Problem with Renko bars

[Sylvestro]

Is there anybody in the FORUM that could help to adapt the EdsRenko for Ninjatrader version 6.5 to version 7?
Many thanks,
Sylvestro

[Sylvestro]

Another reason why using daily breaks with Renko charts is a bad idea. I used the standard FOREX setting from the session manager. Last night I got a message from my strategy that the order (around 5PM EST) could not be executed, because the market was closed...
I am using a weekly time setting (from Sunday till Friday) to avoid this problem in the future.

Also back testing with Renko charts is not possible in a correct way. When will Ninjatrader provide Renko charts that can be used to perform correct back testing???

[NinjaTrader_JC]

Hello Sylvestro,

The Forex template is going to be from 5:00PM - 5:00PM Sunday through Friday which means that it will change to a new day almost simultaneously. With that said could you send me the log and trace files so I may look into what occurred?

You can do this by going to the Control Center-> Help-> Mail to Support.

Please reference the following ticket number in the body of the email: ATTN: JC with reference to this forum.

Could you also clarify what is not working properly when back testing with Renko period type?

Happy to be of further assistance.

[Sylvestro]

Faulty result back testing Renko charts

Wrong result with Renko back testing.
In figure Renkobacktest_1 and Renkobacktest_2, you can see a close long, open short signal from the indicator at the bottom. The signal appears at the closing price of the second red box down. The order is executed at the opening of the following box at 1.23645 at 14:36:37. This will mostly be close to reality. A new short position is opened. At 14:42:32 there is a close short, open long signal. This signal appears at the first green box in the middle of the chart at the closing price 1.22845 of that box. However the position is closed the next bow at the opening price or 1.22745. That is 10 pips lower and extra profit, but of course NOT correct! In reality if you look at the price that moment in time (sconds chart), price is at 1.2285, logically close to the closing 1.22845 of the signal box. This will happen every time when there is a signal and the signal box is followed by a box with a different color than the signal box. The more trades, the more wrong the end result will be with a much better result than possible in reality. As proposed before in this tread, you need to create Renko boxes as shown in figure Renkobacktest3. Here the closing signal at the low side of the red box, will open or close a trade correctly at the opening of the next green box. Since you are offering Renko boxes as a standard in NinjaTrader, this should be solved asap.
Best regards,
Sylvestro

[NinjaTrader_JC]

Hello Sylvestro,

This is to be expected from historical results from a strategy using the Renko bar type.

For a more detailed description you can view the following forum thread about historical Renko bar testing.
http://www.ninjatrader.com/support/f...ad.php?t=49420

With that said there you can either add intrabar granularity to your strategy for historical processing or use the Market Replay to be able to have more accurate historical fills.

To add intrabar granularity you can read the following forum post:
http://www.ninjatrader.com/support/f...ead.php?t=6652

For Market Replay:
http://www.ninjatrader.com/support/h...ket_replay.htm

[Sylvestro]

Thank you for confirming that there is a problem in back testing Renko charts. NinjaTrader can solve the problem by adapting the Renko chart, so that is what I am asking and hoping for and I believe many other people with me.
Also I do not understand your previous question related to the reply you are now giving "Could you also clarify what is not working properly when back testing with Renko period type?". It would have saved me a couple of hours work for documenting the problem...
Sylvestro

[NinjaTrader_JC]

Hello Sylvestro,

The suggestion has been forwarded to our development team for Renko bars.

There are a few 3rd Party Custom Renko Bar types out there that you can try out. For example here is one of them at the link below.

http://www.bigmiketrading.com/ninjat...rader-7-a.html

[Sylvestro]

Sorry to say that there is still something else I overlooked. Actually the normal Renko values for open and close should be reported (with the high and low equal to open or close). That way any indicator or strategy using Renko bars will calculate this on the pure Renko bars as would normally be the idea of the developer.
However the real opening price of a new bar should be available for having the correct opening price when entering a trade (and for correct back testing). Since a "renko" bar has basically only 3 values, a Renko close at the upper side and a Renko open at the lower side for an up box, with a wick down for the low value (Close and High are the same). Or in case of Renko close at the lower side and the Renko open at the upper side for a down box, with a wick up for the high value (Close and low are the same). That would mean that we could use the free high or low value to hold the real open value. That way all "Renko" problems could be solved. Of course something has to be done to report only the standard Renko values to be used by an indicator or strategy, while using the real "open" value only to calculate correct entry prices.
That would be I think the final solution that nobody has, only Ninjatrader, would that not be nice?

[NinjaTrader_JC]

Hello Sylvestro,

Thanks for the added feedback. I will be sure to pass it a long as well to our development team.

[Sylvestro]

Session break line

How do I get rid of the session break (line)?
In the attached figure you can see the session break lines based on the "forex" session. You can get rid of the vertical line, but the session break point is still there. Since this is a value existing in the data, it will be taken into account for calculating any indicator. This deteriorates the indicator.
I have tried a "week" session template for not having these breaks during the week. But I have noticed other problems when doing this.
You should really eliminate these breaks and as with any other type of chart make it a continuous move.
What is not provided and useful is an offset from the chosen Renko box size. Please include these items in the change request...
Thank you

[NinjaTrader_JC]

Hello Sylvestro,

I have submitted your suggestion for the enhancement of NinjaTrader to our development team and it has been assigned the tracking ID # 899. We appreciate your commitment in helping us to improve NinjaTrader.

[SnakeEYE]

Hello Sylvestro,

I have submitted your suggestion for the enhancement of NinjaTrader to our development team and it has been assigned the tracking ID # 899. We appreciate your commitment in helping us to improve NinjaTrader.

So many glitches with the Renko bars,i`ve observed in the past on various forums,and it seems still keep rolling.Could you please confirm your crew has solved them partially or completely?

Thanks in advance!

[Sylvestro]

Something that can help for the moment...
I have noticed overlapping Renko boxes when using a number of bars or days in the data series, which of course should not be the case. But since I am using a custom date range with a fixed starting date I no longer noticed this problem. Anyway something to have a look at...
Sylvestro

[SnakeEYE]

hi Silvestro,what do you mean by 'overlapping boxes'?Any other flaws,that you noticed?

Thanks

[Sylvestro]

A certain point in time, the last finished Renko box (bar) partly overlaps the previous box. Generally from that point on it keeps doing this. Sorry I kept no picture.