Package:
SwissTrader's Renko Bricks Indicator Package
Renko bricks may be thought of
as an alternative way of "sampling" market action.
Renko bricks focus the attention on the range of
price, rather than the passage of time.
Another way to think of Renko
bricks is to consider that they treat a series of
prices as a series of "congestion zones". When
price breaks out of the current congestion zone, a
new brick begins. The display of Renko bricks
is an intuitively clear representation of market
movement without consideration of the "noise" that
occurs inside of a single brick.
SwissTrader and Progster have
combined their code and insight to create this
package for easily viewing market action on a single
symbol or an entire list (via RadarScreen).
Advantages of Renko
Analysis of Renko bricks can
provide very satisfying answers to those elusive
questions:
Is this symbol trending?
Is this symbol
in congestion?
The number of same-direction
bricks-in-a-row measures the length/strength of the
current trend.
The "age" of the most recent
brick is an unambiguous measurement of congestion.
It is hard to imagine simpler
or more effective answers to the questions of trend
and congestion than those provided by Renko bricks.
What It Looks Like
Here is a picture of the
3 Renko indicators applied to a 5m chart of MO:
At the top, in the same
pane with price, we see the bricks drawn visually by
'$TT Renko Bricks V5'. In the middle, we see
the age of each brick displayed by '$TT Renko Brick
Age', and at the bottom we see the "trend count"
displayed by '$TT Renko Trend'.
And here is a picture of just the bricks on a 100t
chart of the ES:
Here is a picture of '$TT
Renko Bricks V5' applied to a RadarScreen:
Notice how the direction of
the latest brick (BrickDir), the age of the latest
brick (BrickAge), the count of bricks in the same
direction (BrickTr), and the brick location and size
are all displayed, and available for sorting.
Would you like to know which
symbols are moving up or down as of right now?
Sort on BrickDir.
Would you like to know which
symbols are congested (coiling for a later
breakout)? Sort on BrickAge.
Would you like to know which
symbols have a trend in progress, and how strong/old
that trend is? Sort on BrickTr.
With a Renko Radar, your
insight into both congestion and trend is
instantaneous. All the noise, all the "fakes",
have been removed for you when you choose to view
the market through the lens of Renko.
You set the scale of interest
with your definition of brick size, the software
serves up the status of both trend and congestion.
It doesn't get any easier than this!
How It Works
Price action is monitored at
the tick level by a special function to detect when a new
brick of your specified size should be formed.
The function call makes
available:
You may call this function in
your own strategy code to develop trading systems based on Renko bricks.
The supplied indicators produce the
plots as shown above by calling the same function,
thus allowing visualization which can precisely
match your strategy code.
Special Features
Brick height (price range) may
be specified in ticks, or in percent (of price).
Using a brick height in ticks is ideal when
daytrading on a low timeframe chart. Using a
brick height in percent provides an
"apples-to-apples" comparison of the
congestion/trend status for a list of symbols.
On a daily or weekly Radar, you'll be able to see
the standing of every symbol on your list relative
to the others simply by sorting as described above.
Simplistic implementations of
Renko typically startup "whenever", according to the
data available. If a RadarScreen and a Chart
were not started on exactly the same bar, they would
not agree (unless by luck). In this package,
care has been taken to allow you to construct RadarScreens and Charts which agree with each other.
This is done by providing an option to "reset on
session change". When using this option, the
RadarScreen and the Chart both reset their
calculations at the start of each session, ensuring
agreement (when properly configured) even though the
amount of data loaded in the Radar and the Chart is
not the same.
To allow for flexible testing
alternatives, a "reset on session change" may be
referenced to the new open, the new close, or the
prior close. This allows for differing
treatment of gaps and the unruly first bar of the
day.
What You Get
A .ELD
file containing the Renko brick indicators and the
function upon which they are based.
Three demo workspaces,
containing:
