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Question about backtesting using Heiken Ashi bar

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    Question about backtesting using Heiken Ashi bar

    Hello, I backtested a strategy based on common minute bar and then tried on Heiken Ashi bar just for a check without changing anything on my strategy. The results have considerable differences. My question is what is the backtest mechanism for a strategy based on minute bar putting on Heiken Ashi bar. The calculation of the logic based on OHLC would be Heiken Ashi bar's OHLC or minute bar's. what bar prices are the execution prices of signals based on? Thanks.

    #2
    Originally posted by dahutu View Post
    Hello, I backtested a strategy based on common minute bar and then tried on Heiken Ashi bar just for a check without changing anything on my strategy. The results have considerable differences. My question is what is the backtest mechanism for a strategy based on minute bar putting on Heiken Ashi bar. The calculation of the logic based on OHLC would be Heiken Ashi bar's OHLC or minute bar's. what bar prices are the execution prices of signals based on? Thanks.
    It also seems backtest results are different in strategy analyzer and chart for the same period using Heiken Ashi bar.

    Comment


      #3
      Hello dahutu,

      The Heiken ashi bar and minute bar would have differences in values overall due to how the heiken ashi is made to form the data. In the backtest the bars would be different between your two tests so we should expect different results.

      Although the heiken ashi has a base series value that matches your primary it would only be used to generate the heiken ashi bars, the backtest will then use the generated bars to place executions. As the data is different it is very likely you will see differences overall in how the strategy logic works and where executions are placed. You can use the execution information or chart to visually see the differences to better understand why.


      I look forward to being of further assistance.
      JesseNinjaTrader Customer Service

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