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Can I consider Renko backtesting accurate?

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    Can I consider Renko backtesting accurate?

    I am backtesting a strategy using Renko Bars, and the strategy doesn't use any intrabar decisions, only on close.

    So is that backtesting on Renko bars could be accurate and can I expect it to perform the same between BackTest and Real Time?

    Thank you for your help!

    #2
    Hello Lionell,

    Thanks for the post.

    Using Renko bars in a backtest will produce results that are not comparable to real-time results due to the way Renko bars are built.

    Renko bars on real-time data re-draw the open based on the direction of the bar. This cannot be simulated historically, since backtests use four, and only four data points: the open, high, low and close. Other means of backtesting, such as Market Replay/Play Back, can still yield appropriate results.

    Please let us know if you have any questions.
    Chris L.NinjaTrader Customer Service

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      #3
      Originally posted by Lionell View Post
      I am backtesting a strategy using Renko Bars, and the strategy doesn't use any intrabar decisions, only on close.

      So is that backtesting on Renko bars could be accurate and can I expect it to perform the same between BackTest and Real Time?

      Thank you for your help!
      The simplest answer to your question is "no". And the simplest reason is that Renko bars do not show the full travel of the bar: they show only the delta in one direction or the other.

      Comment

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