Backtesting Renko by forcing entry on bar close instead of open

[quicksandatl]

Hi there,

I'm trying to backtest a renko strategy, however my strategy is triggering on the following bar open, rather than the close of the bar that should trigger the entry.

Is there any way around this with renko?

In my attached image, I would want this long entry to happen on the top of the 3rd green bar, rather than showing at the open of the following red bar (which even then is still not the correct price).

Thanks!

[NinjaTrader_Emily]

Hello quicksandatl,

Thank you for your post.

We have a page in the help guide that covers discrepancies between real-time and backtest:

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

The final section of that page describes how backtesting Renko bars and Heiken Ashi bars is challenging. Renko bars have a functionality that removes the last bar and replaces it with a new Open price. This may not be simulated historically. For that reason, we suggest running tests on the Playback Connection rather than the Strategy Analyzer when dealing with Renko bars.

Some custom Renko bars try to work around the limitation, and in order to get more accurate fill prices with these types of bars you should use High order fill resolution or submit orders to a single tick data series for intrabar granularity.

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

[quicksandatl]

Thank you NinjaTrader_Emily! I have read that post before, and unless I am understanding it incorrectly, I don't care about the open of the bar, only the close. So in this case I don't care about the "skipped" bar on reversals.

In my example, I just want the entry to happen on the close of that 3rd green bar, which should technically be the true price since that bar was only painted after that top price level was ticked. After that bar is painted, it takes 2 bars to paint the 1st red bar, but I don't care about the red bar, only the green bar.

Let me know if I am misunderstanding.

[NinjaTrader_Emily]

Hello quicksandatl,

Thank you for your reply.

Since you are working with close prices, the backtests may still suit your needs. You will still need to consider using either High order fill resolution or submitting orders to a single tick data series for intrabar order fills and more accurate order fill prices; the standard order fill resolution only fills orders based on OHLC data and will be the same as processing the script On Bar Update which is likely why you are seeing orders one bar later than you are expecting to see them.

For more details on historical fill processing:

https://ninjatrader.com/support/helpGuides/nt8/understanding_historical_fill_.htm

If your strategy is a multi-series script, you will instead need to add a 1-tick data series and submit orders to that series:

https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

Thank you for your time and patience.

[quicksandatl]

I think this is getting me what I need. Thank you Emily!