Logik Ultimate Renko with Logik Brick Complete
The LogikUltimateRenko is a completely customizable improved variant of the traditional Renko, as well as the LogikRenko BarType. The LogikUltimateRenko has all of the improvated functionality the LogikRenko has, with the added options to set the Open Price Relation (to the prior bar), a more precise Reversal Bricksize Control, and phantom bar drawing when using a larger Reversal Bricksize for improved indicator smoothing and response. The LogikUltimateRenko requires TICK data to construct the bricks, and perform algorithmic calculations.
- Open Price Relation
- Reversal Percentage and Phantom Bar Generation
- True Price Wick Display
- Configurable Reversal Brick Size
- Intra-Bar Brick Generation
- Spurious Noise Filtering
- Daily Reference Consistency
Open Price Relation:
Traditionally, the opening price of a renko bar is printed at the close of the prior bar. The effect of this is that the price must move one full bricksize in order to print a new bar. The LogikUltimateRenko changes this. The LogikUltimateRenko grants the ability to choose at what location with respect to the prior bar should a new bar opening price print. This is given by a percent (%) within the range of a full bricksize. The below image shows where this Open Price percentage relates to a bar.
Utilizing this feature, a trader can effectively create any style of Renko that exists on the market, or come up with their own version of what responds best to a particular market. For example, a setting of 50% will create a “Median Renko,” a setting of 100% will create a “Traditional Renko,” etc. The lower the Opening Price %, the less the price has to move in the direction of the trend in order to create a new bar. This allows small steps in price to create more price points which can allow indicators to better represent the market. The below images show the LogikUltimateRenko with an Opening Price % set to 100%, 75%, 50%, and 25%. It can be seen through these images, that as the Opening Price % decreases, the trend is more prominently dictated. Although the price action is smoothed, there is no added lag when utilizing this type of alogorithm. Additionally, when the underlying data is smoothed in this manner, indicators that are applied more closely represent the market and their responsiveness is amplified. Please note, when an Opening Price % is less than 100%, to simulate an accurate Market order in back testing, a Limit order type must be used at the Closing price of a bar.
Configurable Reversal Percent & Phantom Bar Fill
A new brick is created in the same direction of the current brick if the tick price moves the BrickSize amount in the same direction. However, if the price move 100% of the BrickSize from the open of the previous brick, an opposite direction (reversal) brick is created. A powerful modification allows the trader to more clearly and accurately depict the trend direction and to minimize spurious reversal whipsaws, by allowing for the increase in the Reversal Percent. It can be seen through these images, that as the Reversal % increases, the trend is more prominently dictated. Whenever a Reversal % is greater than 100%, the LogikUltimateRenko may draw Phantom bars. A phantom bar is a filler bar, or, a bar(s) that is drawn instantly because there is a price jump. The reason why one or more phantom bars are drawn at a reversal rather than one true close bar is to eliminate the jump in price that would be created if only one bar was drawn at a reversal point. A jump in price means a jump in the data that is feeding an indicator, which can cause overshoot or introduce spurious data points. Please note the above statement about phantom bars is very important. When back testing with a Reversal % larger than 100%, the strategy must account for this information and submit the order at the proper price to portray accurate back tested results.
Intrabar Brick Generation
The traditional Renko algorithm will update on a chart when a new brick is formed by either the current tick price surpassing the top or bottom of the previous brick by the BrickSize or ReversalBrickSize amount. This End-of-Bar implementation hides all tick by tick price movement, as well as the current tick price of the underlying instrument. The LogikUltimateRenko implementation gives the user the option to enable intrabar brick generation. The algorithm to create a new brick remains the same, but the brick is updated visually on a tick by tick basis. The current tick price of the underlying instrument is always displayed, as well as highest / lowest movement within the BrickSize / ReversalBrickSize permitted range in the form of the wick.
Spurious Noise Filtering
Depending on the real-time tick filter algorithm implemented by the platform, a spurious tick price may pass through from a broker’s data stream. Since the Renko chart algorithm uses pure tick data as it is received from the broker, this noise may create bricks which are inconsistent with the true in a whip saw manner. Although the effect on the price is minimal since the chart price is dependent on the latest tick, any indicator applied to the chart will be useless since this price data is filtered into it. This effect increases as the input size of the brick decreases. The LogikUltimateRenko implements a real-time tick filter independent of any other filter. The algorithm is designed to eliminate this whip saw effect without removing important price information. Spurious ticks are detected, classified, and disregarded.
Daily Reference Consistency
Renko charts in general are non-perturbative. Perturbation theory describes how the response of a known system changes in response to small changes in its parameters. In this application, the parameter is the Reference. This means that depending on the Reference point, the brick anatomy on any particular day may be different. A small change in Reference may incur a rather large change on the chart. The traditional Renko can be different for a specific day depending on how many days of data are loaded. This is unacceptable, and the proper selection of the Reference is critical, and must be done on a day by day basis for chart consistency. Rather than arbitrarily selecting the first tick of a data set, the LogikUltimateRenko takes a different approach to selecting theReference. This approach removes the non-perturbative effect, making all charts persistent regardless of the number of days loaded.