Friday, 9 December 2011

Algos and Renkos

I've been working on resolving the issue with Algos and Renkos related to the fact that Renko bars don't have wicks, which means that stops and targets were problematic to backtest.


I've made some good progress as you can see from the chart below of the DAX today. The big plus for Renkos is the lack of noise in the charts. That same benefit was their downside as well. It was notable that the different charting packages each draw Renkos a little differently.


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4 comments:

  1. Anonymous9 December 2011 at 22:12

    What are the red/green parallel lines that wratchet up and down with price?

    ReplyDelete
  2. Electronic Local10 December 2011 at 05:19

    Anon 22:12, They're just pivot lines.

    ReplyDelete
  3. Easy Trader12 December 2011 at 10:24

    Thanks for your great blog, it has inspired me a lot.
    I'm sure you already know this but just in case: you can comfortably backtest renko bars in MultiCharts by adding a second set of datas that has wicks (Seconds, minute or range charts). Then, you'll run your Buy / Sell criteria on Renko Bars but execute your trades realistically on the other chart.
    Hope that helps,
    ET

    ReplyDelete
  4. Electronic Local12 December 2011 at 17:34

    Easy, Thanks. I didn't know that.

    ReplyDelete

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