I have a Renko based strategy that I'd like to backtest using precise backtesting. I've read the wiki, but I need more assistance to make sure it trades the same as live testing.
I don't think I can build the Renko bars themselves on bid/ask and have the Renko bars build correctly. Wouldn't they be different based on the data series you use? Are there specific instructions anywhere on this topic?
https://www.multicharts.com/trading-sof ... acktesting
Precise backtesting on Renko charts
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- Smoky
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Re: Precise backtesting on Renko charts
Renko backtest can't be reliable because the start point of data series can change all signals !
maybe when MC dev team will make a fixe start level/price in parameters to have always same charting graph.
(UNDER REWEW) we have to wait .....
maybe when MC dev team will make a fixe start level/price in parameters to have always same charting graph.
(UNDER REWEW) we have to wait .....
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Re: Precise backtesting on Renko charts
I think this should be possible.
Chart 1 is the Trade data series
Chart 2 is the Ask data series
Chart 3 is the Bid Data Series
My biggest problem is that I cannot find the bid and ask data series for ES. Doe anyone know where I can find that data? If I had it, I could run the test.
Chart 1 is the Trade data series
Chart 2 is the Ask data series
Chart 3 is the Bid Data Series
My biggest problem is that I cannot find the bid and ask data series for ES. Doe anyone know where I can find that data? If I had it, I could run the test.
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Re: Precise backtesting on Renko charts
To Smoky:
"Renko backtest can't be reliable because the start point of data series can change all signals !"
That is not correct: i get all the same correct signals despite different starting points!
For backtesting strategies important is:
1. Use only closing prices, not bid or ask prices for strategies.
2. Use FlexRenko, Resolution: 1 up to 7 second (not minute resolution!!)
3. Use only "Show phantom bars" and no click on "New Bar when exceeded"
For no algo traders: You can use minute resolution to get good trading decisions.
[/quote]
"Renko backtest can't be reliable because the start point of data series can change all signals !"
That is not correct: i get all the same correct signals despite different starting points!
For backtesting strategies important is:
1. Use only closing prices, not bid or ask prices for strategies.
2. Use FlexRenko, Resolution: 1 up to 7 second (not minute resolution!!)
3. Use only "Show phantom bars" and no click on "New Bar when exceeded"
For no algo traders: You can use minute resolution to get good trading decisions.
[/quote]
- TJ
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Re: Precise backtesting on Renko charts
This is a trial and tribulation every backtester must go through.
Re: Precise backtesting on Renko charts
If I understand your question, you would access the data by using BarsOfData(2).Close for the Ask data and BarsOfData(3).Close for the bid. Also check the "Fields to Collect" setting for the instrument (e.g. ESM23) in Quote Manager to collect bid/ask data (assuming it is supported by your broker). (Right click on the instrument)I think this should be possible.
Chart 1 is the Trade data series
Chart 2 is the Ask data series
Chart 3 is the Bid Data Series
My biggest problem is that I cannot find the bid and ask data series for ES. Doe anyone know where I can find that data? If I had it, I could run the test.