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NinzaRenko Backtest Issues

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    NinzaRenko Backtest Issues

    Hello,

    Please refer to this screenshot. This is from a backtest / strategy analyzer results.
    Why does it record the exit before the entry? Ran this multiple times for different dates and different sized renko. Every time it shows with exit stamped before entry.
    Any suggestions?
    Thanks.


    Click image for larger version

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    ​

    #2
    Hello givemefood,

    Thanks for your post.

    Standard Renko bars can be challenging for backtesting as the barstypes use functionality to remove the last bar in the data series and replace the bar with a new Open price.This is done with reversals and cannot be simulated historically, because the bars are already built. Testing may be done with the Playback Connection to fully simulate standard Renko bars with accurate reversals and order fills.

    Some custom Renko bars aim to work around this limitation and often substitute a "fake" open price in the bar. This will result in Standard Order Fill Resolution estimating fill prices using OHLC values that are not 100% reflective of actual price action which can create discrepancies with results. High Order Fill Resolution should be used in cases like this, or the strategy should be written to submit orders to a single tick data series.

    See the help guide documentation linked below for more information.

    Playback: https://ninjatrader.com/support/help...8/playback.htm

    Discrepancies between backtest vs realtime: https://ninjatrader.com/support/help...ime_vs_bac.htm

    Let me know if I may assist further.​​
    Brandon H.NinjaTrader Customer Service

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