RENKO CHARTS

[JLS]

fast_eddie,

help me understand what you want.

You say "Once I've seen the basic layout, I should be able to take it from there."

What is it that you want the "basic layout" for?

Would you define what a “basic layout” is?

Do you want the Excel code to create the data for a conventional Renko chart with nonlinear time scale and 45-degree brick trend lines? I have already indicated that the only Excel code that does that (that I know of at this time) is a Visual Basic module. You can find it at: http://tinyurl.com/5tu7tb .

Would you be happy enough with an unconventional Renko chart (with unconventional brick display and regular time intervals)? If so, I'll give you hints on how to do that (which I know will work), then you write the code yourself. The data will all be there, but it will not look like any Renko chart you ever saw, and if you apply indicators to the chart, the indicators will be based on time period instead of brick period (which I don’t see as a handicap because I wouldn’t put filter-based indicators on a Reno chart). I only suggest this because it would be the easiest way for you to write your own code -- I suspect it would be difficult for you to write code for a nonlinear time scale.

You said you have OHLC data for Excel. Is that only historical EOD data? Do you have historical OHLC intraday data (15-min, 30-min, 1-hr, etc.) for long periods of time (weeks, months)? If you want efficiency of trade, even if you are going to hold a position for days, you will need to trade intraday in the type of market we have now. To backtest such a system you will need to have on hand very long sequences of intraday data (preferably months). Unless you have a premium quote service, you will only be able to get a few days at a time of fine-grain historical data; and you will have to build up your long-term database by collecting and expanding your database every several days.

I doubt if you have long-term intraday historical data. Check out http://tinyurl.com/5w6onl for data sources. I suggest you get stocks and indexes. This site says you can get that data at GrainMarketResearch.com for $15 per month. Seems like a bargain, and you can use that data to do your backtests. You will be able to get current real-time data (with a history of a few days) from your broker, so you can use that for your real trades. Your broker probably does not do Renko charts. You can use QuoteTracker for that.

Renko is nothing more than a filter system, and it was originally developed for purposes of simplifying a stock chart display, minimizing price noise, and make it easier to visually identify trends. One could look at price and draw a Renko chart by hand, then add trend lines by hand. Current Renko users start with this old Renko style then apply indicators to the Renko chart. If that is all it is used for -- visual trend identification -- then I see no value in it, as all the information is already in price and modern computer programs can easily evaluate prices and apply indicators, and even draw trend lines, without the visual handicap that humans have. For my own system, which I will program up this winter, I will be implementing dynamic brick sizes -- every brick will be allowed different point sizes at any time based on both current and historical price conditions. In other words, my system will have a dynamic Renko filter, whereas the historic Renko chart is a static filter. This is like comparing the dynamic equalizers of modern communication modems to the very old modems which had, at best, fixed medium filtering. So it doesn’t help me much to use a standard Renko chart, therefore I haven’t been looking very hard for an Excel Renko chart.