Saturday, June 27, 2009

Discovery, exploration, adventure, odyssey & quest

Yesterday Lasertrader posted the following comment to my last post:

Now getting back in theme in this Bear Cave, although I use the SPX as a proxy to the market i am interested that this DOW Renko chart went on sell for the first time since the March low:

http://stockcharts.com/h-sc/ui?s=$INDU&p=D&st=2008-12-15&id=p29271801842&a=171181543

and I know how Allan likes mechanical system..check out this GDX Gold Miner 60 minute Renko chart. It went long a couple of days ago and has been an extremely good mechanical trade

http://premium.fileden.com/premium/2006/9/9/209573/gdxrenko2306.png"


An astute observation by Lasertrader, Allan is drawn to mechanical systems, objective rule-based strategies and maybe something Lasertrader didn't know, Allan reads and considers every Comment to his posts, whether or not he responds to it (publicly or privately) or not.


Here is the Renko Dow chart:




Here is the Renko GDX chart:


I've never traded Renko charts, although I from time to time take a look since they are included in most technical analysis platforms as well as at Stockcharts.com.

Below is a Renko chart of the SPX, along with Blue Wave's Trend Model, Stops and CCI:



Following is a table of the trades shown on this above chart:





As you can see, 341 S&P points in a little over 60 days. Those results are way too good to be true. But while I try to find out why, I submit this exercise as an example of how a trader spends his free time, spends his weekends, trying to hone his skills, learn new techniques and follow-up on ideas, wherever they may come from.

So thanks to Lasertrader for killing another Saturday for me, but this is not work; it is a discovery, an exploration, adventure, odyssey and quest.



A

14 comments:

Mike said...

Allan,

in this Renko video which I've pulled down from the web...the user is tracking the S&P e-Mini.

e-Mini tic size is .25.

The Renko range that this individual has chosen is 1, (4x the e-Mini tic size).

For the SPX you charted and blogged here....what's your tic size and corresponding range that you chose.

Tic increment of .01?

Range?

As you can see, I haven't used range bars previously....but I know the guys at Blue Wave, (Randy and Ed), prefer range vs. time intervals.

-Mike

Mike said...

http://www.linnsoft.com/videos/renko/

video referenced above...

-Mike

Anonymous said...

Great blog tonight Allan, with an additional thanks to Lasertrader. Renko charts are far superior to any other method of following the market, imho. They remove much of the noise and indicate pure direction and trend. A Renko bar does not care if it takes forty minutes or four seconds to form. It simply indicates movement of price. One secret to watching renko bars form is to carefully understand "how" fast or slow price reacts when moving toward a trend line or other objective, and on how much or little volume. Renko alone will not make you a successful trader, other filters must be emplyed. Renko for me is a tool that I do not trade without. Play with different settings to discover which are best for your style of trading. Warmest regards from NYC, joe

Anonymous said...

Allan & Lasertrader,
Cool stuff!! I am looking forward to all the comments and continuous study on this topic. Thanks for sharing.

L

Allan said...

Re: Settings

In answer to Mike's question about settings, I am using eSignal's charting platform which allows for only two user input adjustments:

(1) Price Source

Open, High, Low, Close, HL/2, HLC/3, OHLC/4

Here, I am using the default, "Close"

(2) Box Size

Here the choices seem to be unlimited. The default is "2" and that is what I used for all of my initial testing. But I soon learned that the "Box Size" is highly correlated and sensitive to the price of the underlying security as well as the applicable time frame. I randomly chose "0.15" for lower priced securities and intraday time frames, especially the 60-minute time period. That setting continues to yield stellar returns across the board.

I am ready to follow this real time with real prices. So for all intents and purposes, I'm just sitting here in front of the computer waiting for the market to open.

Anonymous said...

This Renko stuff is really interesting. These two charts caught my eye-

http://stockcharts.com/h-sc/ui?s=$SPX&p=D&yr=3&mn=0&dy=0&id=p78022958774&a=171819650

http://stockcharts.com/h-sc/ui?s=$SPX&p=W&yr=20&mn=0&dy=0&id=p43584497701&a=171819478

That second chart is pretty darn remarkable. Is there something to this?

Mike said...

Hi Allan,

Thanks for the resposne with regard to your range settings.

It's a whole different animal than time intervals.

For someone focusing intently on one single instrument, (i.e. the e-Mini), I can see how Renko and/or price range bars is the only way to go. You don't have the caving in that's inherent in waiting for a time interval to close.

Yet as one moves beyond single instrument monitoring...it would seem that information overload comes into play....each instrument's price range has to be calculated...plus you have no "etched in stone" time interval practicality from which to do a methodical monitoring of instruments being tracked.

Still...being right at the cutting of edge of price...that's where the money is at.

Definately worth more investigation when time permits.

Thanks for the posting.


-Mike

Anonymous said...

Allan, with your permission I will throw a few more dry sticks on the blazing fires of discovery that you frequently ignite on this blog. When watching a Renko chart form be on the lookout for brick formations, boxes side by side one a tick or two higher, the other a tick or two lower, 4,5 or 6 boxes in a row. These almost always (90+%) indicate a substantial move is imminent. The brick is chop and will take a while to form but the move will be quick. These patterns often form near 10AM, 2PM, 3PM EST. and frequently can be powerful continuations or reversals. The higher the Renko setting the more reliable the pattern. Beware the fakeout breakout, insist on confirmation of volume, and other indicators you normally use. Note, I only trade ES e-mini futures, absolutely nothing else. Also, traders who like to trade opening gap fills will love Renko Bars. P.S., my platform is Tradestation, but if you are new and undecided, I suggest you consider Ninja. Warmest regards from NYC/joe

Charts and Coffee said...

For those interested, weekly market analysis from Charts and Coffee Blog

http://chartsandcoffee.blogspot.com/2009/06/sunday-night-coffee-6282009.html

SM said...

This sounds very interesting indeed. Question for Anonymous a couple of comments above this one,

What is the indicator that is triggering the buy/sell indications on these charts that you pointed to -

http://stockcharts.com/h-sc/ui?s=$SPX&p=D&yr=3&mn=0&dy=0&id=p78022958774&a=171819650

http://stockcharts.com/h-sc/ui?s=$SPX&p=W&yr=20&mn=0&dy=0&id=p43584497701&a=171819478


Thanks,
SM

Martin said...

Here is a trading systen that I found on the internet using Renko and a few indicators. I have not back tested it but it seems to work well and you might be able to get even better results if you only took trades in the direction of the major trend

http://breakpointtrades.com/controls/preview.php?nl_id=267

Hope this is useful

Regards


Martin

Anonymous said...

What Renko Chart indicator creates the long vertical red or green lines with the arrows??

They don't show up when new stock symbol is entered.

Thanks

Lasertrader said...

Allan:

I just got back from the weekend and was very happy to see you pick up on my Renko posts. Your additional insights and the comments posted by the others have helped all of us. Thank you for adding to the topic and thank you to all the others that shared their insights.......and I know you read all of the posts.

I am glad I helped you enjoy your Saturday :)

Bruce

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