Back

Renko Consolidator - unpredictable behavior

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.

Update Backtest








0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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

0

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.

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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.

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed