Multi-currency with Renko bars.

Posted By: Finstratech

Multi-currency with Renko bars. - 12/23/15 21:18

So, after running in to problems setting multiple assets to trade in a portfolio with Renko Bar system described here, I found out the following:

Quote:

"User-defined bar lengths can normally be used with single-asset strategies only, as different assets would produce different bars. However, for a portfolio system the TimeFrame mechanism can be used for user-defined frame lengths."

Also,

Quote:

"for trading dependent on the time of the day, or for emulating price-movement bars such as Range or Renko Bars. For this, set TimeFrame to 0 during the frame, count the skipped bars, and set TimeFrame to the negative number of skipped bars for ending the frame."

Can someone familiar with the matter describe in plain English what "TimeFrame mechanism" is and how to use it. The manual's description is extremely limited and vague, unfortunately. E.g. Setting TimeFrame to negative number for ending the frame...

TimeFrame mechanism example for putting assets in a portfolio in a Renko Bar system would be greatly appreciated.

Thank you

Posted By: jcl

Re: Multi-currency with Renko bars. - 12/24/15 08:20

The time frame mechanism is for starting and ending a bar by a user defined event at a multiple of the bar period. This is not totally trivial, but you can find examples in the manual.

A portfolio system is a system that trades many assets with the same script. Since there is only one bar period per script, a portfolio system can not be based on renko bars that would require different bars for any asset. You could only emulate renko bars with time frames. I have no ready example of this, though.

Posted By: Finstratech

Re: Multi-currency with Renko bars. - 12/24/15 20:10

JCL, Thanks for the ideas, I will play with that later.

Theoretically, could the regular non-renko ready script with multiple assets send out buy and sell signals without being tested first as a portfolio? That is I could test the assets individually prior.

Thank you very much for your input and have yourself a wonderful holiday period.