- The shipping Renko bars are a total fiction and useless for backtesting. The reasons have been discussed multiple times in these fora. Try a forum search on "Renko" threads which have a response from me. There should be some interesting stuff in those, as at today, 32 threads. Here is one as a starter: http://www.ninjatrader.com/support/f...ad.php?t=68224
- Any Renko BarType that shows the wicks (and hence possible price action) can be backtested provided one takes appropriate action to compensate for the offset of the open of bars, from the close of the previous bar. That typically is then a slippage of "half the brickSize + 1" tick. Anything less is also a fiction, because it will make almost all entries have positive slippage with respect to entries. While this positive slippage will be true in some cases, in others it will not.
- Of course, one can always use a MTF setup and use Signals off the (overlapping) Renko bars, and entry on the secondary time frame (best would be 1-range or 1-tick).
- Heiken-Ashi based on any Renko represents 2 levels of massage of the primary price data. Not bloody likely to be of any use.
A word of advice. In Backtest/Optimization, one should always be a cynical, skeptical, conspiracy-theory nut: any overly positive results must be viewed with extreme prejudice, and the (often) mistaken assumptions that may have been overlooked should be found and routed out.
I can tell you some very interesting war stories about our "pie in the sky" dreams when we first tested already successful strategies against various Renko bars.
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