Modified renko construction with RSI bands and a trend filter

What interval charts keep

Interval line charts keep only successive endpoints and drop the rest of each interval's price path. Range bars and renko-brick charts are offered as lower-noise types, yet they still depend on how each box is built.

Limits that block automation

Historical automation of those charts is limited by missing wicks, displayed opens and closes that may not match actual prints, and untradable virtual-bar units inserted to fill gaps. Those chart types can be automated only after those construction limits are treated as known constraints.

Modified bricks from tradable prices

A modified-renko construction can add high and low wicks and place the true open on reversal bricks. The same logic can be built from end-of-day prints, where reconstructed shapes tracked the candle path more closely than the reported timestamps.

Two ways to take a fill

One test design uses an hlc-overlay of high-low-close prices on the bricks so market fills still occur at the opening print. Another construction treats bricks as virtual: the signal is taken from the brick, and the fill is shown at the open of the next bar on the underlying chart.

Brick size, volume, and streaks

Brick-size can be defined in ticks with separate up and down counts plus a multiplier, allowing asymmetric-noise-absorption of rising versus falling jitter. Size and absorption can also be left to an optimizer. Volume can be mapped from the underlying chart onto the matching bricks, and a streak-counter can report how many consecutive up or down bricks have printed.

RSI bands and a trend filter

An adjustable-band RSI rule enters long at the next open when RSI is below a length-scaled lower rsi-confidence-interval-band and exits at the next open when RSI is above the matching upper band. Shorts reverse the same pair of tests, and a switch can restrict the test to long-only, short-only, or both.

A long-only historical protocol on the NASDAQ 100 used next-open entries and exits and a close-based stop. An index trend-filter was proposed to address drawdowns in declining markets.