Mean Renko with backtesting

[MichaelAlexander]

When I use mean Renko's for backtesting and I look at the historical chart the entry price in different then in reality. If their an way to make this more even with the real charts? can I change some option maybe?

Example screenshot historical:

http://prntscr.com/fu6098

entry/exit price is on the half of the next candle

Example screenshot same trade but then on Real:

http://prntscr.com/fu60mc

entry/exit price is on the low of the candle

The strategy performance is now way different then it will be in reality.

[NinjaTrader_PaulH]

Hello MichaelAlexander,

Thanks for your post.

Renko bars will provide a false open and this behavior (entering on the open of the next bar) is expected in backtesting. The best option, without changing your strategy, is to use Market Replay where the bars are built the same as live data and renko bars and strategies will perform the same as on live data.

Alternately you can change your script to use stoplimit orders to enter. Using stoplimit will allow the strategy to enter in the same direction as the bars are heading which is where the renko bars close is found.