Different Results between strategy analyzer and running strategy live

[samish18]

It seems that line break charts, like renko, repaint the open.

[NinjaTrader_Gaby]

Hello samish18,

Thanks for your response.

I looked at the code for LineBreak and it does utilize IsRemoveLastBarSupported similar to Renko (although this is not mentioned in the Help Guide page for backtesting considerations).

You are correct, they are similar to Renko in that they can change the open price after the bar is formed. This wouldn't work well for backtesting and is not compatible with Tick Replay.

If you want to backtest using Line Break charts, it may be better to do backtesting using Playback with Market Replay for higher accuracy.

[samish18]

Would it be possible to add a minute data series to the strategy and execute orders on the minute series to correctly simulate using linebreak charts? I tried doing this and the executions are nothing like the charts

[NinjaTrader_Gaby]

Hello samish18,

You can always try implementing intrabar granularity to try to get more accurate results by submitting orders to a more granular series.

https://forum.ninjatrader.com/forum/ninjascript-educational-resources/reference-samples/6852-strategy-backtesting-ninjascript-strategies-with-an-intrabar-granularity#post6852

However as mentioned, since LineBreak bars use IsRemoveLastBarSupported like Renko they are also not ideal for backtest and are very difficult to simulate historically.

The other would be to use the Playback Connection with Market Replay data, this would simulate getting real-time data from the data that you have either recorded/downloaded.

[samish18]

Just for clarification: the close of a bar on a line break chart is the correct close, it is just the open that is incorret?

[NinjaTrader_Gaby]

Hello,

It is likely that the Close will remain the same if the ticks that built the bar are exactly the same. However, it is possible that ticks can be included with different bars because of the time stamp or that the real-time ticks are different than the historical ticks, which could cause a different Close.