For example, on a candle chart we may plot an MA crossover and say that when the short MA crosses the long MA, then that is a buy signal. However, since the MA function is based on price series, it would then not line-up correctly when overlayed on a Renko chart.
Instead, it seems like some sort of filter would need to be applied to the series, to group it into Renko bars instead of traditional candle bars. This filter would need to be applied *before* calculating the MA data point. Is that correct?
No. MA crossover can run on Renko or any other range bar completely unchanged.
With standard bars, when bar is finished, your run() function gets to run, you recalculate MA's, check if they crossed and decide whether you want to open a position or not. If you do, the position is executed at the open price of the next bar.
With range bars, everything said above stays exactly the same.
Of course, you can't reuse the exact MA parameters, strategies have to be re-tuned and re-optimized, but generally, exactly the same algorithm and procedure works for both standard and range bars, in this simple MA crossover example.
