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Strategy analyzer/ Renko bars

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    Strategy analyzer/ Renko bars

    Hello,

    I have read some of the posts on back testing renko but I would like to confirm my understanding. I am back testing a renko strategy using 8 tick bars. I have selected use bar close for the strategy and for testing purposes widened the stop loss so that it should not be a factor for testing. Set this way the strategy upon receiving an entry signal will place a market order at bar close and fill normally yielding accurate entry results. correct?

    #2
    It is very difficult to achieve accurate backtesting with renko bars and will likely require the use of a multi series script, but even with this you can still run into issues. This is because renko bars do not include all the trade prices.

    A good discussion on this can be found here: https://www.bigmiketrading.com/ninja...ko-charts.html

    Let me know if I can be of further assistance.
    LanceNinjaTrader Customer Service

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      #3
      Hi Lance,

      I am still not quite clear. Lets say that a renko bar on the CL contract closed at 107.00. This bar triggered a strategy entry. Regardless of all that goes on with renko bars if a market order is placed at the close of that bar it will fill at 107 give or take the normal fill irregularities of any market order, correct?

      Or to put it another way it would be the same as if at the close of the renko bar I manually placed a market order at that time. Correct?

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        #4
        In real time this would be what happens.

        However one of the issues with historical renko bars is redrawing the "open" of the bar after the bar has formed. When a market order is placed historically it will enter on the first tick of the next bar. This may not be the same price you would have in live trading.

        Let me know if I can further assist.
        LanceNinjaTrader Customer Service

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          #5
          Is there a way to efficiently download multiple days of market replay data so that I can run the strategy utilizing the replay function and am I correct in assuming that this will yield accurate results?

          Comment


            #6
            We do have some 3rd party resources available for downloading multiple days of replay data.

            The two I'm currently aware of are:
            http://marketreplaydata.com/
            http://marketreplay.net/

            This would be the best way to backtest renko bars that I'm aware of.
            LanceNinjaTrader Customer Service

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