Renko Backtesting - Order Execution Problem

[tulx2305]

Dear support,

Is there any progress on the issue?

http://www.ninjatrader.com/support/forum/showthread.php?t=49420&page=2

http://www.ninjatrader.com/support/forum/showthread.php?t=50907&highlight=current+bar

I have the same issue with the Renko backtesting and I agree with the previous comments in the thread's above.
This means Order Execution at open price of the next bar is generating an unreliable and inaccurate backtest result.

In my opinion, the Order Execution in Renko backtesting should take place on Close at Current Bar (this would be desirable as an option in backtesting, because I'm used to this with other trading platforms).
The usage of multi-timeframes (e.g. tick.1 as second timeframe) is impractical as well, because the duration of the calculation will be massive increased when trying to optimize the strategy.

Thanking you in advance for your reply.

[NinjaTrader_Bertrand]

tulx2305. thanks for the post and welcome to our forums - this item has been added to our product enhancement list as suggestion, those are being actively used in development as we set the path for our next major upgrade - I could not give you an ETA or commitment though at this point.

For now, the adding of a 1 tick series to generate more accurate backtest results on those more exotic bars types would be the best approach. Another option is to run your tests in Market Replay, here the intra-bar granularity down to the tick level would be available as well of course.

[tulx2305]

Hello Mr. Betrand,

thank you for your replay.

So atm i use a workaround with a own fill type (Fill On Close):
Unfortunately the Strategy SlipPage calcuation no longer works, do you have any ideas?

Many thanks and greetings

--------
if (order.OrderType == OrderType.Market)
{
//Change for buy on Close
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover) // set fill price
FillPrice = Math.Min(Strategy.Closes[0][0], Strategy.Closes[0][0] + SlippagePoints);
else
FillPrice = Math.Max(Strategy.Closes[0][0], Strategy.Closes[0][0] - SlippagePoints);
}
--------

[NinjaTrader_Bertrand]

Slippage would unfortunately not be applicable here, since this is a backtesting item only - there's no historical fill processing with ATM's. I would just try to factor it into the avg trade you received when doing the replay, if a tick or two doesn't hurt too much....