Chart: S&P E-Mini Money Prediction
The charts for the InterChart Tools Renko Bar examples described in this help file are installed in the "InterChart Tools Renko Bars Examples" subfolder of the NeuroShell Trader folder.
This chart is based on the E-mini S&P 500 Futures. The base chart uses 0.25 range bars and the Prediction uses Ict mRenko Money bars.
This prediction used momentum and slope indicators calculated with Renko Money Bars to generate trading signals.
Ict Renko Money Bars are created based on a combination of volume and price bars included in the base chart. When you are working with an instrument such as the futures S&P E-Mini which trades a large volume you might want to use larger ranges for the Ict Renko Bars than you would for charts that use simply Ict Renko Bars. For this example, the momentum and slope indicators were based on the Ict mRenko Close indicator, as were the other inputs to the Prediction. The parameters for each input to the neural network were linked together to produce symmetrical bars. The indicator parameter ranges were set as follows for each input to the neural network:
The virtual tick size was set to 5, which represented a $5000 change in price multiplied by volume (this value was not optimized). The optimizer chose 5 Ticks per Up Bar and 5 Ticks per Down Bar, which was at the max of the optimization range. The optimizer set the Bar Multiplier at 10, again at the max of the optimization range. We could have started with a higher virtual tick size, but we let the optimizer find the most profitable amount of change used to create a Money Bar through the Bar Multiplier parameter.
Additional set up for this model included trading on a margin of $2500, a point value of $50, commissions of $2 per side, and slippage of 0.25 per side. The Prediction bought a fixed amount of 10 per trade. Trading hours were restricted from 7:30 am to 3:00 pm eastern time.