Renko backtest?

[Skechers]

Hello,

I'm now into testing my strategy. My bar type is Mean Renko.

The chart and analyzer backtest look beautiful.

However, when I run the strategy in real time simulation mode, the results are unexpected and losses occur.

The strategy appears optimistic, I've read some articles mentioning that.

Is it really so? Is there a way to make it more realistic?

Many Thanks, Caesar.

[NinjaTrader_Emily]

Hello Caesar,

Thank you for your post.

With standard Renko bars, a backtest is very challenging because the bars have a function that removes the last bar and replaces it with a new Open price. This is difficult to simulate historically vs. how it occurs in real time. You mentioned you are using Mean Renko bars; some custom Renko bar types try tow work around the replacement of the previous bar with a new open price by using a "fake" open price for a bar. If that is the case for Mean Renko, you may get more realistic backtest results by using High Order Fill Resolution (https://ninjatrader.com/support/help...ical_fill_.htm) or by coding your strategy to submit orders on a single tick data series (https://ninjatrader.com/support/help...ipt_strate.htm). Another option would be to backtest your strategy using the Playback Connection so that the bars may be built more realistically as if they were in real time (https://ninjatrader.com/support/help...connection.htm).

There is a section on the "Discrepancies: Real-Time vs Backtest" page in our help guide about backtesting Renko bars here:

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

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

[Skechers]

Hello Emily,

Many Thanks for the many pointers!, Caesar.