Backtesting an /ES Strategy That Uses Heiken Ashi Candles

[preqc]

I saw an /ES strategy on YouTube & wanted to backtest it, hopefully someone can help me out.

The strategy uses Heiken Ashi candles & goes as follows -
On a 5 minute chart you would go long /ES after two green flat bottomed Heiken Ashi candles & exit when a wick appears below a candle or on a candle color change, in this case green to red. For shorting it would be two red flat topped candles exiting when a wick appears above a candle or a red to green color change.

Ideally I'd like to run two backtests - one that exits when a wick appears below or above a candle & one that exits on a candle color change.

Thanks!

[bltdavid]

I saw an /ES strategy on YouTube & wanted to backtest it, hopefully someone can help me out.

Welcome to the forums!

Can you provide the YouTube link?

[preqc]

Welcome to the forums!

Can you provide the YouTube link?

https://www.youtube.com/watch?v=uo66-r9JD8M&t=730s

skip to 7:00

[NinjaTrader_Kate]

Hello preqc,

Thank you for your posts.

If you're going to be backtesting a Heiken Ashi strategy, you should be aware that Heiken-Ashi candles present false information concerning each candle.

Here is how the Heiken-ashi is calculated:
HAClose = ((Open[0] + High[0] + Low[0] + Close[0]) * 0.25); // Calculate the close
HAOpen = ((HAOpen[1] + HAClose[1]) * 0.5); // Calculate the open
HAHigh = (Math.Max(High[0], HAOpen[0])); // Calculate the high
HALow = (Math.Min(Low[0], HAOpen[0])); // Calculate the low

When you place an order it can only fill on real price data.

The strategy analyzer does not know what the base data is that created the Heiken-Ashi bar and it will backtest based on the false information presented.

A work around, for backtesting in the strategy analyzer, would be to use the indicator HeikenAshi8 in your strategy and use standard bars in the chart/analyzer so that the backtest results are based on real data points and your strategy can use the Heiken-ashi values for your entry conditions

The HeikenAshi8 indicator can be found here: https://ninjatraderecosystem.com/use...heiken-ashi-8/ Please note: The NinjaTrader Ecosystem website is for educational and informational purposes only and should not be considered a solicitation to buy or sell a futures contract or make any other type of investment decision. The add-ons listed on this website are not to be considered a recommendation and it is the reader's responsibility to evaluate any product, service, or company. NinjaTrader Ecosystem LLC is not responsible for the accuracy or content of any product, service or company linked to on this website.

For what you're wanting to do, you would want to compare whether HAOpen[0] == HALow[0] and HAOpen[1] = HALow[1] for a long entry as that would tell you if there have been 2 flat bottomed green candles. For red candles with flat tops, HAOpen[0] == HAHigh[0] and HAOpen[1] = HAHigh[1] for two of those. Candles with wicks would have highs and lows that do not match the open or close (depending on candle direction and which end the wick is on. You can check whether a candle is red or green by checking whether the HAClose is greater or less than HAOpen.

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