TakeFlight Renko + Projection

Renko I could trust in a backtest.

Why I built it

I wanted Renko I could trust in a backtest. NinjaTrader's built-in bricks invent their open and close, so a strategy tested on them is tested on prices that never printed. These bricks keep the true open, high, low, and close — honest wicks, no synthetic prices — so what your backtest sees is what the market did. The Projection overlay draws the prices at which the next brick completes, on both sides, before it happens.

What it does

Two pieces ship together: a bars type and a companion indicator.

The bars type. You pick it in the Data Series dialog and set two numbers: brick size in ticks, and a reversal multiple. Continuing in the direction the grid is already running takes one brick's worth of movement; turning around takes the reversal multiple times that. At the default 4-tick brick and 2x reversal that is eight ticks against a run before the grid turns.

A brick's close is the grid level it confirmed at — that quantized close is the Renko part, and the confirming boundary is clipped into the brick's high or low. The tick that confirms a brick belongs to the next one: its price and its volume seed the brick that starts there. When price jumps past whole grid levels with no prints in between — across a data gap — the skipped levels are emitted as explicit gap-fill bricks at zero volume instead of being folded away silently. Closed bricks are appended once and never revisited, so nothing behind the developing brick moves.

At a session boundary the last brick is left as an unconfirmed partial rather than forced onto the grid, and the grid re-seeds from that price on the next session's first tick. No Tick Replay is required — the bars type consumes the ordinary tick stream NinjaTrader hands every bars type.

The Projection overlay. I built this half because I wanted to see where the next brick completes before it does, not after. Add it to the same chart and it draws two dashed lines extending right of the developing brick: the price at which the next up brick confirms, and the price at which the next down brick confirms. Both are on screen at once, so continuation and reversal distances sit side by side. Turn labels on and each line carries its target price, offset vertically by however many ticks you set. Up and down lines take separate colors, and it recalculates on price change rather than at brick close.

The overlay uses the bars type's own target math, so the engine must be installed alongside it — never install the projection alone. At a session change the lines can sit one brick behind for a moment, then correct themselves.

Settings that matter

The first two are set in the chart's Data Series dialog; the rest are the Projection indicator's own inputs.

Install

1. In NinjaTrader: Tools > Import > NinjaScript Add-On... and select the zip. Do not unzip it first.
2. Wait for "successfully imported all scripts".
3. Open a chart, right-click > Data Series..., set Type to TakeFlightRenko, and set Value and Value2.
4. On the same chart, right-click > Indicators..., add TakeFlightRenkoProjection.

Requires NinjaTrader 8 desktop.

What it is not

These are observe-only tools: the bars type defines a bar, the overlay draws two lines. Neither writes a file, places an order, or tells you what or when to trade. They compute and display; the decision is yours. Futures trading involves substantial risk of loss.

Related: Why Renko backtests lie in NinjaTrader · Renko LegStats · TakeFlight Supertrend

Built custom. I do this for hire — fixed quote, most jobs under a week. Get a quote →