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Is there a way to run the Renko Strategy with UniRenko Bars?
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Is there a way to run the Renko Strategy with UniRenko Bars?
Does anyone have a way of running the Renko Strategy for Ninija Trader 8 using the Unirenko Bars? I tried changing the script to reference UniRenkoBarsType instead of RenkoBarsType and get an error (NijaTraderData.BarsPeriodType does not contain a definition for UniRenko). Trying to be able to accurately backtest and optimize the Renko Strategy without missing any data that is omitted when creating the Renko bars. If I run the backtest using order fill resolution set at standard and then High Tick 1 there is a 50% decrease in net profit between the two so there is an issue somewhere. Which is more reliable in the event that there is no option for the UniRenkoBarsType, Standard or High?Tags: None
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Hello EminiMES,
If the strategy is adding a secondary series, the custom bar type can be added with it's ID.
From the help guide:
"2. You can add a custom BarsType which is installed on your system by casting the registered enum value for that BarsPeriodType. For example: AddDataSeries((BarsPeriodType)14, 10);
3. You can specify optional BarsPeriod values (such as Value2) of a custom BarsType in the BarsPeriod object initializer. For example: AddDataSeries(new BarsPeriod() { BarsPeriodType = (BarsPeriodType)14, Value = 10, Value2 = 20 });"
The barsType identifier can be used to get the IDs for each imported bar type.
This is just a simple script which prints the BarsTypes and their BarsPeriodType ID as an integer. This is to aid in finding BarsPeriodType ID’s for the use with AddDataSeries syntax. For more apps from this user, check out the Trendline Detection tool!
High Order fill resolution adds a bar type for intra-bar fill information. Setting this to 1 tick would increase the accuracy.
Below is a link to a forum post on intra-bar granularity and order fill resolution.
Chelsea B.NinjaTrader Customer Service
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Thanks... I will explore creating a custom bar type. In the meantime can you answer this question which may resolve the issue at hand. When using the Renko strategy built in to Ninja Trader 8, I have chosen to use on bar close calculation. Is the close of a Renko bar using Renko bar data the same price as the open of the next Renko bar and if so, which setting for the backtest should I use, standard or high? I only enter and exit trades after the calculation of the bar close and at the open of the next bar not intra-bar. If it is the same price then there is no need to create the custom bar that uses UniRenko data and I can rely on the backtest data. When reviewing the trades it appears that the close and open of the next bar initially are the same for trade entry or exit.
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Hello EminiMES,
With Renko bars, these can change the open of the bar depending on how the bar is building.
Specifically the script uses IsRemoveLastBarSupported true so that it can dynamically change the open price of the bar. This further means that this cannot be used with TickReplay.
Hi Support I really could use some help from your guys. I have created a strategy based on the unirenko bars and the Fisher Transform indicator. I have led the strategy run the whole night, and when I then compare the strategy performance on the chart that has been running the whole night, and with a new duplicated chart withChelsea B.NinjaTrader Customer Service
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Does TickReplay work with range bars. i cant see reference to IsRemoveLastBarSupported in either Unirenko or Range scrips.
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Hello Kicks.Spin,
Yes, these BarsTypes do not use RemoveLastBar and can be used with Tick Replay.
You can open a Data Series window to create a chart and select a bars type, and if Tick Replay is greyed out, this can also confirm the bar does not support Tick Replay.
JimNinjaTrader Customer Service
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