Renko Block Options for Strategy Dev.

[CaptainFill]

Hello,

I have a preliminary strategy that uses Renko blocks as the primary chart function however I am not entirely satisfied with the built in NT7 Renkos function.

The reason why I am not particularity happy with the Renko blocks on NT7 are for two reasons, the first being they can only be built from tick data and they do not offer "tails."

For proper historical back-testing, I cannot find adequate tick data for a reasonable price or a large enough historical span. Also, the tick data that spans over several years is about 50gb worth of information for each instrument. The amount of bandwidth, formatting to NT7, transferring and importing would be a constant struggle.

So my question to this forum is how or where can I build out Renko charts (with tails preferred) on NT7 using 1 minute data? This is strictly for backtesting purposes only at this time.

Thank you very much!

Phil

[NinjaTrader_PatrickH]

Hello Phil,

Thank you for your post.

This would require developing a custom bar type to use minute data for the Renko calculations. Developing custom bar types is not supported in NinjaScript.
You can find examples on the forum of users creating custom bar types and you can find the @BarTypes.cs for reference by going to (My) Documents\NinjaTrader 7\bin\Custom\Type on your PC.

Please let me know if you have any questions.

[CaptainFill]

Thank you Patrick, I have been playing around with the @BarsType.cs file and it is a little foreign to me in terms of language but I'm sure with time I will figure it out.

There is a pre-built renko bar type that I had found on the internet (http://tradingstudies.com/Downloads/RenkoBars.aspx) which I had downloaded. I am having difficulty however to get it to actually work in NT7. I have 2 questions that may help me solve the problem.

1. It says that it is only compatible for NT6.5 which I think is due to the fact that it is an older site with an older download. When 7 got released, did the format of chart types that worked for 6.5 transfer to 7 properly? If not, what formatting changes were made that makes it not work?

2. When adding a bar type, must I just add the file to the "Custom > Type" folder, restart NT and go? Or will I have to add the new type onto the BarsTypes.cs file?

Let me know if you would like me to upload the type I had downloaded if you need better understanding of it.

Thank you!

Phil

[Hammerhorn]

Hello,

I have a preliminary strategy that uses Renko blocks as the primary chart function however I am not entirely satisfied with the built in NT7 Renkos function.

The reason why I am not particularity happy with the Renko blocks on NT7 are for two reasons, the first being they can only be built from tick data and they do not offer "tails."

For proper historical back-testing, I cannot find adequate tick data for a reasonable price or a large enough historical span. Also, the tick data that spans over several years is about 50gb worth of information for each instrument. The amount of bandwidth, formatting to NT7, transferring and importing would be a constant struggle.

So my question to this forum is how or where can I build out Renko charts (with tails preferred) on NT7 using 1 minute data? This is strictly for backtesting purposes only at this time.

Thank you very much!

Phil

Look into UniRenko and Better Renko here, https://www.bigmiketrading.com/. One or both may require you to become a elite member, but it is worth it.

Backtesting Renko's, except the Better Renko, is very, very deceiving. I would say with NT7 Renko you need to cut your backtest profit in half or more to be safe (depends on how your trading). With UniRenko even more. Better Renko was designed for better backtesting, but versus live backtesting still gives you a performance boost. I would recommend long and exhausting market replay testing. Find a market replay downloader at BMT and download months of data while you sleep. Just my two cents.

[CaptainFill]

Thank you, Hammer. I have looked at Big Mike's Renko blocks and I do really like them. The problem however I guess for me at the time was justifying the price for them. It is a worthwhile investment judging from the amount of time I have already spent trying to get it to work!

I am curious as to why you feel that Renkos will provide a deceiving boost in performance. I have originally built my strategy on MT4 however with poor backtesting capabilities I moved to NT7 for a more robust backtesting engine. I personally do not feel that there is any advantageous edge that the Renkos would provide that could not be duplicated in trading in real time. I'd love to hear your reasoning behind that as I might be missing something.

Thank you,

Phil

[CaptainFill]

I just registered as an elite membet at BMT, I had misread the costs associated with that status and was pleased to see that it was $50 for life and provided access to a large array of tools and historical data. Thank you for the suggestion again, I'm excited to use their tools!

[Hammerhorn]

Thank you, Hammer. I have looked at Big Mike's Renko blocks and I do really like them. The problem however I guess for me at the time was justifying the price for them. It is a worthwhile investment judging from the amount of time I have already spent trying to get it to work!

I am curious as to why you feel that Renkos will provide a deceiving boost in performance. I have originally built my strategy on MT4 however with poor backtesting capabilities I moved to NT7 for a more robust backtesting engine. I personally do not feel that there is any advantageous edge that the Renkos would provide that could not be duplicated in trading in real time. I'd love to hear your reasoning behind that as I might be missing something.

Thank you,

Phil

Glad to hear you like BMT, I am a new member myself and I am really liking the site.

See this link in regards to Renko backtesting, https://www.bigmiketrading.com/ninja...ko-charts.html

There are many other links out there too. FYI, I actually love Renko for strategies, but I would never trade Renko without one, but I run my strategies through a minimum of two months of market replay over and over and over again. One more note, optimizing even the simplest setting on Renko in NT7 gives you almost the opposite results, that is where market replay comes in, days upon days of tweaking.

[born again]

Captain Fill this might be irrelevant to your question but i use renko bars myself in all my trading and what i have found that works really well for me regarding (tails and wicks) is adding the Heiken Ashi indicator to your renko bars you wouldnt believe how much cleaner it makes the chart. Hope this helps. See attached chart

[Hammerhorn]

Captain Fill this might be irrelevant to your question but i use renko bars myself in all my trading and what i have found that works really well for me regarding (tails and wicks) is adding the Heiken Ashi indicator to your renko bars you wouldnt believe how much cleaner it makes the chart. Hope this helps. See attached chart

How do you implement Heiken Ashi into your strategies? Does it make a difference. I have not played with Heiken Ashi since I was Tick Charts.

[born again]

I mainly trade oil and gold on a 10 renko chart with Heiken Ashi indicator added and have implemented my own strategy accordingly which includes an 18 day SMA and that is it i try to make as few trades in a day as possible. Study the patterns with these settings and i think you will be able to see what i am talking about

[NinjaTrader_PatrickH]

Hello Hammerhorn,

Thank you for your post.

Heiken-Ashi is called as an Indicator Method in your code. For information on the HeikenAshi() method please visit the following link: http://www.ninjatrader.com/support/h...eiken_ashi.htm

Please let me know if I may be of further assistance.

[Hammerhorn]

I mainly trade oil and gold on a 10 renko chart with Heiken Ashi indicator added and have implemented my own strategy accordingly which includes an 18 day SMA and that is it i try to make as few trades in a day as possible. Study the patterns with these settings and i think you will be able to see what i am talking about

I too use the Renko on GC, CL in the 8 to 10 range and thanks I will have to review.

[CaptainFill]

I do use the Henkin Ashi along with the Renko chart as that indeed paints a rather clear directional image.

I seem to be having issues with my Better Renko bar type however and it looks like a mess.

Here is how the Better Renko is supposed to look (on the lower subgraph) https://www.bigmiketrading.com/attac...534d1310849982 - Even brick sizes, very uniform.

Here is how my Better Renko chart looks http://oi44.tinypic.com/2euiy4y.jpg - Total mess, no uniform brick sizes.

Does anybody have any thoughts as to what is going on and why it is charting it so strangely?

Thank you.

[Hammerhorn]

I do use the Henkin Ashi along with the Renko chart as that indeed paints a rather clear directional image.

I seem to be having issues with my Better Renko bar type however and it looks like a mess.

Here is how the Better Renko is supposed to look (on the lower subgraph) https://www.bigmiketrading.com/attac...534d1310849982 - Even brick sizes, very uniform.

Here is how my Better Renko chart looks http://oi44.tinypic.com/2euiy4y.jpg - Total mess, no uniform brick sizes.

Does anybody have any thoughts as to what is going on and why it is charting it so strangely?

Thank you.

I would take your issue to the Better Renko thread in BMT. I loaded my Better Renko just to confirm and do have something wrong, but I am no programmer, so no help. Remember that Better Renko will have gaps on low volume, but that is not the case there.