Fixed-Size Renko Levels from Closing Prices for Backtesting

Summary

The document presents a fixed-box Renko indicator designed to make Renko-like signals usable in ProRealTime backtests. It initializes upper and lower levels around the closing price, then shifts both levels by one box when the close crosses beyond the next upper or lower threshold. The box size is configurable; the author gives examples for the DAX and EUR/USD. This creates stepwise price levels that can serve as inputs for testing strategies based on Renko movement.

The method relies on closing prices, rather than continuously updating with the current price, which the author identifies as a limitation. The document gives no backtest results, comparison with native Renko charts, or discussion of signal timing and execution assumptions. Its contribution is a simple indicator construction approach, not evidence that Renko-based strategies are profitable or robust.

Key ideas

• The indicator represents Renko movement with two fixed-size price levels.
• It shifts both levels upward or downward when the closing price crosses the next box threshold.
• The configurable box size can be adapted to different instruments and price scales.
• Using closing prices means the levels do not reflect intraperiod price movement.
• The document proposes the indicator for backtesting but reports no strategy performance results.

Tags

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