Uninrenko - backtestability and market replay?

[kbellare]

I'm using the Unirenko charts plug-in from http://ninjatrader.com/support/forum...d=4&linkid=560 - very good enhancement to Renko, but couple of problems -

1) Does it support Market Replay? It doesn't execute orders in market replay mode, even though i downloaded and i'm able to execute orders I downloaded 4 days of market replay data, opened the chart (with Unirenko data-type) and set the strategy to run, but no orders. I am able to generate orders with the same strategy on Renko data-type and downloaded data

2) Backtestability issue - Why is the Open Offset minimum 1 and not 0? Setting it to 1 would generate spurious Limit order fills during backtesting in the scenario where I have Limit orders at 1 offset to Close[0] and the real price doesn't touch the offset. For example, i set
if (Close[0]>Open[0]) EnterLongLimit(-1 tick) and the offset is 1, the order will fill whether or not price at the next bar goes under Close[0].

- How can i modify code to allow a minimum offset of 0?
- Will this make it fully backtestable and optimizable? Or are there other issues with backtesting unirenko bars?
- Also, how do i make the OpenOffset and ReversalTicks optimizable parameters?

3) In NT8, i believe tick-by-tick backtesting is supported (with Calculate at BarClose = False). Is it possible to use this data-type with NT8 for tick-by-tick backtesting to get more accurate results?

4) Is there another Renko bar plug-in in NT7/NT8 that is fully backtestable and addresses these issues?
** not sure how to add the author (@monpere) to this thread so he could respond.

thanks
Kiran

[NinjaTrader_Jesse]

Hello,

Thank you for the questions.

I wanted to ask, the strategy in question, is this an item you have created yourself or was this downloaded in combination with the bar type mentioned?

1. If this is something you had created your self I may be able to assist in some of these items, otherwise if this was downloaded you will need to consult the source where you had downloaded this to determine why it does what you are seeing or for configuration settings.

2. Regarding backtesting, this will depend on how the strategy was created and if it was created with the intention of being backtested. Because you are using a Tick series (renko) this will make a major difference depending on the logic when used RealTime or in a BackTest. There is more information on this here: http://ninjatrader.com/support/helpG...htsub=backtest . This is another item if you have not created the script you will need to refer back to the source to find out how it works.

3. In NinjaTrader 7 you can backtest using a tick series so tick by tick is supported in this sense, the Close of the bar is still used so a 1 tick period would be needed to do any sort of intrabar granularity. NinjaTrader 8 is being improved regarding backtesting and historical data, you can find some of the changes in this document: http://ninjatrader.com/Downloads/Maj...njaTrader8.pdf
Once the public version is released we will have a better idea of the exact features and specifics on this subject.

4. This depends on how the bar type work, because this is not made by NinjaTrader I can not really comment on this. In general there are differences when working with Renko in backtest vs realtime but this is considered part of the discrepancies between realtime and back testing. you would need to contact the author to see if they have any information on backtesting with this bar type.

I look forward to being of further assistance.

[kbellare]

Hi,
I was able to set OpenOffset to 0 (by hardcoding it to 0), so that the Unirenko bars is backtestable,
However, it still doesn't trigger orders in Market Replay mode. The add-on is on http://ninjatrader.com/support/forum...light=unirenko

-> Please review the code and advise if it's missing some method calls for running in Market Replay (and Live) mode? I've also sent a note to the author (@monpere) but got no response.

thanks
Kiran

[NinjaTrader_PatrickH]

Hello kbellare,

Thank you for your response.

You would need to contact the developer for assistance with the custom bar type as we do not provide support for custom NinjaScript files. It is likely the custom bar type is not optimized for Market Replay data.