Renko backtesting wrong behavior

[ninjo]

Hello NT friends

I think its a serious problem
I was backtesting a stratey in Renko bars and the results was very good. I suspect that some thing was bad, and yes, some thing its very bad.

The Renko historical backtesting NOT close the orders correctly in spite of "CalculateOnBarClose= true"


The historical backtest close positions WHEN the next bar open, NOT when the last bar close....

Luckily I tried the strategy replaydata, where the orders are close corretly where the last bar close.

How could i solve it? Its an NT bug whitout solution?

Please, Could you help me?

[ninjo]

Some help to configure my strategy for close the orders when the last bar close in renko charts?

Thank you for any idea

[NinjaTrader_ZacharyG]

Hello ninjo,

Thank you for your inquiry.

Unfortunately, utilizing Renko bars through backtesting will not give you accurate results due to how Renko bars are built.

If you are looking to backtest on Renko bars, you should utilize the concept of intrabar granularity: http://ninjatrader.com/support/forum...ead.php?t=6652

If you want to simulate real time as close as possible, it would be best to utilize Market Replay rather than backtesting if you would like to use Renko bars.

I would also suggest reading this link in our help guide for the discrepancies between real-time and backtesting: http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Please, let us know if we may be of further assistance.

[ninjo]

Thank you Zachary

I think i could go crazy with intrabar granularity concept.
And test real data with replay... Can download 1 year of historical data in one time? or i need to download day by day... I think i could go crazy testing one year in replay with real data.

I think it would be much easier if NT calculate the backtesting correctly when the last bar is closed and NOT when the next bar is opened....


Have NT programmers team any problem with it? I think its an extremely simple task with a very high utility for us.

Thank you.

[koganam]

Some help to configure my strategy for close the orders when the last bar close in renko charts?

Thank you for any idea

Search the forum on the string: "renko backtest problem", and you will get an education on why you should not be trusting anything that you get on a Renko Chart, whether backtesting or trading realtime. Heck, especially trading realtime. This particular post is particularly apposite: http://ninjatrader.com/support/forum...ad.php?t=69783

If that leaves you still unconvinced, do a search for posts by me that include the "Renko" word. I have a few choice words in there.

[NinjaTrader_ZacharyG]

Hello ninjo,

Unfortunately, through the NinjaTrader platform, you will only be able to download one day of Market Replay data at a time.

However, you can enable the Replay Recorder in order to record live data when you are connected to a data feed. All live data from instruments that are active in any NinjaTrader window will be recorded for replay.

To do this, you'll want to click on Tools -> Options in the NinjaTrader Control Center. Once the Options window pops up, you'll want to select the Data tab and check mark the box next to "Record for market replay".

For more information about using the Market Replay recorder, please take a look at the NinjaTrader help guide at this link: http://ninjatrader.com/support/helpG.../?set_up12.htm

To clarify, strategies are processed at the close of each bar during backtesting.

[mstreck]

I have very good consistency between backtest and Live trading using a strategy applied to RENKO Chart.

You need to add tick series for ASK and BID of the Instrument you trade, and send all market orders to the tick series, so you get an 'immediate' entry and Exit, albeit with some slippage sometimes, which depends on fill conditions.

I still use only the RENKO brick closes for the entry signals.

On Ninja Continuum, you can download about one year worth of tick data.

Hope, this helps.

Cheers,
Martin