Autotrading with Renko Bars

• 02/03/2020 at 12:12 AM #118508
  Majellan

  Hello,

  Is it possible to create an automated trading system using Renko Bars?

  If so, could you tell me how to get started please?

  How do I define a renko bar instead of a normal candle?

  Thank you.

   

  

  Majellan

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  02/03/2020 at 12:19 AM #118510
  robertogozzi

  Searching the forum for the word RENKO will return the info you need.

  You can also browse https://www.prorealcode.com/topics-tag/renko/.

   

  

  robertogozzi

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  02/03/2020 at 7:35 AM #118513
  Majellan

  Is it possible in PRT to show the result of a backtest on a Renko chart – with the little buy/sell arrows etc. just to see if the Renko code is working as intended

   

  

  Majellan

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  02/03/2020 at 8:14 AM #118516
  Vonasi

  Topic moved to ProOrder forum as your questions are strategy related and not indicator related. Please try to post in the most relevant forum for your topic with future questions.

  

  Vonasi

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  02/03/2020 at 8:59 PM #118603
  Majellan

  I  cannot find the post in the ProOrder Form. Could you post a link please?

   

  

  Majellan

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  02/03/2020 at 9:46 PM #118604
  robertogozzi

  How come you could post here without knowing where this place is?!

  

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  02/03/2020 at 9:49 PM #118605
  Majellan

  Is it possible in PRT to show the result of a backtest on a Renko chart – with the little buy/sell arrows etc. just to see if the Renko code is working as intended

   

  

  Majellan

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  02/03/2020 at 10:08 PM #118606
  robertogozzi

  I hope Nicolas or someone else can help you.

  I posted some links and gave you a few hints on how to find info, but I never dealt with Renko bars myself.

  Did you read those posts? I remember having read many times about Renko bars and TS’s.

  I don’t think is possible with v10.3, but v11 should have some support for Renko charts.

  

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  02/04/2020 at 10:31 AM #118626
  Nicolas

  It is not possible to run an automated trading strategy on renko chart, however we can simulate that kind of price representation in the code. This simple code is an example on how to achieve the same thing as the renko chart itself.

  Defparam cumulateorders = false boxSize = 40 once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

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  Defparam cumulateorders = false   boxSize = 40   once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize   IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND   ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF   buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

   

  

  Nicolas

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  02/04/2020 at 9:17 PM #118680
  Majellan

  Thank you

   

  

  Majellan

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  02/04/2020 at 10:01 PM #118687
  GraHal

  Nicholas code added as Log 199 here …

  Snippet Link Library

  1 user thanked author for this post.

  Léo

  

  GraHal

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  09/22/2020 at 11:01 AM #144976
  Léo

  Dear All,

  I tried to add the calulation of the boxsize based on ATR but I must be missing something obvious as no trade is taken in backtest.

  I tried Boxsize = Average[200](averagetruerange[14]); boxsize = averagetruerange[14] and boxsize = averagetruerange[14]*pipsize but nothin works.

  If someone can point my mistake that would be helpful.

  Best regards.

  Alex

  Defparam cumulateorders = false boxsize = averagetruerange[14]*pipsize once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

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  Defparam cumulateorders = false   boxsize = averagetruerange[14]*pipsize once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

   

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  Léo

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  09/22/2020 at 11:43 AM #144981
  Nicolas

  Remove the pipsize multiplier.

  

  Nicolas

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  09/22/2020 at 11:46 AM #144983
  Léo

  Hi Nicolas,

  Thanks for your reply.

  I tried also but it does not return any results.

  Alex

  Defparam cumulateorders = false boxsize = averagetruerange[14] once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

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  Defparam cumulateorders = false   boxsize = averagetruerange[14] once renkoMax = ROUND(close / boxSize) * boxSize once renkoMin = renkoMax - boxSize IF high > renkoMax + boxSize THEN WHILE high > renkoMax + boxSize renkoMax = renkoMax + boxSize renkoMin = renkoMin + boxSize WEND ELSIF low < renkoMin - boxSize THEN WHILE low < renkoMin - boxSize renkoMax = renkoMax - boxSize renkoMin = renkoMin - boxSize WEND ENDIF buy at renkoMax + boxSize stop sellshort at renkoMin - boxSize stop

   

  

  Léo

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  09/22/2020 at 12:37 PM #144985
  Nicolas

  It makes sense, the renko brick code you use seeks to fix the construction of the bricks to round numbers like the internal indicator of the platform does. Except if the ATR has a value so the rest of the division is not 0, then the code cannot fix the construction of the bricks and nothing happens. To build renko candles with the ATR, I will suggests this code:

  boxsize = AverageTrueRange[14](close) once topprice = close once bottomprice = close - boxsize if(high > topprice + boxsize*2) THEN topprice = close bottomprice = topprice - boxsize*2 ELSIF (low < bottomprice - boxsize*2) THEN bottomprice = close topprice = bottomprice + boxsize*2 ELSE topprice = topprice bottomprice = bottomprice ENDIF RETURN topprice as "box top", bottomprice as "bottom box"

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  boxsize = AverageTrueRange[14](close)   once topprice = close once bottomprice = close - boxsize   if(high > topprice + boxsize*2) THEN topprice = close bottomprice = topprice - boxsize*2 ELSIF (low < bottomprice - boxsize*2) THEN bottomprice = close topprice = bottomprice + boxsize*2 ELSE topprice = topprice bottomprice = bottomprice ENDIF     RETURN topprice as "box top", bottomprice as "bottom box"

  

  Nicolas

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