Backtest in renko charts

[fscabrera03]

Hello.
Renko Backtest is not accurate in strategy analizer, i think because takes only close price of the brick.
My entry signal is the close of a renko brick.
I need to have that entry signal but i need to run the backtest in strategy analizer using tick movement updates.
Is that possible?
Thank you and sorry about my english

[NinjaTrader_Jim]

Hello fscabrera03,

Thanks for your question.

It is generally not a good idea to backtest Renko bars. There are certain behaviors that cannot be correctly simulated with historical data and we suggest using Market Replay data in the Playback Connection for testing Renko strategies.

Playback - https://ninjatrader.com/support/help...connection.htm

Understanding issues with Renko backtesting

NinjaTrader Renko bars utilize RemoveLastBar functionality to repaint the open of the bar. This cannot be accurately simulated with historical data which just represents the completed bar. Because of which, there will always be differences between how a Renko strategy backtests against historical data and how the strategy performs with realtime data.

Some custom Renko BarsTypes aim to get around this, but we cannot comment on how custom Renko bars are built because we did not create those bars.

Also keep in mind with custom Renko bars, if you are not submitting orders to a single tick data series, the OHLC of the bar will be used to simulate order fills historically. The "fake open" of a custom Renko bar could then simulate the order fill differently.

More information on submitting orders to a single tick series can be found here — https://ninjatrader.com/support/help...ipt_strate.htm

More information on historical fill processing can be found here - https://ninjatrader.com/support/help...ical_fill_.htm

For comparing Renko strategy results between historical and realtime, I would suggest not to do it, and to focus on comparing the Renko's realtime strategy performance against a similar test using Market Replay data in the Playback Connection.

If you want to backtest custom Renko bars with consistency between historical and realtime data, I may suggest consulting the developer of the custom Renko bar to see if their BarsType would yield the same results when that BarsType is backtested. You may wish to check with other vendors of these custom BarsTypes as well since some of these BarsTypes exhibit the same limitations as NinjaTrader's Renko bars, and some of them do not.

Please also see this short video which highlights Renko bars - https://www.youtube.com/watch?v=-hmE...ature=youtu.be

I look forward to assisting.

[fscabrera03]

Thank you! It was helpfull

[fscabrera03]

Hello, hope you are fine,
Now im working with playback to run my strategies and now the analisis is more accurate.
But this way to test the strategy doesnt give me de analytics that the backtest gives like, number of trades , % wins, % lost, profit factor, etc, etc.
There is some way to have that info running strategies with Playback connection?
Thank you so much

[NinjaTrader_Jim]

Hello fscabrera03,

Thanks for your question.

I would suggest running a Realtime Strategy Performance report to review trades after your test completes. This can be done by right clicking on the strategy in the Strategies tab of the Control Center and selecting Strategy Performance > Realtime.

Let us know if there is anything else we can do to help.