of PureLogik (who was most helpful and generous with his time and no hard sell) and decided to try the LogikRenko bricks in a couple of autotrade systems. In fact, I spent all of last week testing them in real time. I ran the strategies in an A-B mode with one using a variety of Renkos and the other with PureLogik.
Although I need to test further, my initial reaction with PureLogik is most favorable. The live fills are virtually identical to market replay with variance no more than one tick. The other Renkos, not surprisingly, performed poorly.
I've attached the white paper.
The following 13 users say Thank You to Hard 8 for this post:
As the BetterRenko author, I was asked to look at this and comment. I have not done a demo (and probably wont), but will offer some opinions here based on the white paper.
Let me start by saying this is a nice white paper that lays out many of the issues and shows how you can use renkos and variations to look at price. They go on to talk about how their implementation is better.
Their implementation is better than standard renko and offers a number of features:
* they allow you to select which open you want to see (open to open vs open to close mode)
* allows a larger reversal brick size
* updates last bar intra bar
* dynamic brick size determination
* tick filtering
* consistent reference point determination
The problem is most of of those features have flaws:
* Open price - in the paper, they claim the next open is always the previous close. The problem is this is just not always the case. The next open is the next tick, regardless of price, after the previous bar closes. BetterRenko does this. This is a potential backtesting issue. BetterRenko separates the bar building from the display using a separate ChartStyle to display the bars.
* Larger reversal brick size - interesting, BetterRenko does not do this.
* Updates Intra Bar - this is an option, IMO you have to do this, and BetterRenko does.
* Dynamic Brick Size - could be interesting, but could be a real problem from a backtesting perspective depending what method is used to change the bricksize. BetterRenko does not do this.
* Tick filtering - this is something that is needed, but I generally think this is a platform feature, not part of the bar building process, unless you have to work around the platform implementation. BetterRenko does not do this.
* Consistent reference point - important IMO, so you can always load the same chart for a given day regardless of the starting date of the data set. The paper talks about this, but they don't really tell you how it is done. BetterRenko uses the simple approach of using the start of the session boundary, which is not perfect, but works well.
Overall, the implementation looks interesting, but I would not pay to use something that appears to be inferior to something you can get here for being an elite member.
The following 17 users say Thank You to aslan for this post:
@aslan, thanks for answering my PM and your well thought out comparison. In fairness, however, I wouldn't come to the same conclusion but then I have the benefit of live hands-on testing. To me, PureLogik looks like it could be a game changer. Time will tell.
IMO, in order to conclude it is inferior, you'd have to observe the action of these bricks live and in back test and compare to BetterRenko head-to-head. Also, based on your comments, it seems as though PureLogikRenko is at least equal to if not slightly superior in function to BetterRenko, but perhaps I misunderstood your intent.
Although a free trial isn't offered on the website, it couldn't hurt to request one from Anthony. Worst case is he says no.
The following 3 users say Thank You to Hard 8 for this post:
IMO, it appears inferior to BetterRenko, but I am a tad biased and BR does exactly what I want it to. My opinion should not sway you however, instead look at the facts as they relate to what you want your bar type to do. They have some interesting features depending how you use them (white paper shows this nicely). For me, they dont do much, but for you they may speak to you.
The comment about next open is prev close tells me they ARE broken, but maybe that is just a documentation issue.
If any of the features are really needed, they would be fairly easy to add to BR. If that is the case, post in the BR thread, and I see if I can add in.
I just thought of one thing not mentioned in the white paper. How do they handle gaps? Normal Renko bars insert dummy data. BetterRenko does not do this to preserve good back testing data. This is one item you may want to look at while evaluating (not gaps between days, but intra-day gaps i.e. news on CL with a small brick size).
The following user says Thank You to aslan for this post:
As the author of the LogikRenko, I would like to comment in this discussion.
* Open Price - My comment about the open = prior bar close is referring to when a reversal bar is created. Typically in traditional renko charts when an opposite direction bar is created the Open of the new bar is set to the open of the prior bar. This is what confuses NT during backtesting, and gives spurious results. Yes, the opening tick doesn't have to be at the exact price of the close of the prior bar. What I am talking about is the traditional method a Renko bar is constructed, not the true tick price. The backtesting ability of the bar provides an identical result to the BetterRenko, where reversal bars Open is set to the close of the prior bar. I don't understand why you think it could be a backtesting issue; the bars are plotted in the same manner as yours.
* Tick Filtering -- Agreed. It should be left up to the platform to control tick filtering, assuming the platform employs a logically sound algorithm for tick filtering. The problem with NTs tick filtering method is that it checked the percent difference of the current tick from the prior tick, but does not discard the tick in the algorithm if its discarded from the chart; It uses it in the next filtering computation. If the next tick is also an out-lier based on the first out-lier, it is considered okay and is used. So if you have more than 1 bad tick, which is the case sometimes with MBTrading, the Renko chart can form many bars and become useless for a time span.
* Consistent reference point - The issue with using a session time for the consistent reference point is that computer clocks are likely different between computers. You can have two systems in the same room collecting from the same data stream and if their clocks are off a few seconds the new session tick price can be different. This can lead to different results between computers. I found this to be problematic when using one computer for optimizing a trading system, then trading with a different because the results would be inconsistent.
* Dynamic Brick Size -- I don't fully understand why you feel this could be a real problem in backtesting. The bricksize chosen at the beginning of the day is consistent based on the prior days tick data. As long as the same bricksize is chosen by my algorithm for a specific day, which it is, the bricksize is consistent and backtesting will be consistent as well. No matter which method is used, as long as its consistent, its is sound backtesting.
* Updates intrabar -- I agree, this is good to see. This is left as an input for user preference.
* Handling Gaps -- Dummy bars are inserted. I thought about how this should be done for a while and thought it was best to preserve the computations of an indicator. Some indicators will drastically overshoot / become disrupted if a gap is present.
I do appreciate you taking the time to review my white paper, and appreciate your BetterRenko design. In my opinion, aside from my labeled consistent reference point between different computers, it is 100% sound for backtesting and real-time trading.
The following 12 users say Thank You to mrlogik for this post: