Causal Donchian Channels on a Tick-Built Renko Chart

Summary

This short specification explains how a Renko chart is constructed and how a Donchian Channel is aligned to its bricks. The horizontal axis tracks the sequence of Renko bricks rather than elapsed time. Bricks are built from incoming bid ticks using the classic two-brick reversal rule, so a reversal requires movement sufficient to form two bricks in the opposite direction.

For each newly completed brick, the channel uses only the preceding N completed bricks and excludes the current brick from its own calculation. That exclusion makes the channel causal: the current brick cannot influence the boundary against which it is evaluated. The document defines chart construction and indicator timing, but supplies no instrument, brick size, trading entry or exit rules, backtest, or performance evidence. It is therefore a technical-method description rather than a complete strategy.

Key ideas

• The chart’s horizontal axis indexes Renko bricks instead of time intervals.
• Renko bricks are built from bid ticks using a two-brick reversal rule.
• Each Donchian Channel calculation uses the previous N completed bricks.
• The current brick is excluded, preventing it from changing its own reference channel.
• No trading rules or performance results are provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.