THE GOODThe median renko is a variation of the regular
renko chart. This chart type features wicks and initial transposing of the new bar's open value to the middle of the previous bar's body (the median), thus smoothing the chart and eliminating noise, which would otherwise be present on indicators applied to the chart.
THE BADI synthesized median renko bars from Dukascopy tick data for EUR/USD, from 2007-04-02 to 2013-06-14, inclusive. I went with 10 pips for bar size, that is a new median renko (MR) bar after every 5 pips price movement. Then I reused times from the original Zorro EURUSD_2012.bar and filled the new price data in. The choice for MR bar size was such that I could fit all data inside the original file and spare me quite some trouble converting date formats and fitting data in many files. Actually, I wanted to generate new times at first, but then it struck me that I would probably also need to skip weekends and what not, so I gave up on that idea, this was faster.
Here's what you'll need to do if you want to play with this:
- Download
http://www.perltrader.com/zorro/EURUSD_2012.bar.zip zip archive. Unzip.
- Replace your original EURUSD_2012.bar in the Zorro History folder (
backup it first!)
- Make sure you have these 3 lines near the top of your strategies:
StartDate = 2012;
EndDate = 20130101;
BarPeriod = 1;
Actually, only the first two lines are mandatory, lest you pull in the weird mix of standard candlestick bars and median renko bricks! You could play with the third one, but again you'll be backtesting a weird abomination of bars. You have been warned!
THE UGLYObviously, all this is a very ugly hack. Zorro doesn't have support for any kind of renko bars ATM, so while this is the fastest way to introduce and play with them, it's also cheating, and all kinds of weird things could happen!
- always have in mind that renko bars eliminate the time, all they care about is price movement! All dates/times of the renko bars that you'll encounter are artifical, or put even simpler: a lie!
- for the above reason many of the Zorro functions that care about specific time (of day, hour, etc...) simply won't work,
don't use them!
- it would be hard to backtest a specific period of time (only year 2008, for example), you would need to decipher the artificial time period that encapsulates the real time (so, not impossible, but hard)
- the renko bars that I synthesized include the so called phantom bars. They exist where there were big price gaps in the original tick stream. I strongly believe that having phantom bars is the right way, because indicators can then be more responsive. Unfortunately, this probably also means that the strategies run on this data will give slightly better results on backtests, because they will occasionaly enter trades at better prices than they could in reality. I don't see a way around this, currently. Let's hope that the impact is reasonably small. Just have it in mind if you come up with the holy grail fast.
- there could be all kinds of other incompatibilites that we will encounter, so never forget that this is just a dirty hack! It's almost 4am here, and even I haven't had a chance yet to play with this data, but I wanted to share this early (pun intended).
I'm pretty sure the ugly list will only get longer in the following days.
Still, have fun! Having even this little bit of renko magic available opens a whole new parallel universe to your strategies. I certainly can't wait to marry immense Zorro power with this data.
