Backtest with Range bars

[Uregon]

How is the backtest working with range bars ?

Is it on bar close or when condition is true?

Thank you

[NinjaTrader_BrandonH]

Hello Uregon,

Thanks for your post.

Backtests done in the Strategy Analyzer will use Calculate.OnBarClose.

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.

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

Please review the help guide document on the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known.

Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

Below is a link to the help guide on Calculate.
https://ninjatrader.com/support/help.../calculate.htm

Additional information may be found in this NinjaTrader Forum post:
https://ninjatrader.com/support/foru...mance?t=102504

Let me know if I may assist further.