Linking P&F and Bar Charts

[helmutw]

In the January 2005 S&C Robert Busby describes a data sequence called P&F data:

"Let Price be the daily price series of some financial instrument; construct a P&F chart of Price using any chosen method.

Now walk through the chart in sequence from the first X or O, and for each symbol encountered, record the box value. We call the resulting data sequence P&F data for Price, and denote it by PF(Price).

Next, replot the P&F chart, moving one square to the right before entering each symbol.

Then replace the (now-unnecessary) symbols with dots, and connect the dots."

How can we plot such a P&F equivalent line-chart in eSignal?

[eSignal_JasonK]

Hello helmutw,

A custom EFS formula would need to be developed that recreates the P&F logic internally using the bar chart data. Then return the P&F results to the bar chart.

[helmutw]

Hallo Jason,

last weekend I startet to develop a code for this.


Some times ago I tried this in Excel, with reasonable results.

Just have a look, at my Excel Chart with my so called "Renko-Line"

[helmutw]

This is the way, I calculate the "Renko-Line" in Excel.

[helmutw]

My first try to "translate" this in efs-language.

Please have a look, something different than my Renko Line in Excel...

Unfortunately I have no idea, how I have to to change my efs-code.

Can you please help me?



/************************************************** **************************************************
Example Renko Line for QQQQ
************************************************** ************************************************** */



function preMain() {
setPriceStudy(true);
setStudyTitle("Renkoline Close");
setCursorLabelName("CloseRenko",0);
setDefaultBarFgColor(Color.blue,0);
setDefaultBarFgColor(Color.blue,1);
setDefaultBarThickness(2,0);
}

function main(Start, Boxsize) {

if (Start == null) Start = 40;
if (Boxsize == null) Boxsize = 1;

var Brick = (close(0) - Start);

if (Brick < 0 ) var Brickfl = Math.ceil (close(0) - Start);
if (Brick >=0 ) var Brickfl = Math.floor (close(0) - Start);

var Renkoline = Start + Brickfl;




return new Array(Renkoline, Renkoline);
}



/************************************************** ******************
Example Brick Line for QQQQ
************************************************** ************************************************** */



function preMain() {
setPriceStudy(false);
setStudyTitle("Brick");
setCursorLabelName("HighRenko", 0 );
setCursorLabelName("LowRenko", 1 );
setCursorLabelName("CloseRenko", 2 );
setDefaultBarFgColor(Color.blue, 0);
setDefaultBarFgColor(Color.blue, 1);
setDefaultBarFgColor(Color.green, 2);
setDefaultBarThickness(2,0);
}

function main(Start, Boxsize) {

if (Start == null) Start = 40;
if (Boxsize == null) Boxsize = 1;

var Brick = (close(0) - Start);

if (Brick < 0 ) var Brickfl = Math.ceil (close(0) - Start);
if (Brick >=0 ) var Brickfl = Math.floor (close(0) - Start);

return new Array(Brick, Brickfl);
}

[ACM]

helmutw
FWIW Chris Kryza has written a Renko study for use with bar charts. If interested you can find it here
Alex

[eSignal_JasonK]

Hello helmutw,

The code below should be a closer translation of your excel example. However, it doesn't appear to reproduce the corresponding renko numbers from the renko chart type.

function preMain() {
    setPriceStudy(true);
    setStudyTitle("Renkoline Close");
    setCursorLabelName("CloseRenko",0);
    setDefaultBarFgColor(Color.blue,0); 
    setDefaultBarThickness(2,0);
}

var Start = null;
var Renkoline = null;
var Renkoline1 = null;

function main(Boxsize) {
    var nState = getBarState();
    
    if (Boxsize == null) Boxsize = 1;

    if (Start == null) Start = close(-1);
    if (Start == null) return;
    
    if (Renkoline1 == null) Renkoline1 = Start;
    if (nState = BARSTATE_NEWBAR && Renkoline != null) Renkoline1 = Renkoline;
    
    var Brickfl = Renkoline1 + Math.round((close(0) - Renkoline1) / Boxsize) * Boxsize;
    
    Renkoline = Brickfl;
    
    return Renkoline;
} 

[helmutw]

@ Alexis

Great Link and great step forward! Thanks a lot.

Is it possible to change this code, to separate Bricksize and Reversal Factor to modify the Renko Charts to P&F Line Charts?

I agree with Robert Busby thinking Renko Charts are modified P&F Charts with Reversal Factor 1.


@Jason

Thanks to you for translating.

"it doesn't appear to reproduce the corresponding renko numbers from the renko chart type."

That´s the problem. My Excel Formula adds the brickvalue to the data from the previos days Renko Line value . This line is reasonable.

My Efs Code allways adds the brick value to the startvalue. This posts wrong results. Unfortunately I am not able to code this in efs.

Maybe you can help.

[ACM]

helmutw
You may want to redirect your question to Chris Kryza who wrote the efs.
Alex