FlexRenko Auto Strategy Query  [SOLVED]

Hope everyone is doing well.

I cannot find much information on here relating to FlexRenko bars and their automation.

I suspect the reason for that is because it is so difficult to get true automation with anything outside of time-sync bars?

It appears the best you can do is use "this bar on close" for testing as execution is often on the high or low of the bar for FlexRenkos assuming you even get that price given slippage, etc.

I assume one would also need to use barstatus(1) = 2 for such cases.

I wondered if the recently added and improved Simulation Trading is likely to yield better results on a tick by tick simulation of auto strategies for these type of bars? Anyone had experience of this?

The only other approach I can think of would be to go directly into a SIM broker environment and forward-test. The obvious problems are time it would take getting enough data across a time-line.

What is everyone's thoughts on this approach, would love to know?

Thanks.

Hello svfutures24,

This bar on Close strategy is generally used for backtesting only. Please refer to this thread for some more info on it.

You can use barstatus(1) = 2.

Using Simulated Trading for these purposes would be a good idea. As for data, you can use the built-in Market Data Sim, it gives access to historical Level 2 data.

Hi Vlada

Thanks for your reply back. I thought this would be a better approach, albeit a long and cumbersome road! Thanks