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Hi, trying to use Renko Consolidator, but it doesn't work as expected. Specifically, when I use small value for the brick, up to 5m, it works fine and draws Renko Chart, but when I try to increase this value to at least 10m, Renko Chart doesn't show anything. This is weird because stock price moved at least $16 up in the selected period of time, so I should be able to see at least one Renko Bar. Something tells me that it consolidates values only within one day, so if the price doesn't move $10 up or down wihin the same day it doesn't show anything.
Run the test below and switch to chart "Deals" to see what I mean.
Leo Amigoni
I can't find any documentation on the RenkoConsolidator function. There should be at least a brick size, probaly a type of brick (traditional or ATR) and a timeframe where it checks for the brick close if close is the source. I'm assuming in your code that you only specified the brick size and uses Daily. Can anyone in the Dev team document the function params? It's super unclear to me what they are from the example. Thanks
Jack Simonson
Hi Artemiusgreat,
I've looked into the backtest that you posted and the RenkoConsolidator issues that you were running into. We've created an issue in GitHub to fix the Renko consolidator if we determine that it's truly a bug. You can track the progress of the issue and post any suggestions or comments you might have regarding potential solutions on GitHub, and hopefully we'll have a fix soon.
Jack Simonson
Hi Leo,
You can find documentation about the RenkoConsolidator here and here. If you have additional questions, I recommend searching for and reading other posts in the community forum where people have discussed the Renko consolidator and bars.
Bo Vargas
Why is the bar sized fixed in RenkoConslidator? What was the thought process behind this?
Shile Wen
Hi Bo,
Renko bars by definition are “bricks” of fixed size. However, we can have RenkoBars of varying sizes in one algorithm, all we need to do is have RenkoBars with different dollar amounts passed in the RenkoBar constructor, and register functions to them then subscribe to them. How this is done is shown in the attached backtest.
Best,
Shile Wen
Bo Vargas
No, my understanding is Renko Bars do not have to be fixed. They can take a moving average, for example, a 14-day ATR. So the question is why did QC decide to make the bar fixed vs updating based on a moving indicator? Was this just a trade-off on tech debt vs feature or is this the actual feature?
Alexandre Catarino
Hi Bo Vargas ,
QuantConnect has decided to make a bar fixed because that's the definition we have found at the time it was implemented. I have created a GitHub issue to support "dynamic" RenkoConsolidator:
Support Dynamic RenkoConsolidator #4555
Artemiusgreat
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