We all know limitations of the Strategy Analyzer on historical data test. It is impossible to test reliably historical data, especially Renko charts. I Implemented an idea, allowing to test Renko bars with intrabar granularity. I implemented a trivial SMA crossover strategy as a feasibility check. An explanation follows:
You must have a tick historical data.
The primary data must be must a tick data, otherwise it's impossible to place an order with a tick precision, because Strategy Analyzer is capable to send order only on bar close (in this case a tick).
I'm adding a renko data, as the secondary series (ticks2 input is my renko size).
I'm adding tick ask and tick bid data, in order to enter long on ask and short on bid prices.
I'm defining two data series: askTicks and bidTicks synchronized to renko bars. These two series imitate renko bars, but I'm updating the last bar of the series every tick, for asks and bids accordingly. Pay attention that on renko bar close, previous bar of ask and bid data series are updated. This way I have data series, which are identical to renko closes, except of current bar, updated every bid and ask tick accordingly. These series are used for a computation, in this example SMA crossover, which is updated every tick, but based on renko series. Once you'll run the strategy analyzer, you'll see that orders are issued not on renko close, but intrabar ticks, while renko is populated.
It is possible to add two renko series separately, renko based on bid and renko based on ask, it may be even more precise.
Of course, my idea will run on any historical data, but renko was most acute.
Encl. Exported strategy and Strategy Analyzer setup screen. The analyzer must be run on 1-tick data. You may set exit on close according to your needs.
You must have a tick historical data.
The primary data must be must a tick data, otherwise it's impossible to place an order with a tick precision, because Strategy Analyzer is capable to send order only on bar close (in this case a tick).
I'm adding a renko data, as the secondary series (ticks2 input is my renko size).
I'm adding tick ask and tick bid data, in order to enter long on ask and short on bid prices.
I'm defining two data series: askTicks and bidTicks synchronized to renko bars. These two series imitate renko bars, but I'm updating the last bar of the series every tick, for asks and bids accordingly. Pay attention that on renko bar close, previous bar of ask and bid data series are updated. This way I have data series, which are identical to renko closes, except of current bar, updated every bid and ask tick accordingly. These series are used for a computation, in this example SMA crossover, which is updated every tick, but based on renko series. Once you'll run the strategy analyzer, you'll see that orders are issued not on renko close, but intrabar ticks, while renko is populated.
It is possible to add two renko series separately, renko based on bid and renko based on ask, it may be even more precise.
Of course, my idea will run on any historical data, but renko was most acute.
Encl. Exported strategy and Strategy Analyzer setup screen. The analyzer must be run on 1-tick data. You may set exit on close according to your needs.
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